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Agostino Capponi
Contact
Information
Assistant Professor
Department of Industrial Engineering and Operations Research
Columbia University
Voice: +1 212-854-4334
316 S. W. Mudd Building
Email: ac3827@columbia.edu
New York NY 10027, USA
Education
California Institute of Technology, Department of Computing & Mathematical
Sciences, Pasadena, California, USA
Ph.D., June 2009
• Title: Credit Risk and Non-linear Filtering: Computational Aspects and Empirical Evidence
M.S., GPA 4.0/4.0, June 2006
University of Rome “La Sapienza”, Department of Computer Science, Rome, Italy
B.S., Magna cum Laude, December 2001
Professional
Experience
Tenure-Track Assistant Professor
Industrial Engineering and Operations Research Department
Columbia University, New York, NY.
Tenure-Track Assistant Professor
Department of Applied Mathematics and Statistics
Johns Hopkins University, Baltimore, MD.
Tenure-Track Assistant Professor
Department of Industrial Engineering
Purdue University, West Lafayette, IN.
Aug. 2014 – present
Aug. 2013 – August 2014
Aug. 2010 – July 2013
Visiting Assistant Professor
June 2011 – July 2011
Swiss Institute of Finance
´
Ecole
Polytechnique F´
ed´
erale de Lausanne, Lausanne, Switzerland.
Full-Time Associate, Derivatives Analysis
Goldman Sachs International, London, U.K.
Aug. 2009 – Aug. 2010
Instructor
May 2009 – July 2009
Department of Industrial and Systems Engineering
University of Southern California, Los Angeles, California.
Research Assistant
Department of Computing & Mathematical Sciences
California Institute of Technology, Pasadena, CA.
Signal Processing Engineer
Thales Naval Netherlands, Hengelo, Netherlands.
Patents &
Awards
Aug. 2004 – June 2009
February 2003 – July 2004
INET Award. Institute for New Economic Thinking, 2013. ($75,000)
IFM Award. Institute for Financial Markets, 2012. Selected among the top five by
the Advisory Committee of the Clearing Corporation Foundation ($15,000).
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Best student Paper Award. IEEE International Conference on Computational Intelligence for Financial Engineering (CIFEr’09).
World Patent. A. Capponi. “Partition process, tracking methods and systems using
it”. Publication info: WO2005059589-2005-06-30.
Fellowship. Marie Curie fellowship, 2003-2004 (e48,000).
Publications
Refereed Journal Publications
• “Systemic Risk in Interbanking Networks”. Forthcoming in SIAM Journal of Financial Mathematics. (with L. Bo)
• “Dynamic Credit Investment in Partially Observed Markets. Forthcoming in Finance and Stochastics. (with J.E. Figueroa-L´opez and A. Pascucci)
• “Optimal Investment in Credit Derivatives Portfolio under Contagion Risk”. Forthcoming in Mathematical Finance. (with L. Bo)
• “Pricing Vulnerable Claims in a L`evy Driven Model”. Finance and Stochastics 18(4),
pp. 775-789, 2015. (with S. Pagliarani and T. Vargiolu)
• “Default and Systemic Risk in Equilibrium”. Mathematical Finance, 25(1), 51-76,
2015. (with M. Larsson)
• “Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios”.
Finance and Stochastics 18(2), pp. 431-482, 2014. (with L. Bo)
• “Will banning naked CDS impact bond prices?”. Annals of Finance 10, pp. 481-508,
2014. (with M. Larsson)
• “Pricing and Semi-Martingale Representations of Vulnerable Contingent Claims in
Regime-Switching Markets”. Mathematical Finance 24(2), pp. 250-288, 2014. (with
J.E. Figueroa-L´
opez and J. Niesen)
• “Dynamic Portfolio Optimization with a Defaultable Security and Regime Switching”. Mathematical Finance, 24(2), 207-249, 2014. (with J.E. Figueroa-L´opez)
• “Arbitrage-free Bilateral Counterparty Risk Valuation under Collateralization and
Application to Credit Default Swaps”. Mathematical Finance, 24(1), pp. 125-146,
2014.
• “Optimal Contracting with Effort and Misvaluation”. Mathematics and Financial
Economics 7 (1), 93-128, 2013. (with J. Cvitani´c and T. Yolcu)
• “A Variational Approach to Contracting under Imperfect Observations”. SIAM
Journal on Financial Mathematics 3 (1), pp. 605-638, 2012. (with J. Cvitani´c and
T. Yolcu)
• “Stochastic Filtering for Diffusion Processes with Level Crossings”. IEEE Transactions on Automatic Control 56, pp. 2201-2206, 2011. (with I. Fatkullin and L. Shi)
• “A Convex Optimization Approach to Filtering in Jump Systems with State Dependent Transition Probabilities”. Automatica Elsevier 46, pp. 383–389, 2010.
• “Credit Risk Modeling with Misreporting and Incomplete Information”. International Journal of Theoretical and Applied Finance 12, pp. 81-112, 2009. (with
J. Cvitani´c)
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• “A New Algorithm for On-line Coloring Bipartite Graphs”. SIAM Journal of Discrete Mathematics 22, pp. 72-91, 2008. (with H. Broersma and D. Paulusma)
Invited Book Chapters and Credit Market Magazines
• “Measuring Counterparty Risk of Large Portfolios”. CreditFlux Magazine, April
2014.
• “Pricing and Mitigation of Counterparty Credit Exposures”. Handbook of Systemic
Risk, Edited by J.-P. Fouque and J.Langsam, Cambridge University Press, pp. 1-21,
2012.
• “Liquidity Modeling for Credit Default Swaps: an overview”. Credit Risk Frontiers. The suprime crisis, Pricing and Hedging, CVA, MBS, Ratings and Liquidity.
Bloomberg Press, pp. 1-36, 2011. (with D. Brigo and M. Pedrescu)
• “Bilateral Credit Valuation Adjustment with Application to Credit Default Swaps”.
In Ong, Michael ed., Managing and Measuring Capital. London: Risk Books, pp.4767, 2012. (with D. Brigo)
• Bilateral Counterparty Risk with Application to CDSs. Risk Magazine, pp. 85-90,
2010. (with D. Brigo)
Professional
Activities
Ad-hoc Reviewer
• Finance and Stochastics, Mathematical Finance, Annals of Applied Probability, SIAM
Journal of Financial Mathematics, Mathematics of Operations Research, Management Science, Quantitative Finance, Journal of Banking and Finance, IEEE Transactions on Automatic Control, Automatica, Journal of Credit Risk, Risk, SpringerVerlag, World Scientific Publishing Co.
Editorial Board
• Associate Editor. Operations Research Letters, Quantitative Finance Letters.
Conference Organization
• Informs Annual Meeting, Chair of the Cluster on Risk Management, Philadelphia, 2015.
• IMS-FIPS-2015, Organizer of Special Session on Systemic Risk, Rutgers University, 2015.
• SIAM Conference on Financial Mathematics and Engineering, Organizer
of Special Session on Credit and Liquidity Risk, Chicago, 2014.
• Informs Annual meeting, Cluster of Risk Management. Organizer of Session on
Default and Systemic Risk, San Francisco, 2014.
• AMS 2014 Spring Eastern Sectional Meeting, Organizer of Special Session on
Mathematical Finance, Baltimore, 2014.
• Informs Annual meeting, Cluster of Risk Management. Organizer of Session on
Credit, Liquidity, and Systemic Risk, Minneapolis, 2013.
• Informs Annual meeting, Cluster of Financial Services. Organizer of Session on
Stochastic Control and Filtering in Finance, Minneapolis, 2013.
• Informs Annual meeting, Cluster of Quantitative Finance. Organizer of Session
on Default and Systemic Risk, Phoenix, 2012.
• Informs Annual meeting, Cluster of Quantitative Finance. Organizer of Session
on Credit and Counterparty Risk, Charlotte, 2011.
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Talks
Cornell University, Department of Operations Research and Information Engineering : Title of the talk: Liability Concentration and Systemic Losses in Financial
Networks, Ithaca, 2015.
Stevens Institute of Technology, School of Systems and Enterprises: Title of
the talk: Price Contagion through Balance Sheet Linkages, Hoboken, 2015.
Carnegie Mellon University, Tepper School of Business: Title of the talk: Liability Concentration and Systemic Losses in Financial Networks, Pittsburgh, 2015.
Carnegie Mellon University, Department of Mathematics: Title of the talk:
Systemic risk: the Dynamics under Central Clearing, Pittsburgh, 2015.
Columbia University, Department of Statistics: Title of the talk: Systemic risk:
the Dynamics under Central Clearing, New York, 2015.
Morgan Stanley, Financial Engineering Seminar: Title of the talk: Arbitrage-free
pricing of XVA, New York, 2015.
IPAM Institute, UCLA, Broad Perspectives and New Directions in Financial
Mathematics: Workshop: Systemic Risk and Financial Networks, Title of the talk:
Liability Concentration and Systemic Losses in Financial Networks, Los Angeles, 2015.
Caltech, Social and Information Sciences Laboratory: Title of the talk: Price
Contagion through Balance Sheet Linkages, Pasadena, 2015.
Stanford University, Department of Management Science and Engineering:
Title of the talk: Price Contagion through Balance Sheet Linkages, Stanford, 2015.
Princeton University, Department of Operations Research and Financial Engineering: Title of the talk: Arbitrage-Free Pricing of XVA, Princeton, 2015.
Commodity Futures Trading Commission: Title of the talk: Counterparty Risk
and Collateral Mitigation, Washington DC, 2015.
Office of the Comptroller of Currency: Title of the talk: Counterparty Risk and
Collateral Mitigation, Washington DC, 2015.
2014: Financial Stability Conference by FRB Cleveland and the Office of Financial Research: Title of the talk: Price Contagion through Balance Sheet Linkages,
Washington, 2014.
SIAM Conference on Financial Mathematics & Engineering: Credit and Liquidity Risk, Title of the talk: Price Contagion through Balance Sheet Linkages, Chicago,
2014.
TU Berlin and Humboldt University, Department of Mathematics: Stochastic
Analysis and Stochastic Finance Seminar, Title of the talk: Arbitrage-Free Pricing of
XVA, Berlin, 2014.
Informs Annual meeting, Cluster of Financial Services. Session names: Financial
Risks, Quantitative Methods in Finance, and Financial Engineering & Risk Management. Title of the talks: Dynamic Credit Swap Selection under Funding Costs, Optimal
Portfolio Selection under Counterparty Risk, Systemic Risk and Preventive Policies, San
Francisco, 2014.
Isaac Newton Institute for Mathematical Sciences, Cambridge University:
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Monitoring systemic risk: data, models and metrics, Title of the talk: Market Diversity
under Central Clearing, Cambridge, 2014.
Boston University: Conference on Credit and Systemic Risk, Title of the talk: Price
Contagion through Balance Sheet Linkages, Boston, 2014.
Worcester Polytechnic Institute, Department of Mathematics: Title of the
talk: Optimal Investment under Information Driven Default Contagion, Worchester,
2014.
Banff International Research Station for Mathematical Innovation and Discovery (BIRS), Theme: New Directions in Financial Mathematics and Mathematical
Economics, Title of the talk: Optimal Investment under Counterparty Risk, Banff,
2014.
2014 Joint Mathematics Meetings, MAA–AMS, Mini-Symposium: Recent Advances in Financial Mathematics Title of the talk: Weak Convergence Analysis of Systemic Risk in Interbanking Networks, Baltimore, 2014.
Imperial College London, Department of Mathematics, Finance and Stochastics Seminar Title of the talk: Counterparty Risk Pricing for Large Credit Derivatives
Portfolios, London, 2014.
Imperial College London, Department of Mathematics, Stochastic Analysis seminar Title of the talk: Optimal Portfolio Allocation under Information Driven Default
Contagion, London, 2014.
London School of Economics, Department of Mathematics, Joint Risk and
Stochastics and Financial Mathematics. Title of the talk: Optimal Investment in Credit
Derivatives Portfolio Under Contagion Risk, London, 2014.
Conference on Mathematical Finance and Partial Differential Equations. Title of the talk: Pricing Vulnerable Claims in a L`evy Driven Model, Rutgers University,
New Brunswick, 2013.
Texas Quantitative Finance Festival. Title of the talk: Optimal Investment in
Credit Derivatives Portfolio Under Contagion Risk, Austin, 2013.
Johns Hopkins University, Department of Applied Mathematics and Statistics. Title of the talk: Optimal Investment in Credit Derivatives Portfolio Under Contagion Risk, Baltimore, 2013.
AMS 2013 Fall Eastern Sectional Meeting, Special Session on Partial Differential
Equations, Stochastic Analysis, and Applications to Mathematical Finance. Title of
the talk: Multitask Principal-Agent Problems with Accident Prevention, Philadelphia,
2013.
Informs Annual meeting, Cluster of Risk Management. Session name: Credit, Liquidity, and Systemic Risk. Title of the talk: Bilateral Credit Valuation Adjustment for
Large Credit Derivatives Portfolios, Minneapolis, 2013.
Informs Annual meeting, Cluster of Financial Services. Session names: Stochastic
Control and Filtering in Finance, and Quantitative Financial Risk Management. Title of the talks: Optimal Investment in Credit Derivatives Portfolio under Contagion
Risk, and Optimal Systemic Risk Mitigation in Financial Networks, Minneapolis, 2013.
Minneapolis, 2013.
Federal Bank of Cleveland. Title of the talk: Systemic Risk Mitigation in Financial
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Networks, Cleveland, 2013.
Dublin City University, Department of Mathematics. Title of the talk: Pricing
Vulnerable Claims in a L`evy Driven Model, Dublin, 2013.
Frontiers in Financial Mathematics Conference. Title of the talk: Bilateral
Credit Valuation Adjustment for Large Credit Derivatives Portfolios, Dublin, 2013.
Financial Stability Analysis Conference: Using the Tools, Finding the Data.
Title of the talk: Optimal Systemic Risk Mitigation in Financial Networks, Washington,
D.C., 2013.
University of Wisconsin-Milwaukee, Department of Mathematical Sciences.
Title of the talk: Dynamic Portfolio Optimization with a Defaultable Security and
Regime Switching, Milwaukee, 2013.
Illinois Institute of Technology, Department of Applied Mathematics. Title
of the talk: Pricing Counterparty Risk for Large Credit Derivatives Portfolios, Chicago,
2013.
Johns Hopkins University, Department of Applied Mathematics and Statistics. Title of the talk: Counterparty Risk Pricing for Large Derivatives Portfolios: a
Law of Large Numbers Approximation, Baltimore, 2013.
Carnegie Mellon University, Department of Mathematics. Title of the talk:
Default and Systemic Risk in Equilibrium, Pittsburg, 2012.
Informs Annual meeting, Cluster of Quantitative Finance. Session name: Stochastic
Optimization in Finance. Title of the talk: Utility Maximization in Hidden RegimeSwitching Markets, Phoenix, 2012.
Informs Annual meeting, Cluster of Quantitative Finance. Session name: Computational Finance. Title of the talk: Pricing of Path Dependent Claims in Regime
Switching Markets, Phoenix, 2012.
Quant Congress USA. Title of the talk: Measuring and Managing Counterparty
Risk, New York City, New York, 2012.
SIAM Annual Meeting Financial Mathematics. Title of the talk: Pricing of
Vulnerable Claims in Regime Switching Systems, Minnesota, 2012.
IMS on Finance: Probability and Statistics (FPS). Title of the talk: Default
and Systemic Risk in Equilibrium, Berkeley, 2012.
Marcus Evans CVA, Funding and Valuation for Derivatives Conference. Title
of the talk: Pricing and Mitigation of CVA: Numerical Aspects and Empirical Evidence,
New York City, New York, 2012.
Columbia University, Department of Statistics. Title of the talk: Dynamic Portfolio Optimization with a Defaultable Security and Regime Switching, New York, 2012.
Illinois Institute of Technology, Department of Applied Mathematics. Title
of the talk: Portfolio Optimization in Regime Switching Models, Chicago, 2011.
Informs Annual meeting, Cluster of Quantitative Finance. Session name: Financial
Engineering. Title of the talk: Default and Systemic Risk in Equilibrium, Charlotte,
2011.
7th International Congress on Industrial and Applied Mathematics (ICIAM
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2011), Mini-Symposium: Credit Risk and Modeling. Title of the talk: Dynamic Portfolio Optimization with a Defaultable Security and Regime Switching, Vancouver, 2011.
´
Ecole
Polytechnique F´
ed´
erale de Lausanne, Swiss Institute of Finance. Title
of the talk: Dynamic Portfolio Optimization with a Defaultable Security and Regime
Switching, Lausanne, 2011.
AMS 2011 Central Section Meeting, Special session on Stochastic processes with
applications to mathematical finance. Title of the talk: Stochastic Filtering for Diffusion
Processes with Level Crossings, Iowa City, 2011.
Cornell University, ORIE. Title of the talk: Contracting with Noisy Observations,
Ithaca, 2011.
Informs Annual meeting, Cluster of Financial Engineering. Session name: Recent
Developments in Quantitative Finance, Title of the talk: Optimal Contracting under
Incomplete Information, Austin, 2010.
SIAM Conference on Financial Mathematics and Engineering (FM10), Session name: Counterparty Risk in Over-The-Counter Market. Title of the talk: Modeling
and Valuation of Collateralized Counterparty Value Adjustment, San Francisco, 2010.
Derivatives, Volatility & Correlation , Warwick Business School, Financial Options
Research Centre. Discussant of the talk by Wim Schoutens, Leuven: Levy Processes in
Credit Risk: An overview, Warwick, 2010.
Fields Institute for Research in Mathematical Science, Theme: Mathematics
and Reality of Counterparty Credit Risk. Title of the talk: Bilateral counterparty risk
valuation with stochastic dynamical models and application to Credit Default Swaps,
Toronto, 2010.
Informs Annual meeting, Cluster of Financial Engineering. Session name: Portfolio
Credit Risk. Title of the talk: Bilateral Counterparty Portfolio Credit Risk Valuation
with Stochastic Intensity Models, San Diego, 2009.
Informs Annual meeting, Cluster of Financial Engineering. Session name: Stochastic
Methods in Finance. Title of the talk: Credit Risk Modeling and Valuation under
Reporting Bias, San Diego, 2009.
New York University, Stern School of Business, Statistics Department. Title
of the talk: Theory and Calibration of Credit Risk Models with Incomplete Information,
New York, 2007.
Columbia University, IEOR. Title of the talk: Credit Risk and Incomplete Information, New York 2007.
Teaching
Undergraduate
• IE 343: Engineering Economics, Instructor, Department of Industrial Engineering, Purdue University, Fall Semester 2010, Spring Semester 2011, and Fall Semester
2013. Fall 2010 Course Evaluation: 4.0/5.0, Instructor Evaluation: 4.1/5.0. Spring
2011 Course Evaluation: 4.1/5.0, Instructor Evaluation: 4.1/5.0. Fall 2012 Course
Evaluation: 4.0/5.0, Instructor Evaluation: 4.0/5.0. Average number of enrolled
students: 130.
Graduate
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• IEOR E4707: Continuous Time Asset Pricing, Instructor, IEOR Department,
Columbia University, Spring Semester 2015. Number of enrolled students: 93.
• EN.550.428.01.SP14 : Stochastic Processes and Applications to Finance
II, Instructor, Department of Applied Mathematics and Statistics, Johns Hopkins
University, Spring Semester 2014. Instructor Evaluation: 4.52/5.0. Number of enrolled students: (approximately 30).
• EN 550.648: Credit and Systemic Risk, Instructor, Department of Applied
Mathematics and Statistics, Johns Hopkins University, Fall Semester 2013. Instructor Evaluation: 4.57/5.0. Number of enrolled students: (approximately 20).
• IE 590: Credit Risk, Instructor, Department of Industrial Engineering, Purdue
University, Spring Semester 2013. Course Evaluation: 4.9/5.0, Instructor Evaluation: 4.9/5.0. Number of enrolled students: 15.
• ISE 563: Financial Engineering, Instructor, Viterbi School of Engineering, Department of Industrial and Systems Engineering, University of Southern California,
2009. Core course for the Master of Financial Engineering. Number of enrolled
students: 23.
Students
Mentoring
Dissertation defense committee member for
• Juan Li, IEOR, Columbia University, Ph.D, May 2015
• Marco Santoli, IEOR, Columbia University, Ph.D, April 2015
• Stefano Pagliarani, Department of Mathematics, University of Padua, Ph.D, October
2013
• Jeff Nisen, Department of Statistics, Purdue University, Ph.D, June 2013
• A. Sundararajan, Department of Industrial Engineering, Purdue University, Ph.D,
July 2011
Students supervision
• Allen Cheng, IEOR Department, Columbia University. Ph.D. Topic: Systemic risk
dynamics under central clearing. Expected graduation date: June 2018.
• Peng-Chu Chen, Department of Industrial Engineering, Purdue University. Ph.D.
Topic: Systemic risk in financial networks. Expected graduation date: June 2016.
Professional
Memberships
Industrial
Experience
Member of the International Association for Quantitative Finance, and Informs.
Goldman Sachs International
Full Time Associate, Derivatives Analysis
Aug. 2009 - Aug. 2010
• Responsible for validation of credit risk and foreign exchange models. Developed
a methodology to construct the volatility surface of the HKD/USD pegged cross.
For each time slice, the volatility function is recovered by maximimizing the
entropy of the cross density at that specific time subject to available market
constraints. These constraints are determined by the available market quotes,
which include forward contracts, European binary and straddle options on the
HKD/USD cross expiring at that time.
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Thales Naval Netherlands
Researcher, Department of Filtering and Signal Processing
Feb. 2003 - July 2004
• Designed Bayesian stochastic filtering algorithms for tracking targets on the basis
of noisy measurements produced by multiple sensor systems.
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