Agostino Capponi

Finance · 2008–2014

A researcher in the Science corpus: 3 papers; trusts 13 researchers and is trusted by 4 researchers here, as inferred from the citation graph.

Subfields

Whom Agostino Capponi trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

  1. Damiano Brigo
  2. Tomasz R. Bielecki
  3. Ioannis Karatzas
  4. Marek Rutkowski
  5. Huyen Pham
  6. Steven E. Shreve
  7. Luz R. Sotomayor
  8. Robert J. R. Elliott
  9. Naoufel El-Bachir
  10. Jack Buffington

Who trusts Agostino Capponi overall

  1. Damiano Brigo
  2. St'ephane Cr'epey
  3. Andrea Pallavicini

Papers from Agostino Capponi's perspective

Ordered by how strongly the researchers Agostino Capponi trusts endorse each paper. Same corpus, a different order for every researcher.

  1. Counterparty Risk for Credit Default Swaps: Impact of Spread Volatility and Default Correlation
  2. Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps
  3. Credit Risk: Modeling, Valuation And Hedging
  4. ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS
  5. Credit Default Swap Valuation with Counterparty Risk
  6. A general formula for valuing defaultable securities
  7. AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL
  8. The Pricing of Options and Corporate Liabilities
  9. Regime Switching and European Options
  10. Smooth Solutions to Optimal Investment Models with Stochastic Volatilities and Portfolio Constraints

Their papers