Similar Search Results

Intraday market making with overnight inventory costs

Adrian, Tobias; Capponi, Agostino; Vogt, Erik; Zhang, … - 2016

The share of market making conducted by high-frequency trading (HFT) firms has been rising steadily. A distinguishing feature of HFTs is that they trade intraday, ending the day flat. To shed light on the economics of HFTs, and in a departure from existing market-making theories, we model an HFT...

Persistent link: https://www.econbiz.de/10011796442

Credit risk modeling with misreporting and incomplete information

Capponi, Agostino; Cvitanić, Jakša - In: International journal of theoretical and applied finance 12 (2009) 1, pp. 83-112

Persistent link: https://www.econbiz.de/10003847569

Dynamic credit investment in partially observed markets

Capponi, Agostino; Figueroa-López, José E.; Pascucci, … - In: Finance and stochastics 19 (2015) 4, pp. 891-939

Persistent link: https://www.econbiz.de/10011421091

Counterparty risk for CDS : default clustering effects

Bo, Lijun; Capponi, Agostino - In: Journal of banking & finance 52 (2015), pp. 29-42

Persistent link: https://www.econbiz.de/10011377294

Default and systemic risk in equilibrium

Capponi, Agostino; Larsson, Martin - In: Mathematical finance : an international journal of … 25 (2015) 1, pp. 51-76

Persistent link: https://www.econbiz.de/10011347251

Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk

Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea; … - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10009748723

Optimal contracting with effort and misvaluation

Capponi, Agostino; Cvitanić, Jakša; Yolcu, Türkay - In: Mathematics and financial economics 7 (2013) 1, pp. 93-128

Persistent link: https://www.econbiz.de/10009708945

Pricing and semimartingale representations of vulnerable contingent claims in regime-switching markets

Capponi, Agostino; Figueroa-López, José E.; Nisen, Jeffrey - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 250-288

Persistent link: https://www.econbiz.de/10010357375

Dynamic portfolio optimization with a defaultable security and regime-switching

Capponi, Agostino; Figueroa-López, José E. - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 207-249

Persistent link: https://www.econbiz.de/10010357378

Bilateral credit valuation adjustment for large credit derivatives portfolios

Bo, Lijun; Capponi, Agostino - In: Finance and stochastics 18 (2014) 2, pp. 431-482

Persistent link: https://www.econbiz.de/10010340674

A service of the

zbw