2 citations · 2 across the 3 of their papers we have counts for
3 papers
cs.IT2023
Exact Error in Matrix Completion: Approximately Low-Rank Structures and Missing Blocks
Agostino Capponi, Mihailo Stojnic
We study the completion of approximately low rank matrices with entries missing not at random (MNAR). In the context of typical large-dimensional statistical settings, we establish…
q-fin.PM2016
Optimal Investment under Information Driven Contagious Distress
Lijun Bo, Agostino Capponi
We introduce a dynamic optimization framework to analyze optimal portfolio allocations within an information driven contagious distress model. The investor allocates his wealth acr…
q-fin.RM2010★ 2 cited
Credit Default Swaps Liquidity modeling: A survey
Damiano Brigo, Mirela Predescu, Agostino Capponi
We review different approaches for measuring the impact of liquidity on CDS prices. We start with reduced form models incorporating liquidity as an additional discount rate. We rev…