85 citations · 187 across the 42 of their papers we have counts for
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q-fin.PR2013★ 5 cited
Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios
Lijun Bo, Agostino Capponi
We obtain an explicit formula for the bilateral counterparty valuation adjustment of a credit default swaps portfolio referencing an asymptotically large number of entities. We per…
q-fin.PM2013
Dynamic Credit Investment in Partially Observed Markets
Agostino Capponi, Jose Enrique Figueroa Lopez, Andrea Pascucci
We consider the problem of maximizing expected utility for a power investor who can allocate his wealth in a stock, a defaultable security, and a money market account. The dynamics…