13 citations · 17 across the 26 of their papers we have counts for
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q-fin.RM2017
Risk-Minimizing Hedging of Counterparty Risk
Lijun Bo, Agostino Capponi, Claudia Ceci
We study dynamic hedging of counterparty risk for a portfolio of credit derivatives. Our empirically driven credit model consists of interacting default intensities which ramp up a…
stat.ML2017
Risk-Sensitive Cooperative Games for Human-Machine Systems
Agostino Capponi, Reza Ghanadan, Matt Stern
Autonomous systems can substantially enhance a human's efficiency and effectiveness in complex environments. Machines, however, are often unable to observe the preferences of the h…