Agostino Capponi

Principal Investigator

Agostino Capponi joined Columbia University in August 2014 as an Assistant Professor of Industrial Engineering and Operations Research.

His main research interests are in the area of financial engineering with main focus on counterparty risk, systemic risk, and dynamic optimization. For his research, has been awarded a grant from the Institute for New Economic Thinking. The outcome of his research contributes to a better understanding of risk management practices, along with their systemic implications, and to assess the impact of regulatory policies aiming at stabilizing financial markets. His research has been published in top-tier academic journals of financial engineering and control, including Mathematical Finance, Finance and Stochastics, SIAM Journal of Financial Mathematics, IEEE Transactions on Automatic Control, and Automatica. His work has also been published in leading practitioner journals and invited book chapters.

Agostino is a frequently invited speaker at major academic and financial stability conferences in the area of credit and systemic risk.

During 2003-2004, he was a Marie Curie fellow at Thales, a leading company in the defense and aerospace industry. There, he developed a polynomial time algorithm for multi-sensor multi-target tracking, which resulted in a world patent.

Professor Capponi received his Master and Ph.D. Degree in Computer Science and Applied and Computational Mathematics from the California Institute of Technology, respectively in 2006 and 2009.

Columbia Affiliations
Center for the Management of Systemic Risk (CMSR)