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Education
- California Institute of Technology. Master in Computer Science, June 2006.
- California Institute of Technology. Minor in Applied and Computational Mathematics, May 2007.
Research Interests
Financial Engineering, Bayesian Estimation, Sensor Networks, Combinatorial Algorithms.
News!!!
- Invited Speaker at Informs Annual Meeting, Cluster on
Financial Engineering. I will give
two talks in two different sessions: Portfolio
Credit Risk and Stochastics in
Finance
- New paper accepted in American
Control Conference (ACC2009) [preprint]
- New Paper (winner of the best
student paper award) in IEEE
Int. Conf. on Computational Intelligence for Financial Engineering (CIFEr
09) [preprint]
- Invited Presentation on “Frontiers of Computational
Engineering and Finance”. At IEEE Int. Conf. on Computational
Intelligence for Financial Engineering
(CIFEr 09)
Journal Publications by Area
- Financial Engineering
- Bayesian Estimation
- Sensor
Networks
- On-line
Algorithms and Competitive Analysis
Financial Engineering
- A. Capponi and J. Cvitanic. “Credit risk modeling with misreporting and incomplete Information”. To appear in International Journal of Theoretical and Applied Finance, Vol. 12, pp. 1-29, 2009. [preprint]
- D.
Brigo and A. Capponi. “Bilateral
counterparty risk valuation with stochastic dynamical models and
application to Credit Default Swaps”. Working Paper [preprint]
Bayesian Estimation
- A. Capponi
and
- A. Capponi. “A convex optimization approach to filtering in jump systems with state dependent transition probabilities”. To appear in Automatica Elsevier, 2009. [preprint]
- A. Capponi and H.D Waard. “A mean track approach applied to the multidimensional assignment problem”. IEEE Transactions on Aerospace and Electronic Systems, Vol.43, pp. 450-471, 2007. [pdf]
- A. Capponi, A. Farina, A. Di Lallo and T. Volpi. “Accuracy of fused track for radar systems”. Signal Processing Elsevier, Vol.85, pp. 1189-1210, 2005. [pdf]
- A. Capponi. “A polynomial time algorithm for the data association problem in multitarget tracking”. IEEE Transactions on Aerospace and Electronic Systems, Vol. 40, pp. 1398-1410, 2004. [pdf]
Sensor
Networks
- L. Shi, A. Capponi, K. Johansson and R.M. Murray. “Resource optimization in wireless sensor network with guaranteed estimator performance”. Under review. [preprint]
Combinatorial Algorithms
- H.J.
Broersma, A. Capponi and D. Paulusma. “A new algorithm for on-line coloring bipartite graphs” SIAM
Journal on Discrete Mathematics, Vol.22, pp. 72-91, 2008. [pdf]
- A. Capponi and C. Pilotto. “Bounded families for the on-line t-relaxed coloring”. Information Processing Letters Elsevier, Vol. 96, pp. 141-145, 2005. [pdf]