Agostino Capponi, Ph.D California Institute of Technology acapponi [at] cs.caltech.edu

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.

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”. International Journal of Theoretical and Applied Finance, Vol. 12, pp. 83-112, 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 I. Fatkullin and L. Shi. “Stochastic Filtering for Diffusion Processes with Level Crossings”. Submitted, 2009. [preprint]

• 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”. Forthcoming in IET Control Theory and Applications. [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]