Agostino Capponi

ASSOCIATE PROFESSOR OF INDUSTRIAL ENGINEERING AND OPERATIONS RESEARCH

535G S.W. Mudd 

Tel(212) 854-4334x1

Agostino Capponi is an Associate Professor of Industrial Engineering and Operations Research  at Columbia University. Agostino is a member of the Data Science Institute the Center for the Management of Systemic risk, and the FDT Center for Intelligent Asset Management . He serves as an External Consultant at the U.S. Commodity Futures Trading Commission, Office of the Chief Economist, on topics related to clearinghouse collateral requirements and financial stability.

Research Interests

Financial networks, systemic risk, counterparty risk, clearinghouses, fixed income portfolio selection, market microstructure and high-frequency trading

Agostino Capponi is an Associate Professor of Industrial Engineering and Operations Research at Columbia University. Agostino is a member of the Data Science Institute, the Center for the Management of Systemic Risk, and the FDT Center for Intelligent Asset Management. He serves as an External Consultant at the U.S. Commodity Futures Trading Commission, Office of the Chief Economist, on topics related to clearinghouse collateral requirements and financial stability.

Agostino's research interests are in networks, systemic risk and financial stability, and market microstructure. Topics of recent interest also include financial robo-advising, the analysis of cryptocurrencies, and the performance analysis of deep neural networks. Agostino maintains collaborations with the main regulatory agencies tasked with risk monitoring and policy making, including the Department of Treasury's Office of Financial Research, the Commission of Future Trading and Commodities, and the Federal Reserve Board. Agostino's research has been presented at major finance conferences, including the Utah Winter Finance Conference, AFA, EFA, FIRS, and the SFS Cavalcade North America Conference.

Agostino's research has been funded by major public agencies and private corporations, including the NSF, DARPA, U.S. Department of Energy, J.P. Morgan, IBM, the Institute for New Economic Thinking, the Global Risk Institute, the Clearpool Group, and the OCP Group.

Agostino is an Editor of Management Science in the Finance Department. He is also the financial engineering area editor of Operations Research Letters and of the Institute of Industrial Engineering Transactions. Agostino currently serves as an associate editor of Operations Research, Finance and Stochastics, SIAM Journal on Financial Mathematics, Mathematics and Financial Economics, Applied Mathematical Finance, Stochastic Systems, Stochastic Models, and the American Institute of Mathematical Sciences Journal of Dynamics & Games.

He serves as the Chair of the SIAM Activity group in Financial Mathematics and Engineering, and as the President of the INFORMS Finance Section.

Agostino is a recipient of the NSF CAREER Award, the 2019 JP Morgan AI Faculty Research Award, the Columbia-IBM Center for Blockchain & Data Transparency: Special COVID-19 Research Award, an honorable mention from the MIT Center for Finance and Policy and the Harvard Crowd Innovation Laboratory, the Bar-Ilan prize for general research in financial mathematics, and several best paper awards at Fintech Conferences and INFORMS sections. He also received a Marie Curie fellowship from the European Commission.

Agostino's research has received attention by various media outlets, including Thomson Reuters, the American Banker, Vox, Oxford Business Law, and the Chicago Booth Review. Agostino holds a world patent for a target tracking methodology in military networks.

Agostino received his Master’s and PhD Degree in Computer Science and Applied and Computational Mathematics from the California Institute of Technology, respectively in 2006 and 2009. 

RESEARCH EXPERIENCE

  • Research Assistant, computing and mathematical sciences, California Institute of Technology, 2004 – 2009

PROFESSIONAL EXPERIENCE

  • Assistant Professor, Industrial Engineering and Operations Research, Columbia University, 2014–
  • Assistant Professor, Applied Mathematics and Statistics, Johns Hopkins University, 2013–2014
  • Visiting Assistant Professor, Swiss Institute of Finance, École Polytechnique Fédérale de Lausanne, June – July 2011
  • Assistant Professor, Industrial Engineering, Purdue University 2010–2013
  • Full-time Associate, Derivatives Analysis, Goldman Sachs International, London, U.K., 2009 – 2010

PROFESSIONAL AFFILIATIONS

  • Econometric Society, International Association for Quantitative Finance
  • Institute for Operations Research and the Management Sciences (INFORMS)
  • Society for Industrial and Applied Mathematics (SIAM)
  • Bachelier Finance Society

HONORS & AWARDS

  • Bar-Ilan Prize for research in financial mathematics, 2016
  • Institute for New Economic Thinking Award, 2013–2014
  • Marie Curie fellowship, 2003–2004

SELECTED PUBLICATIONS

  • Bail-Ins and Bail-Outs: Incentives, Connectivity, and Systemic Stability (with B. Bernard and J. Stiglitz). Preprint available on SSRN.
  • Risk Sensitive Asset Management and Cascading Defaults (with J. Birge and L. Bo). Mathematics of Operations Research, Forthcoming.
  • Systemic Influences on Optimal Equity-Credit Investment (with C. Frei). Management Science, Forthcoming.
  • Liability Concentration and Losses in Financial Networks. (with P.C. Chen and D. Yao). Operations Research 64 (5), 1121-1134.
  • Arbitrage-Free Bilateral Counterparty Risk Valuation under Collateralization and Application to Credit Default Swaps. Mathematical Finance 24 (1), 125-146.