Agostino Capponi


535G S.W. Mudd 

Tel(212) 854-4334x1

Agostino Capponi is an Assistant 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 develops game theoretical models for the analysis of systemic risk and financial stability, stochastic techniques for the analysis of derivatives portfolios, market microstructure models for the analysis of market liquidity, and conducts empirical analysis of over-the-counter markets and clearinghouses. Agostino has 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 funded by the NSF, DARPA, the Institute for New Economic Thinking, the Global Risk Institute, the Clearpool Group and the OCP Group.

Agostino has published extensively in Financial Engineering, Operations Research, Applied Mathematics, and Finance journals, including Operations Research, Management Science, Mathematics of Operations Research, SIAM Journal on Control and Optimization, Mathematical Finance, Finance and Stochastics, SIAM Journal of Financial Mathematics, and the Reviews of Asset Pricing Studies. Agostino serves on the editorial boards of Mathematical Finance, Applied Mathematical Finance, Operations Research, Operations Research Letters, Management Science, and as the Financial Engineering Department Editor of the Institute of Industrial Engineering Transactions. He serves as the program director of the SIAM activity group in Financial Mathematics and Engineering, and as the president of the INFORMS Finance Section. Agostino 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.

Agostino is a recipient of the NSF CAREER award, a prize from the MIT Center for Finance and Policy and the Harvard Crowd Innovation Laboratory, and the Bar-Ilan prize for general research in financial mathematics. Agostino received a Marie Curie fellowship from the European Commission. Agostino's research on clearinghouses, joint with the Department of Treasury's Office of Financial Research, has received attention by various media outlets, including Thomson Reuters, Bloomberg, and the American Banker. Agostino holds a world patent for a target tracking methodology in military networks.

Capponi serves as a consultant for the Office of the Chief Economist at the U.S. Commodity Futures Trading Commission. He has collaborated and has on-going collaborations with several governmental entities including the U.S. Commodity Futures Trading Commission, the Federal Reserve Board of Governors, the Federal Reserve Bank of New York, and the Office of Financial Research.

Capponi received a BS, magna cum laude, in information science from the University of Rome “La Sapienza,” Italy, in 2001 and a PhD in computing and mathematical sciences from the California Institute of Technology in 2009. In 2016, he was awarded the Bar-Ilan Prize for research in financial mathematics, and honorable mention from the MIT Center for Finance and Policy, and the Harvard Crowd Innovation Laboratory for his research in systemic risk and financial stability.

He has received research grants from DARPA (2016–2017), the Global Risk Institute (2016–2018), and the Institute for New Economic Thinking (2013–2014). 


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


  • 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


  • 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


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


  • 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.