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Agostino Capponi

Agostino Capponi

Assistant Professor of Industrial Engineering

Agostino Capponi received his master's and PhD degrees in computer science and applied and computational mathematics from the California Institute of Technology, respectively in 2006 and 2009.

His research interests are in financial engineering, with special focus on credit risk, stochastic portfolio optimization, and contract theory. The methodological component of his research deals with stochastic dynamical systems, and in particular stochastic filtering.