Teemu Pennanen
Teemu Pennanen
Professor of Financial Mathematics, King's College London
Verified email at kcl.ac.uk - Homepage
Title
Cited by
Cited by
Year
Local convergence of the proximal point algorithm and multiplier methods without monotonicity
T Pennanen
Mathematics of Operations Research 27 (1), 170-191, 2002
1352002
Epi-convergent discretizations of stochastic programs via integration quadratures
T Pennanen, M Koivu
Numerische mathematik 100 (1), 141-163, 2005
1082005
A stochastic programming model for asset liability management of a Finnish pension company
P Hilli, M Koivu, T Pennanen, A Ranne
Annals of Operations Research 152 (1), 115-139, 2007
1052007
Epi-convergent discretizations of multistage stochastic programs
T Pennanen
Mathematics of Operations Research, 245-256, 2005
982005
Epi-convergent discretizations of multistage stochastic programs via integration quadratures
T Pennanen
Mathematical Programming 116 (1), 461-479, 2009
802009
Inexact variants of the proximal point algorithm without monotonicity
AN Iusem, T Pennanen, BF Svaiter
SIAM Journal on Optimization 13 (4), 1080-1097, 2003
772003
Dualization of generalized equations of maximal monotone type
T Pennanen
SIAM Journal on Optimization 10 (3), 809-835, 2000
662000
Hedging of claims with physical delivery under convex transaction costs
T Pennanen, I Penner
SIAM Journal on Financial Mathematics 1 (1), 158-178, 2010
652010
Cointegration analysis of the Fed model
M Koivu, T Pennanen, WT Ziemba
Finance Research Letters 2 (4), 248-259, 2005
582005
Proximal methods for cohypomonotone operators
PL Combettes, T Pennanen
SIAM journal on control and optimization 43 (2), 731-742, 2004
542004
Generalized Mann iterates for constructing fixed points in Hilbert spaces
PL Combettes, T Pennanen
Journal of Mathematical Analysis and Applications 275 (2), 521-536, 2002
532002
Integration quadratures in discretization of stochastic programs
T Pennanen, M Koivu
Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät …, 2002
462002
Convex Duality in Stochastic Optimization and Mathematical Finance
T Pennanen
Mathematics of Operations Research 36, 340-362, 0
45*
Calibrated option bounds
AJ King, M Koivu, T Pennanen
International Journal of Theoretical and Applied Finance 8 (02), 141-159, 2005
382005
Arbitrage and deflators in illiquid markets
T Pennanen
Finance and Stochastics 15 (1), 57-83, 2011
372011
Stochastic programs without duality gaps
T Pennanen, AP Perkkiö
Mathematical Programming 136 (1), 91-110, 2012
362012
A user-friendly approach to stochastic mortality modelling
H Aro, T Pennanen
European Actuarial Journal 1 (2), 151-167, 2011
332011
Modeling assets and liabilities of a Finnish pension insurance company: a VEqC approach
M Koivu*, T Pennanen, A Ranne
Scandinavian Actuarial Journal 2005 (1), 46-76, 2005
312005
Reduced form modeling of limit order markets
P Malo, T Pennanen
Quantitative Finance 12 (7), 1025-1036, 2012
302012
Superhedging in illiquid markets
T Pennanen
Mathematical Finance 21 (3), 519-540, 2011
302011
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Articles 1–20