Teemu Pennanen

Publication Activity (10 Years)

Years Active: 2000-2022
Publications (10 Years): 4

Top Topics

Stochastic Optimization

Top Venues

Finance Stochastics

Math. Oper. Res.

SIAM J. Control. Optim.

Publications

Teemu Pennanen
Efficient Allocations in Double Auction Markets. Math. Oper. Res. 47 (2) (2022)
Teemu Pennanen, Ari-Pekka Perkkiö
Shadow price of information in discrete time stochastic optimization. Math. Program. 168 (1-2) (2018)
Teemu Pennanen, Ari-Pekka Perkkiö
Convex duality in optimal investment and contingent claim valuation in illiquid markets. Finance Stochastics 22 (4) (2018)
Teemu Pennanen
Erratum: "Convex Duality in Stochastic Optimization and Mathematical Finance". Math. Oper. Res. 41 (2) (2016)
Teemu Pennanen
Convex duality in optimal investment under illiquidity. Math. Program. 148 (1-2) (2014)
Teemu Pennanen
Optimal investment and contingent claim valuation in illiquid markets. Finance Stochastics 18 (4) (2014)
Teemu Pennanen, Ari-Pekka Perkkiö
Duality in Convex Problems of Bolza over Functions of Bounded Variation. SIAM J. Control. Optim. 52 (3) (2014)
Teemu Pennanen
Introduction to convex optimization in financial markets. Math. Program. 134 (1) (2012)
Teemu Pennanen, Ari-Pekka Perkkiö
Stochastic programs without duality gaps. Math. Program. 136 (1) (2012)
Teemu Pennanen
Arbitrage and deflators in illiquid markets. Finance Stochastics 15 (1) (2011)
Teemu Pennanen
Convex Duality in Stochastic Optimization and Mathematical Finance. Math. Oper. Res. 36 (2) (2011)
Teemu Pennanen, Ari-Pekka Perkkiö
Stochastic programs without duality gaps CoRR (2011)
Teemu Pennanen, Irina Penner
Hedging of Claims with Physical Delivery under Convex Transaction Costs. SIAM J. Financial Math. 1 (1) (2010)
Teemu Pennanen
Epi-convergent discretizations of multistage stochastic programs via integration quadratures. Math. Program. 116 (1-2) (2009)
Jitka Dupacová, Teemu Pennanen
Special issue: Stochastic Programming in EURO XXII in Prague. Kybernetika 44 (2) (2008)
Petri Hilli, Teemu Pennanen
Numerical study of discretizations of multistage stochastic programs. Kybernetika 44 (2) (2008)
Boris S. Mordukhovich, Teemu Pennanen
Epi-convergent discretization of the generalized Bolza problem in dynamic optimization. Optim. Lett. 1 (4) (2007)
Petri Hilli, Matti Koivu, Teemu Pennanen, Antero Ranne
A stochastic programming model for asset liability management of a Finnish pension company. Ann. Oper. Res. 152 (1) (2007)
Teemu Pennanen
Financial Optimization. OR (2006)
Teemu Pennanen, Markku Kallio
A splitting method for stochastic programs. Ann. Oper. Res. 142 (1) (2006)
Teemu Pennanen
Epi-Convergent Discretizations of Multistage Stochastic Programs. Math. Oper. Res. 30 (1) (2005)
Teemu Pennanen, Matti Koivu
Epi-convergent discretizations of stochastic programs via integration quadratures. Numerische Mathematik 100 (1) (2005)
Patrick L. Combettes, Teemu Pennanen
Proximal Methods for Cohypomonotone Operators. SIAM J. Control. Optim. 43 (2) (2004)
Teemu Pennanen, Benar Fux Svaiter
Solving monotone inclusions with linear multi-step methods. Math. Program. 96 (3) (2003)
Alfredo N. Iusem, Teemu Pennanen, Benar Fux Svaiter
Inexact Variants of the Proximal Point Algorithm without Monotonicity. SIAM J. Optim. 13 (4) (2003)
Teemu Pennanen
Local Convergence of the Proximal Point Algorithm and Multiplier Methods Without Monotonicity. Math. Oper. Res. 27 (1) (2002)
Teemu Pennanen
Dualization of Generalized Equations of Maximal Monotone Type. SIAM J. Optim. 10 (3) (2000)