pith. sign in

Teemu Pennanen

Identifiers

  • name variant Teemu Pennanen 0.60 · backfill

Papers (17)

  1. Optimal stopping without Snell envelopes math.OC · 2018 · author #1
  2. Pricing index options by static hedging under finite liquidity q-fin.PR · 2018 · author #2
  3. Convex duality in nonlinear optimal transport math.PR · 2017 · author #1
  4. Convex integral functionals of processes of bounded variation math.OC · 2016 · author #1
  5. Convex duality in optimal investment and contingent claim valuation in illiquid markets q-fin.MF · 2016 · author #1
  6. Shadow price of information in discrete time stochastic optimization math.OC · 2016 · author #1
  7. Convex integral functionals of regular processes math.PR · 2015 · author #1
  8. Duality and optimality conditions in stochastic optimization and mathematical finance math.OC · 2015 · author #2
  9. Duality in convex problems of Bolza over functions of bounded variation math.OC · 2013 · author #1
  10. Liability-driven investment in longevity risk management q-fin.RM · 2013 · author #2
  11. Stochastic programs without duality gaps math.OC · 2011 · author #1
  12. Reduced form models of bond portfolios q-fin.ST · 2010 · author #2
  13. Reduced form modeling of limit order markets q-fin.TR · 2010 · author #2
  14. Convex duality in stochastic programming and mathematical finance q-fin.CP · 2010 · author #1
  15. Hedging of claims with physical delivery under convex transaction costs q-fin.PR · 2008 · author #1
  16. Superhedging in illiquid markets q-fin.PR · 2008 · author #1
  17. Arbitrage and deflators in illiquid markets q-fin.PR · 2008 · author #1

Mentions

  • 1309.2121 #1 · backfill · confidence 0.70 Teemu Pennanen
  • 1307.8261 #2 · backfill · confidence 0.70 Teemu Pennanen
  • 1105.0934 #1 · backfill · confidence 0.70 Teemu Pennanen
  • 1011.3246 #2 · backfill · confidence 0.70 Teemu Pennanen
  • 1006.4517 #2 · backfill · confidence 0.70 Teemu Pennanen
  • 1006.4083 #1 · backfill · confidence 0.70 Teemu Pennanen
  • 0810.2016 #1 · backfill · confidence 0.70 Teemu Pennanen
  • 0807.2962 #1 · backfill · confidence 0.70 Teemu Pennanen
  • 0807.2526 #1 · backfill · confidence 0.70 Teemu Pennanen

Frequent Coauthors