Teemu Pennanen

According to our database, Teemu Pennanen authored at least 27 papers between 2000 and 2025.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2025

Dual Solutions in Convex Stochastic Optimization.

Teemu Pennanen, Ari-Pekka Perkkiö

Math. Oper. Res., 2025

2022

Efficient Allocations in Double Auction Markets.

Teemu Pennanen

Math. Oper. Res., 2022

2018

Shadow price of information in discrete time stochastic optimization.

Teemu Pennanen, Ari-Pekka Perkkiö

Math. Program., 2018

Convex duality in optimal investment and contingent claim valuation in illiquid markets.

Teemu Pennanen, Ari-Pekka Perkkiö

Finance Stochastics, 2018

2016

Erratum: "Convex Duality in Stochastic Optimization and Mathematical Finance".

Teemu Pennanen

Math. Oper. Res., 2016

2014

Duality in Convex Problems of Bolza over Functions of Bounded Variation.

Teemu Pennanen, Ari-Pekka Perkkiö

SIAM J. Control. Optim., 2014

Convex duality in optimal investment under illiquidity.

Teemu Pennanen

Math. Program., 2014

Optimal investment and contingent claim valuation in illiquid markets.

Teemu Pennanen

Finance Stochastics, 2014

2012

Stochastic programs without duality gaps.

Teemu Pennanen, Ari-Pekka Perkkiö

Math. Program., 2012

Introduction to convex optimization in financial markets.

Teemu Pennanen

Math. Program., 2012

2011

Convex Duality in Stochastic Optimization and Mathematical Finance.

Teemu Pennanen

Math. Oper. Res., 2011

Arbitrage and deflators in illiquid markets.

Teemu Pennanen

Finance Stochastics, 2011

2010

Hedging of Claims with Physical Delivery under Convex Transaction Costs.

Teemu Pennanen, Irina Penner

SIAM J. Financial Math., 2010

2009

Epi-convergent discretizations of multistage stochastic programs via integration quadratures.

Teemu Pennanen

Math. Program., 2009

2008

Numerical study of discretizations of multistage stochastic programs.

Petri Hilli, Teemu Pennanen

Kybernetika, 2008

Special issue: Stochastic Programming in EURO XXII in Prague.

Jitka Dupacová, Teemu Pennanen

Kybernetika, 2008

2007

Epi-convergent discretization of the generalized Bolza problem in dynamic optimization.

Boris S. Mordukhovich, Teemu Pennanen

Optim. Lett., 2007

A stochastic programming model for asset liability management of a Finnish pension company.

Petri Hilli, Matti Koivu, Teemu Pennanen, Antero Ranne

Ann. Oper. Res., 2007

2006

A splitting method for stochastic programs.

Teemu Pennanen, Markku Kallio

Ann. Oper. Res., 2006

Financial Optimization.

Teemu Pennanen

Proceedings of the Operations Research, 2006

2005

Epi-convergent discretizations of stochastic programs via integration quadratures.

Teemu Pennanen, Matti Koivu

Numerische Mathematik, 2005

Epi-Convergent Discretizations of Multistage Stochastic Programs.

Teemu Pennanen

Math. Oper. Res., 2005

2004

Proximal Methods for Cohypomonotone Operators.

Patrick L. Combettes, Teemu Pennanen

SIAM J. Control. Optim., 2004

2003

Inexact Variants of the Proximal Point Algorithm without Monotonicity.

Alfredo N. Iusem, Teemu Pennanen, Benar Fux Svaiter

SIAM J. Optim., 2003

Solving monotone inclusions with linear multi-step methods.

Teemu Pennanen, Benar Fux Svaiter

Math. Program., 2003

2002

Local Convergence of the Proximal Point Algorithm and Multiplier Methods Without Monotonicity.

Teemu Pennanen

Math. Oper. Res., 2002

2000

Dualization of Generalized Equations of Maximal Monotone Type.

Teemu Pennanen

SIAM J. Optim., 2000