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Teemu Pennanen

Orcid: 0000-0002-7965-1089

According to our database1, Teemu Pennanen authored at least 26 papers between 2000 and 2022.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

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Links

On csauthors.net:

Bibliography

2022
Efficient Allocations in Double Auction Markets.
[BibTeX]
[DOI]
Teemu Pennanen
Math. Oper. Res., 2022

2018
Shadow price of information in discrete time stochastic optimization.
[BibTeX]
[DOI]
Teemu Pennanen
,
Ari-Pekka Perkkiö
Math. Program., 2018

Convex duality in optimal investment and contingent claim valuation in illiquid markets.
[BibTeX]
[DOI]
Teemu Pennanen
,
Ari-Pekka Perkkiö
Finance Stochastics, 2018

2016
Erratum: "Convex Duality in Stochastic Optimization and Mathematical Finance".
[BibTeX]
[DOI]
Teemu Pennanen
Math. Oper. Res., 2016

2014
Duality in Convex Problems of Bolza over Functions of Bounded Variation.
[BibTeX]
[DOI]
Teemu Pennanen
,
Ari-Pekka Perkkiö
SIAM J. Control. Optim., 2014

Convex duality in optimal investment under illiquidity.
[BibTeX]
[DOI]
Teemu Pennanen
Math. Program., 2014

Optimal investment and contingent claim valuation in illiquid markets.
[BibTeX]
[DOI]
Teemu Pennanen
Finance Stochastics, 2014

2012
Stochastic programs without duality gaps.
[BibTeX]
[DOI]
Teemu Pennanen
,
Ari-Pekka Perkkiö
Math. Program., 2012

Introduction to convex optimization in financial markets.
[BibTeX]
[DOI]
Teemu Pennanen
Math. Program., 2012

2011
Convex Duality in Stochastic Optimization and Mathematical Finance.
[BibTeX]
[DOI]
Teemu Pennanen
Math. Oper. Res., 2011

Arbitrage and deflators in illiquid markets.
[BibTeX]
[DOI]
Teemu Pennanen
Finance Stochastics, 2011

2010
Hedging of Claims with Physical Delivery under Convex Transaction Costs.
[BibTeX]
[DOI]
Teemu Pennanen
,
Irina Penner
SIAM J. Financial Math., 2010

2009
Epi-convergent discretizations of multistage stochastic programs via integration quadratures.
[BibTeX]
[DOI]
Teemu Pennanen
Math. Program., 2009

2008
Numerical study of discretizations of multistage stochastic programs.
[BibTeX]
[DOI]
Petri Hilli
,
Teemu Pennanen
Kybernetika, 2008

Special issue: Stochastic Programming in EURO XXII in Prague.
[BibTeX]
[DOI]
Jitka Dupacová
,
Teemu Pennanen
Kybernetika, 2008

2007
Epi-convergent discretization of the generalized Bolza problem in dynamic optimization.
[BibTeX]
[DOI]
Boris S. Mordukhovich
,
Teemu Pennanen
Optim. Lett., 2007

A stochastic programming model for asset liability management of a Finnish pension company.
[BibTeX]
[DOI]
Petri Hilli
,
Matti Koivu
,
Teemu Pennanen
,
Antero Ranne
Ann. Oper. Res., 2007

2006
A splitting method for stochastic programs.
[BibTeX]
[DOI]
Teemu Pennanen
,
Markku Kallio
Ann. Oper. Res., 2006

Financial Optimization.
[BibTeX]
[DOI]
Teemu Pennanen
Proceedings of the Operations Research, 2006

2005
Epi-convergent discretizations of stochastic programs via integration quadratures.
[BibTeX]
[DOI]
Teemu Pennanen
,
Matti Koivu
Numerische Mathematik, 2005

Epi-Convergent Discretizations of Multistage Stochastic Programs.
[BibTeX]
[DOI]
Teemu Pennanen
Math. Oper. Res., 2005

2004
Proximal Methods for Cohypomonotone Operators.
[BibTeX]
[DOI]
Patrick L. Combettes
,
Teemu Pennanen
SIAM J. Control. Optim., 2004

2003
Inexact Variants of the Proximal Point Algorithm without Monotonicity.
[BibTeX]
[DOI]
Alfredo N. Iusem
,
Teemu Pennanen
,
Benar Fux Svaiter
SIAM J. Optim., 2003

Solving monotone inclusions with linear multi-step methods.
[BibTeX]
[DOI]
Teemu Pennanen
,
Benar Fux Svaiter
Math. Program., 2003

2002
Local Convergence of the Proximal Point Algorithm and Multiplier Methods Without Monotonicity.
[BibTeX]
[DOI]
Teemu Pennanen
Math. Oper. Res., 2002

2000
Dualization of Generalized Equations of Maximal Monotone Type.
[BibTeX]
[DOI]
Teemu Pennanen
SIAM J. Optim., 2000


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