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ORCIDTeemu Pennanen
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2020 – today
- 2022
[j25]Teemu Pennanen
:
Efficient Allocations in Double Auction Markets. Math. Oper. Res. 47(2): 1648-1663 (2022)
2010 – 2019
- 2018
- [j24]Teemu Pennanen, Ari-Pekka Perkkiö:
Convex duality in optimal investment and contingent claim valuation in illiquid markets. Finance Stochastics 22(4): 733-771 (2018) - [j23]Teemu Pennanen, Ari-Pekka Perkkiö:
Shadow price of information in discrete time stochastic optimization. Math. Program. 168(1-2): 347-367 (2018) - 2016
- [j22]Teemu Pennanen:
Erratum: "Convex Duality in Stochastic Optimization and Mathematical Finance". Math. Oper. Res. 41(2) (2016) - 2014
- [j21]Teemu Pennanen:
Optimal investment and contingent claim valuation in illiquid markets. Finance Stochastics 18(4): 733-754 (2014) - [j20]Teemu Pennanen:
Convex duality in optimal investment under illiquidity. Math. Program. 148(1-2): 279-295 (2014) - [j19]Teemu Pennanen, Ari-Pekka Perkkiö:
Duality in Convex Problems of Bolza over Functions of Bounded Variation. SIAM J. Control. Optim. 52(3): 1481-1498 (2014) - 2012
- [j18]Teemu Pennanen:
Introduction to convex optimization in financial markets. Math. Program. 134(1): 157-186 (2012) - [j17]Teemu Pennanen, Ari-Pekka Perkkiö:
Stochastic programs without duality gaps. Math. Program. 136(1): 91-110 (2012) - 2011
- [j16]Teemu Pennanen:
Arbitrage and deflators in illiquid markets. Finance Stochastics 15(1): 57-83 (2011) - [j15]Teemu Pennanen:
Convex Duality in Stochastic Optimization and Mathematical Finance. Math. Oper. Res. 36(2): 340-362 (2011) - [i1]Teemu Pennanen, Ari-Pekka Perkkiö:
Stochastic programs without duality gaps. CoRR abs/1105.0934 (2011) - 2010
- [j14]Teemu Pennanen, Irina Penner:
Hedging of Claims with Physical Delivery under Convex Transaction Costs. SIAM J. Financial Math. 1(1): 158-178 (2010)
2000 – 2009
- 2009
- [j13]Teemu Pennanen:
Epi-convergent discretizations of multistage stochastic programs via integration quadratures. Math. Program. 116(1-2): 461-479 (2009) - 2008
- [j12]Jitka Dupacová, Teemu Pennanen:
Special issue: Stochastic Programming in EURO XXII in Prague. Kybernetika 44(2): 133 (2008) - [j11]Petri Hilli, Teemu Pennanen:
Numerical study of discretizations of multistage stochastic programs. Kybernetika 44(2): 185-204 (2008) - 2007
- [j10]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): 115-139 (2007) - [j9]Boris S. Mordukhovich, Teemu Pennanen:
Epi-convergent discretization of the generalized Bolza problem in dynamic optimization. Optim. Lett. 1(4): 379-390 (2007) - 2006
- [j8]Teemu Pennanen, Markku Kallio:
A splitting method for stochastic programs. Ann. Oper. Res. 142(1): 259-268 (2006) - [c1]Teemu Pennanen:
Financial Optimization. OR 2006: 113 - 2005
- [j7]Teemu Pennanen:
Epi-Convergent Discretizations of Multistage Stochastic Programs. Math. Oper. Res. 30(1): 245-256 (2005) - [j6]Teemu Pennanen, Matti Koivu:
Epi-convergent discretizations of stochastic programs via integration quadratures. Numerische Mathematik 100(1): 141-163 (2005) - 2004
- [j5]Patrick L. Combettes, Teemu Pennanen:
Proximal Methods for Cohypomonotone Operators. SIAM J. Control. Optim. 43(2): 731-742 (2004) - 2003
- [j4]Teemu Pennanen, Benar Fux Svaiter:
Solving monotone inclusions with linear multi-step methods. Math. Program. 96(3): 469-487 (2003) - [j3]Alfredo N. Iusem, Teemu Pennanen, Benar Fux Svaiter:
Inexact Variants of the Proximal Point Algorithm without Monotonicity. SIAM J. Optim. 13(4): 1080-1097 (2003) - 2002
- [j2]Teemu Pennanen:
Local Convergence of the Proximal Point Algorithm and Multiplier Methods Without Monotonicity. Math. Oper. Res. 27(1): 170-191 (2002) - 2000
- [j1]Teemu Pennanen:
Dualization of Generalized Equations of Maximal Monotone Type. SIAM J. Optim. 10(3): 809-835 (2000)
Coauthor Index
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