Teemu Pennanen

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Ari-Pekka PerkkiöLudwig-Maximilians-Universität MünchenAdresse e-mail validée de math.lmu.de
Alan J KingIBM Thomas J Watson Research CenterAdresse e-mail validée de us.ibm.com
A. IusemIMPAAdresse e-mail validée de impa.br
Michel THERAProfesseur Emérite, Université de Limoges and Adjunct Professor University of BallaratAdresse e-mail validée de unilim.fr
Pekka MaloProfessori (associate professor, tenured), Statistics, Aalto University School of BusinessAdresse e-mail validée de aalto.fi
Boris MordukhovichDistinguished Professor of Mathematics, Wayne State UniversityAdresse e-mail validée de math.wayne.edu
Sara BiaginiAssociate Professor of Mathematical Finance, LUISS G. Carli, RomeAdresse e-mail validée de luiss.it
R T RockafellarProfessor of Mathematics, University of WashingtonAdresse e-mail validée de uw.edu
Leandro N. CarreraLondon Schoool of EconomicsAdresse e-mail validée de lse.ac.uk
Jonathan EcksteinDistinguished Professor of Management Science and Information Systems, Rutgers UniversityAdresse e-mail validée de business.rutgers.edu

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Teemu Pennanen

Professor of Financial Mathematics, King's College London

Adresse e-mail validée de kcl.ac.uk - Page d'accueil

convex optimization probability statistics finance


Titre Trier par citations Trier par année Trier par titre	Citée par Citée par	Année
Local convergence of the proximal point algorithm and multiplier methods without monotonicity T Pennanen Mathematics of Operations Research 27 (1), 170-191, 2002	168	2002
A stochastic programming model for asset liability management of a Finnish pension company P Hilli, M Koivu, T Pennanen, A Ranne Annals of Operations Research 152 (1), 115-139, 2007	123	2007
Epi-convergent discretizations of stochastic programs via integration quadratures T Pennanen, M Koivu Numerische mathematik 100 (1), 141-163, 2005	114	2005
Epi-convergent discretizations of multistage stochastic programs T Pennanen Mathematics of Operations Research, 245-256, 2005	109	2005
Inexact variants of the proximal point algorithm without monotonicity AN Iusem, T Pennanen, BF Svaiter SIAM Journal on Optimization 13 (4), 1080-1097, 2003	104	2003
Proximal methods for cohypomonotone operators PL Combettes, T Pennanen SIAM journal on control and optimization 43 (2), 731-742, 2004	94	2004
Epi-convergent discretizations of multistage stochastic programs via integration quadratures T Pennanen Mathematical Programming 116 (1), 461-479, 2009	88	2009
Dualization of generalized equations of maximal monotone type T Pennanen SIAM Journal on Optimization 10 (3), 809-835, 2000	75	2000
Hedging of claims with physical delivery under convex transaction costs T Pennanen, I Penner SIAM Journal on Financial Mathematics 1 (1), 158-178, 2010	72	2010
Convex Duality in Stochastic Optimization and Mathematical Finance T Pennanen Mathematics of Operations Research 36 (2), 340-362, 2011	66	2011
Cointegration analysis of the Fed model M Koivu, T Pennanen, WT Ziemba Finance Research Letters 2 (4), 248-259, 2005	63	2005
Generalized Mann iterates for constructing fixed points in Hilbert spaces PL Combettes, T Pennanen Journal of Mathematical Analysis and Applications 275 (2), 521-536, 2002	60	2002
Calibrated option bounds AJ King, M Koivu, T Pennanen International Journal of Theoretical and Applied Finance 8 (02), 141-159, 2005	46	2005
Arbitrage and deflators in illiquid markets T Pennanen Finance and Stochastics 15, 57-83, 2011	45	2011
Integration quadratures in discretization of stochastic programs T Pennanen, M Koivu Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät …, 2002	44	2002
Stochastic programs without duality gaps T Pennanen, AP Perkkiö Mathematical Programming 136 (1), 91-110, 2012	43	2012
Modeling assets and liabilities of a Finnish pension insurance company: a VEqC approach M Koivu, T Pennanen, A Ranne Scandinavian Actuarial Journal 2005 (1), 2005	41*	2005
A user-friendly approach to stochastic mortality modelling H Aro, T Pennanen European Actuarial Journal 1, 151-167, 2011	37	2011
Superhedging in illiquid markets T Pennanen Mathematical Finance 21 (3), 519-540, 2011	35	2011
Optimal investment and contingent claim valuation in illiquid markets T Pennanen Finance and Stochastics 18, 733-754, 2014	33	2014

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