Professor Teemu Pennanen Professor Teemu Pennanen Academics Supervisors Professor in Financial Mathematics Research subject areas Mathematics Contact details +44 020 7848 2402 teemu.pennanen@kcl.ac.uk
A stochastic oil price model for optimal hedging and risk management Pennanen, T. & Sbaraini Bonatto, L., 2022, (Accepted/In press) In: International Journal of Theoretical and Applied Finance. Research output: Contribution to journal › Article › peer-review Topological duals of locally convex function spaces Pennanen, T. & Perkkio, A-P., 1 Sep 2021, (Accepted/In press) In: POSITIVITY. Research output: Contribution to journal › Article › peer-review Optimal stopping without Snell envelopes Pennanen, T. & Perkko, A-P., 20 Aug 2021, (Accepted/In press) In: Proceedings of the American Mathematical Society. Research output: Contribution to journal › Article › peer-review Stochastic modeling of assets and liabilities withmortality risk Alvares Rodrigues Souza Maffra, S., Armstrong, J. & Pennanen, T., 8 Feb 2021, In: Scandinavian Actuarial Journal. 2021, 8, p. 695-725 31 p. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1080/03461238.2021.1873176 Efficient allocations in double auction markets Pennanen, T., 2021, In: MATHEMATICS OF OPERATIONS RESEARCH. Research output: Contribution to journal › Article › peer-review Convex duality in nonlinear optimal transport Pennanen, T. & Perkkio, A-P., 15 Aug 2019, In: JOURNAL OF FUNCTIONAL ANALYSIS. 277, 4, p. 1029-1060 32 p. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1016/j.jfa.2019.04.010 Convex duality in optimal investment and contingent claim valuation in illiquid markets Pennanen, T. & Perkkiö, A-P., Oct 2018, In: Finance and Stochastics. 22, 4, p. 733–771 Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1007/s00780-018-0372-8 Pricing index options by static hedging under finite liquidity Armstrong, J., Pennanen, T. A. & Rakwongwan, U., 27 Sep 2018, In: International Journal of Theoretical and Applied Finance. 21, 06 Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1142/S0219024918500449 Convex integral functionals of regular processes Pennanen, T. A. & Perkkio, A-P., May 2018, In: Stochastic Processes and Their Applications. 128, 5, p. 1652-1677 Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1016/j.spa.2017.08.007 Duality and optimality conditions in stochastic optimization and mathematical finance Biagini, S., Pennanen, T. & Perkkio, A-P., Apr 2018, In: JOURNAL OF CONVEX ANALYSIS. 25, 2, p. 403-420 Research output: Contribution to journal › Article › peer-review View all publications
3 February 2022 KBS-Mathematics-Informatics Research Discussion on Climate Finance Virtual meeting held to discuss research collaboration in the field of climate finance.