Professor Teemu Pennanen Academics Professor in Financial Mathematics Research subject areas Mathematics Contact details +44 020 7848 2402 teemu.pennanen@kcl.ac.uk
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. DOIs: https://doi.org/10.1016/j.jfa.2019.04.010 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. DOIs: https://doi.org/10.1142/S0219024918500449 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. DOIs: https://doi.org/10.1007/s00780-018-0372-8 Convex integral functionals of regular processes Pennanen, T. A. & Perkkio, A-P., 24 Aug 2017, In : Stochastic Processes and Their Applications. Research output: Contribution to journal - Article. DOIs: https://doi.org/10.1016/j.spa.2017.08.007 Shadow price of information in discrete time stochastic optimization Pennanen, T. A. & Perkkio, A-P., 30 May 2017, In : MATHEMATICAL PROGRAMMING. p. 1-21 Research output: Contribution to journal - Article. DOIs: https://doi.org/10.1007/s10107-017-1163-2 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 Convex Integral Functionals of Processes of Bounded Variation Pennanen, T. & Perkkio, A-P., Feb 2018, In : JOURNAL OF CONVEX ANALYSIS. 25, 1, p. 161-179 Research output: Contribution to journal - Article Existence of solutions in non-convex dynamic programming and optimal investment Pennanen, T. A., Perkkiö, A-P. & Rasonyi, M., 29 Jun 2016, In : Mathematics and Financial Economics. 16 p. Research output: Contribution to journal - Article. DOIs: https://doi.org/10.1007/s11579-016-0176-6 Erratum: Convex duality in stochastic optimization and mathematical finance (Mathematics of Operations Research (2016) DOI: 10.1287/moor.2015.0750) Pennanen, T., 3 Feb 2016, In : MATHEMATICS OF OPERATIONS RESEARCH. 41, 2, p. 732-733 2 p. Research output: Contribution to journal - Article. DOIs: https://doi.org/10.1287/moor.2015.0750 A splitting method for composite mappings Pennanen, T., 2002, In : Numerical Functional Analysis and Optimization. Research output: Contribution to journal - Article View all publications