Professor Teemu Pennanen Academics Supervisors Professor in Financial Mathematics Research subject areas Mathematics Contact details +44 020 7848 2402 teemu.pennanen@kcl.ac.uk
Stochastic modelling of football matches using dynamic regressors Dynamic programming and dimensionality in convex stochastic optimization and control Convex Stochastic Optimization: Dynamic Programming and Duality in Discrete Time Cashflow-driven investment beyond expectations Dual solutions in convex stochastic optimization Dynamic programming in convex stochastic optimization Dual spaces of cadlag processes A stochastic oil price model for optimal hedging and risk management Topological duals of locally convex function spaces Optimal stopping without Snell envelopes Efficient allocations in double auction markets Stochastic modeling of assets and liabilities withmortality risk Convex duality in nonlinear optimal transport Pricing index options by static hedging under finite liquidity Convex duality in optimal investment and contingent claim valuation in illiquid markets Convex integral functionals of regular processes Shadow price of information in discrete time stochastic optimization Duality and optimality conditions in stochastic optimization and mathematical finance Convex Integral Functionals of Processes of Bounded Variation Existence of solutions in non-convex dynamic programming and optimal investment Erratum: Convex duality in stochastic optimization and mathematical finance (Mathematics of Operations Research (2016) DOI: 10.1287/moor.2015.0750) A splitting method for composite mappings Epi-convergent discretizations of stochastic programs via integration quadratures Dualization of generalized equations of maximal monotone type On the range of monotone composite mappings Graphical convergence of sums of monotone mappings Local convergence of the proximal point algorithm and multiplier methods without monotonicity Generalized Mann iterates for constructing fixed points in Hilbert spaces A splitting method for stochastic programs Solving monotone inclusions with linear multi-step methods Inexact variants of the proximal point algorithm without monotonicity Graph-distance convergence and uniform local boundedness of monotone mappings Variational composition of a monotone operator and a linear mapping with applications to elliptic PDEs with singular coefficients Proximal methods for locally cohypomonotone operators Calibrated option bounds A stochastic programming model for asset and liability management of a Finnish pension company Epi-convergent discretizations of multistage stochastic programs Modeling assets and liabilities of a Finnish pension company: a VEqC approach Cointegration analysis of the FED model An adaptive importance sampling technique Epi-convergent discretization of the generalized Bolza problem in dynamic optimization Liability-driven investment in longevity risk management Return Dynamics of Index-Linked Bond Portfolios Duality in convex problems of Bolza over functions of bounded variation Optimal investment and contingent claim valuation in illiquid markets What level of pension contribution is needed to obtain an adequate retirement income? Convex duality in optimal investment under illiquidity Stochastic modelling of mortality and financial markets Eläkevakuuttaminen epävarmassa sijoitusympäristössä: Kassavirtaperusteinen riskienhallinta Eläkevakuuttaminen epävarmassa sijoitusympäristössä: Laskelmia työeläkkeiden rahastoinnin tehostamisesta 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.