1 citations · 1 across the 3 of their papers we have counts for
3 papers
q-fin.ST2010
Reduced form models of bond portfolios
Matti Koivu, Teemu Pennanen
We derive simple return models for several classes of bond portfolios. With only one or two risk factors our models are able to explain most of the return variations in portfolios…
q-fin.PR2008★ 1 cited
Hedging of claims with physical delivery under convex transaction costs
Teemu Pennanen, Irina Penner
We study superhedging of contingent claims with physical delivery in a discrete-time market model with convex transaction costs. Our model extends Kabanov's currency market model b…
q-fin.PR2008
Superhedging in illiquid markets
Teemu Pennanen
We study contingent claims in a discrete-time market model where trading costs are given by convex functions and portfolios are constrained by convex sets. In addition to classical…