94 citations · 145 across the 20 of their papers we have counts for
32 papers
Social welfare and price discovery in double auction markets
Teemu Pennanen
The tendency of the double auction mechanism to drive prices to competitive equilibrium has been well documented in laboratory experiments, but the phenomenon has lacked a theoreti…
Optimal Pricing and Hedging of SOFR Derivatives
Teemu Pennanen, Waleed Taoum
Thousands of SOFR derivatives are available in exchanges and OTC, but the market remains illiquid and incomplete. Such a market is beyond the scope of classic risk-neutral approach…
Optimal Operation and Valuation of Electricity Storages in Intraday Markets
Jean-Philippe Chancelier, Michel de Lara, François Pacaud +3
This paper applies computational techniques of convex stochastic optimization to optimal operation and valuation of electricity storages in the face of uncertain electricity prices…
Statistical modeling of SOFR term structure
Teemu Pennanen, Waleed Taoum
SOFR derivatives market remains illiquid and incomplete so it is not amenable to classical risk-neutral term structure models which are based on the assumption of perfect liquidity…
Dynamic programming and dimensionality in convex stochastic optimization and control
Teemu Pennanen, Ari-Pekka Perkkiö
This paper studies stochastic optimization problems and associated Bellman equations in formats that allow for reduced dimensionality of the cost-to-go functions. In particular, we…
Optimal Operation and Valuation of Electricity Storages
Jean-Philippe Chancelier, Michel De Lara, François Pacaud +2
This paper applies computational techniques of convex stochastic optimization to optimal operation and valuation of electricity storages in the face of uncertain electricity prices…