94 citations · 145 across the 20 of their papers we have counts for
6 papers · 1 filter
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 semi-static hedging in illiquid markets
Teemu Pennanen, Udomsak Rakwongwan
We study indifference pricing of exotic derivatives by using hedging strategies that take static positions in quoted derivatives but trade the underlying and cash dynamically over…
Pricing index options by static hedging under finite liquidity
John Armstrong, Teemu Pennanen, Udomsak Rakwongwan
We develop a model for indifference pricing in derivatives markets where price quotes have bid-ask spreads and finite quantities. The model quantifies the dependence of the prices…
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…
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…
Arbitrage and deflators in illiquid markets
Teemu Pennanen
This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by conve…