94 citations · 145 across the 20 of their papers we have counts for
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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.TR2010★ 2 cited
Reduced form modeling of limit order markets
Pekka Malo, Teemu Pennanen
This paper proposes a parametric approach for stochastic modeling of limit order markets. The models are obtained by augmenting classical perfectly liquid market models by few addi…
q-fin.CP2010
Convex duality in stochastic programming and mathematical finance
Teemu Pennanen
This paper proposes a general duality framework for the problem of minimizing a convex integral functional over a space of stochastic processes adapted to a given filtration. The f…