94 citations · 145 across the 20 of their papers we have counts for
4 papers · 1 filter
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…
Topological duals of Banach function spaces
Teemu Pennanen, Ari-Pekka Perkkiö
This paper studies topological duals of Banach function spaces (BFS). We assume a finite measure but our arguments extend to general locally convex function spaces whose topology i…
Stochastic modeling of assets and liabilities with mortality risk
Sergio Alvares Maffra, John Armstrong, Teemu Pennanen
This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer. On the asset side, we model the investment…
Efficient allocations in double auction markets
Teemu Pennanen
This paper proposes a simple descriptive model of discrete-time double auction markets for divisible assets. As in the classical models of exchange economies, we consider a finite…