94 citations · 145 across the 20 of their papers we have counts for
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q-fin.TR2026
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…
q-fin.PR2026
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…