Zobrazeno 1 - 10
of 64
pro vyhledávání: '"Teemu Pennanen"'
Autor:
Teemu Pennanen, Ari-Pekka Perkkiö
Publikováno v:
Stochastic Processes and their Applications. 157:69-93
This article characterizes topological duals of spaces of cadlag processes. We obtain extensions of functional analytic results of Dellacherie and Meyer that underlie many fundamental results in stochastic analysis. In particular, we obtain a charact
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9ff5d6be19590979fef5c6cdb3045f80
https://doi.org/10.1016/j.spa.2022.11.017
https://doi.org/10.1016/j.spa.2022.11.017
Publikováno v:
Pennanen, T & Sbaraini Bonatto, L 2022, ' A stochastic oil price model for optimal hedging and risk management ', International Journal of Theoretical and Applied Finance . https://doi.org/10.1142/S0219024922500091
In this paper, we develop a stochastic model for future monthly spot prices of the most important crude oils and refined products. The model is easy to calibrate to both historical data and views of a user even in the presence of negative prices whic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6800919f9f17e0d1b5c0d876fce30251
https://doi.org/10.1142/s0219024922500091
https://doi.org/10.1142/s0219024922500091
Autor:
Teemu Pennanen, Ari-Pekka Perkkiö
Publikováno v:
Positivity. 26
This paper studies topological duals of locally convex function spaces that are natural generalizations of Fréchet and Banach function spaces. The dual is identified with the direct sum of another function space, a space of purely finitely additive
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bf857187ed602e5b9cb706c0f1389a2e
https://doi.org/10.1007/s11117-022-00867-4
https://doi.org/10.1007/s11117-022-00867-4
Publikováno v:
ICRA
This paper presents Kinetic Energy Difference (KED) as a metric for collision proximity. The calculation of KED for differentially driven robots is explained, along with an example obstacle avoidance algorithm that utilizes it. This example algorithm
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::16305d748cf3c08c202291b1cf4cc971
https://doi.org/10.1109/icra48506.2021.9561458
https://doi.org/10.1109/icra48506.2021.9561458
Autor:
Teemu Pennanen, Ari-Pekka Perkkiö
This book studies a general class of convex stochastic optimization (CSO) problems that unifies many common problem formulations from operations research, financial mathematics and stochastic optimal control. We extend the theory of dynamic programmi
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 returns on equities and various classes of fixed-income instruments i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::225773f2db2fa130e09e53d3574f4dbb
http://arxiv.org/abs/2005.09974
http://arxiv.org/abs/2005.09974
Autor:
Teemu Pennanen
Publikováno v:
King's College London
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 set of agents described by their initial endowments and preferences. I
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d8b87c502a52e5dc00b3e118946db6ee
Publikováno v:
Pennanen, T A, Perkkiö, A-P & Rasonyi, M 2016, ' Existence of solutions in non-convex dynamic programming and optimal investment ', Mathematics and Financial Economics . https://doi.org/10.1007/s11579-016-0176-6
We establish the existence of minimizers in a rather general setting of dynamic stochastic optimization in finite discrete time without assuming either convexity or coercivity of the objective function. We apply this to prove the existence of optimal
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::070ef3276ad0c064ff544a7a80a3c7be
https://doi.org/10.1007/s11579-016-0176-6
https://doi.org/10.1007/s11579-016-0176-6
Publikováno v:
Armstrong, J, Pennanen, T A & Rakwongwan, U 2018, ' Pricing index options by static hedging under finite liquidity ', International Journal of Theoretical and Applied Finance, vol. 21, no. 06 . https://doi.org/10.1142/S0219024918500449
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 and hedging portfolios on an investor's beliefs, risk preferences and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::790a3b46c2541b28608b88f855ebe86a
https://kclpure.kcl.ac.uk/ws/files/100946358/put_call_ijtaf.pdf
https://kclpure.kcl.ac.uk/ws/files/100946358/put_call_ijtaf.pdf
Autor:
Teemu Pennanen, Ari-Pekka Perkkiö
This paper proves the existence of optimal stopping times via elementary functional analytic arguments. The problem is first relaxed into a convex optimization problem over a closed convex subset of the unit ball of the dual of a Banach space. The ex
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6ffa4e3776bbea8de1b8113d4d204cba