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Publications
- Dual solutions in convex stochastic optimization, Mathematics of Operations Research, to appear (with A.-P. Perkkiö)
- Duality in convex stochastic optimization, submitted (with A.-P. Perkkiö)
- Dynamic programming in convex stochastic optimization, Journal of Convex Analysis, 30(2023), pp. 1241--1283 (with A.-P. Perkkiö)
- Cash-flow driven investment beyond expectations, submitted (with S. Alvares Maffra)
- Topological duals of locally convex function spaces, Positivity, 26(2022) (with A.-P. Perkkiö)
- Stochastic modeling of assets and liabilities with mortality risk, Scandinavian Actuarial Journal, 2021 pp.695-725 (with S. Alvares Maffra and J. Armstrong)
- Efficient allocations in double auction markets, Mathematics of Operations Research, 47(2022), pp.847-1705
- Optimal stopping without Snell envelopes, Proceedings of the American Mathematical Society, to appear (with A.-P. Perkkiö)
- Dual spaces of cadlag processes, Stochastic Processes and their Applications, 157(2023), pp.69-93 (with A.-P. Perkkiö)
- Pricing index options by static hedging under finite liquidity, Int. J. Theor. Appl. Finance, 21(2018), No. 06 (with J. Armstron and U. Rakwonwang)
- Convex duality in nonlinear optimal transport, Journal of Functional Analysis,
2019(277), pp.1029-1060 (with A.-P. Perkkiö)
- Convex integral functionals of processes of bounded variation, Journal of Convex Analysis, 25(2018), pp.161-179 (with A.-P. Perkkiö)
- Convex duality in optimal investment and contingent claim valuation in illiquid markets, Finance and Stochastics, to appear (with A.-P. Perkkiö)
- Shadow price of information in discrete time stochastic optimization, Mathematical Programming, 168(2018), pp.347–367 (with A.-P. Perkkiö)
- Convex integral functionals of regular processes, Stochastic Processes and their Applications, 128(2018), pp.1652-1677 (with A.-P. Perkkiö)
- Duality and optimality conditions in stochastic optimization and mathematical finance, Journal of Convex Analysis, 25(2018), pp.403-420 (with S. Biagini and A.-P. Perkkiö)
- Erratum: Convex duality in stochastic optimization and mathematical finance, Mathematics of Operations Research, 41(2016), pp.732-733
- Existence of solutions in non-convex dynamic programming and optimal investment, Mathematics and Financial Economics, 11(2017), pp.173–188 (with A.-P. Perkkiö and M. Rásonyi)
- Duality in convex problems of Bolza over functions of bounded variation, SIAM Journal on Control and Optimization, 52(2014), pp.1481-1498 (with A.-P. Perkkiö)
- Optimal investment and contingent claim valuation in illiquid markets, Finance and Stochastics, 18(2014), pp.733-754
- Return dynamics of index linked bond portfolios, Journal of Portfolio Management, 41(2014), pp.78-84 (with M. Koivu)
- Convex duality in optimal investment under illiquidity, Mathematical Programming, Ser. B, 148(2014), pp.279-295.
- Liability-driven investment in longevity risk management, International Series in Operations Research & Management Science, 245(2017), pp.121-136 (with H. Aro)
- Stochastic modeling of mortality and financial markets, Scandinavian Actuarial Journal, 2014, pp.483-509 (with H. Aro)
- Introduction to convex optimization in financial markets, Mathematical Programming, 134(2012), pp.157-186
- Dual representation of superhedging costs in illiquid markets, Mathematics and Financial Economics, 5(2012), pp.233-248.
- Stochastic programs without duality gaps, Mathematical Programming, 136(2012), pp. 91-220 (with A.-P. Perkkiö)
- Reduced form modeling of limit order markets, Quantitative Finance, 12(2012), pp. 1025-1036 (with P. Malo)
- Convex duality in stochastic programming and mathematical finance, Mathematics of Operations Research, 36(2011), pp. 340-362.
- Cash-flow based valuation of pension liabilities, European Actuarial Journal, 1(2011), pp. 329-343 (with P. Hilli, M. Koivu).
- A user-friendly approach to stochastic mortality modelling, European Actuarial Journal, 1(2011), pp. 151-167 (with H. Aro).
- Optimal construction of a fund of funds,
European Actuarial Journal, 1(2011), pp. 345-359 (received the Best
Paper Award at IAA AFIR Colloquium 2009) (P. Hilli, M. Koivu).
- Hedging of claims with physical delivery under convex transaction costs, SIAM Journal on Financial Mathematics, 1(2010), pp. 158-178 (with I. Penner).
- Superhedging in illiquid markets, Mathematical Finance, 21(2011), pp. 519-540.
- Arbitrage and deflators in illiquid markets, Finance and Stochastics, 15(2011), pp. 57-83.
- Galerkin methods in dynamic stochastic programming, Optimization, 59(2010), pp. 339-354 (with M. Koivu).
- Epi-convergent discretizations of multistage stochastic programs via integration quadratures, Mathematical Programming, 116(2009), pp. 461-479.
- Numerical study of discretizations of multistage stochastic programs, Kybernetika, 44(2008), pp. 185-204 (with P. Hilli).
- Epi-convergent discretization of the generalized Bolza problem in dynamic optimization, Optimization Letters, 1(2007), pp. 379-390 (with B.S. Mordukhovich).
- An adaptive importance sampling technique, Proceedings of Monte Carlo and Quasi-Monte Carlo Methods 2004, Springer 2006 (with M. Koivu).
- Cointegration analysis of the FED model, Finance Research Letters, (2)2005, pp. 248-259 (M. Koivu, W.T. Ziemba).
- Epi-convergent discretizations of stochastic programs via integration quadratures, Numerische Mathematik, 100(2005), pp. 141-163 (with M. Koivu).
- Modeling assets and liabilities of a Finnish pension company: a VEqC approach, Scandinavian Actuarial Journal, 2005, pp. 46-76 (M. Koivu, A. Ranne).
- Epi-convergent discretizations of multistage stochastic programs, Mathematics of Operations Research, 30(2005), pp. 245-256.
- A stochastic programming model for asset and liability management of a Finnish pension company, Annals of Operations Research, 152(2007), pp. 115-139 (P. Hilli, M. Koivu, A. Ranne).
- Calibrated option bounds, International Journal of Theoretical and Applied Finance, 8(2005), pp. 141-159 (A.J. King, M. Koivu).
- Proximal methods for locally cohypomonotone operators, SIAM Journal on Control and Optimization, 43(2004), pp. 731-742 (with P.L. Combettes).
- Variational
composition of a monotone operator and a linear mapping with
applications to elliptic PDEs with singular coefficients, Journal of Functional Analysis, 198(2003), pp. 84-105 (with J. Revalski, M. Thera).
- Graph-distance convergence and uniform local boundedness of monotone mappings, Proceedings of the American Mathematical Society, 131(2003), pp. 3721-3729 (with Revalski, M. Thera).
- Inexact variants of the proximal point algorithm without monotonicity, SIAM Journal on Optimization, 13(2003), pp. 1080-1097 (with A.N. Iusem, B.F. Svaiter).
- Solving monotone inclusions with linear multi-step methods, Mathematical Programming, 96(2003), pp. 469-487 (with B.F. Svaiter).
- A splitting method for stochastic programs, Annals of Operations Research, 142(2006), pp. 259-268 (with M. Kallio).
- A splitting method for composite mappings, Numerical Functional Analysis and Optimization, 23(2002), pp. 875-890.
- Generalized Mann iterates for constructing fixed points in Hilbert spaces, Journal of Mathematical Analysis and Applications, 275(2002), pp. 521-536 (with P.L. Combettes).
- Local convergence of the proximal point algorithm and multiplier methods without monotonicity, Mathematics of Operations Research, 27(2002), pp. 193-202.
- Graphical convergence of sums of monotone mappings, Proceedings of the American Mathematical Society, 130 (2002), pp. 2261-2269 (with R.T. Rockafellar, M. Thera).
- On the range of monotone composite mappings, Journal of Nonlinear and Convex Analysis, 2(2001), Special Issue for Professor Ky Fan, pp. 193-202.
- Dualization of generalized equations of maximal monotone type, SIAM Journal on Optimization, 10(2000), pp. 809-835.
- Graph-convex mappings and K-convex functions, Journal of Convex Analysis, 6(1999), pp. 235-266.
Lecture notes
- Introduction to convex optimization (incomplete), 2019
- Incomplete markets (incomplete), 2017
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