Conference Program

PLENARY AND SEMI-PLENARY TALKS

 (Add to Calendar)  Tuesday, August 21, 17:00 – 17:50 h, H0104:


Teemu Pennanen: Introduction to convex optimization in financial markets

Chair: John Birge

 

Abstract:

Convexity arises quite naturally in financial risk management. In risk preferences concerning random cash-flows, convexity corresponds to the fundamental diversification principle. Convexity is a basic property also of budget constraints both in classical linear models as well as in more realistic models with transaction costs and constraints. Moreover, modern securities markets are based on trading protocols that result in convex trading costs. This talk gives an introduction to certain basic concepts and principles of financial risk management in simple optimization terms. We then review some convex optimization techniques used in mathematical and numerical analysis of financial optimization problems.

 

Biographical sketch:

Teemu Pennanen is the Professor of Mathematical Finance, Probability and Statistics at King's College London. Before joining KCL, Professor Pennanen worked as Managing Director at QSA Quantitative Solvency Analysts Ltd, with a joint appointment as Professor of Stochastics at University of Jyvaskyla, Finland. His earlier appointments include a research fellowship of the Finnish Academy and several visiting positions in universities abroad. Professor Pennanen's research interests include financial risk management, financial econometrics, mathematical finance and the development of computational techniques for risk management. He has authored more than 30 journal publications and he has been a consultant to a number of financial institutions including Bank of Finland, Ministry of Social Affairs and Health and The State Pension Fund.

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