
Publications
 Cashflow driven investment beyond expectations, submitted (with S. Alvares Maffra)
 Topological duals of locally convex function spaces, Positivity, to appear (with A.P. Perkkiö)
 Stochastic modeling of assets and liabilities with mortality risk, Scandinavian Actuarial Journal, to appear (with S. Alvares Maffra and J. Armstrong)
 Efficient allocations in double auction markets, Mathematics of Operations Research, to appear
 Optimal stopping without Snell envelopes, Proceedings of the American Mathematical Society, to appear (with A.P. Perkkiö)
 Dual spaces of cadlag processes, submitted (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.10291060 (with A.P. Perkkiö)
 Convex integral functionals of processes of bounded variation, Journal of Convex Analysis, 25(2018), pp.161179 (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.16521677 (with A.P. Perkkiö)
 Duality and optimality conditions in stochastic optimization and mathematical finance, Journal of Convex Analysis, 25(2018), pp.403420 (with S. Biagini and A.P. Perkkiö)
 Erratum: Convex duality in stochastic optimization and mathematical finance, Mathematics of Operations Research, 41(2016), pp.732733
 Existence of solutions in nonconvex 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.14811498 (with A.P. Perkkiö)
 Optimal investment and contingent claim valuation in illiquid markets, Finance and Stochastics, 18(2014), pp.733754
 Return dynamics of index linked bond portfolios, Journal of Portfolio Management, 41(2014), pp.7884 (with M. Koivu)
 Convex duality in optimal investment under illiquidity, Mathematical Programming, Ser. B, 148(2014), pp.279295.
 Liabilitydriven investment in longevity risk management, International Series in Operations Research & Management Science, 245(2017), pp.121136 (with H. Aro)
 Stochastic modeling of mortality and financial markets, Scandinavian Actuarial Journal, 2014, pp.483509 (with H. Aro)
 Introduction to convex optimization in financial markets, Mathematical Programming, 134(2012), pp.157186
 Dual representation of superhedging costs in illiquid markets, Mathematics and Financial Economics, 5(2012), pp.233248.
 Stochastic programs without duality gaps, Mathematical Programming, 136(2012), pp. 91220 (with A.P. Perkkiö)
 Reduced form modeling of limit order markets, Quantitative Finance, 12(2012), pp. 10251036 (with P. Malo)
 Convex duality in stochastic programming and mathematical finance, Mathematics of Operations Research, 36(2011), pp. 340362.
 Cashflow based valuation of pension liabilities, European Actuarial Journal, 1(2011), pp. 329343 (with P. Hilli, M. Koivu).
 A userfriendly approach to stochastic mortality modelling, European Actuarial Journal, 1(2011), pp. 151167 (with H. Aro).
 Optimal construction of a fund of funds,
European Actuarial Journal, 1(2011), pp. 345359 (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. 158178 (with I. Penner).
 Superhedging in illiquid markets, Mathematical Finance, 21(2011), pp. 519540.
 Arbitrage and deflators in illiquid markets, Finance and Stochastics, 15(2011), pp. 5783.
 Galerkin methods in dynamic stochastic programming, Optimization, 59(2010), pp. 339354 (with M. Koivu).
 Epiconvergent discretizations of multistage stochastic programs via integration quadratures, Mathematical Programming, 116(2009), pp. 461479.
 Numerical study of discretizations of multistage stochastic programs, Kybernetika, 44(2008), pp. 185204 (with P. Hilli).
 Epiconvergent discretization of the generalized Bolza problem in dynamic optimization, Optimization Letters, 1(2007), pp. 379390 (with B.S. Mordukhovich).
 An adaptive importance sampling technique, Proceedings of Monte Carlo and QuasiMonte Carlo Methods 2004, Springer 2006 (with M. Koivu).
 Cointegration analysis of the FED model, Finance Research Letters, (2)2005, pp. 248259 (M. Koivu, W.T. Ziemba).
 Epiconvergent discretizations of stochastic programs via integration quadratures, Numerische Mathematik, 100(2005), pp. 141163 (with M. Koivu).
 Modeling assets and liabilities of a Finnish pension company: a VEqC approach, Scandinavian Actuarial Journal, 2005, pp. 4676 (M. Koivu, A. Ranne).
 Epiconvergent discretizations of multistage stochastic programs, Mathematics of Operations Research, 30(2005), pp. 245256.
 A stochastic programming model for asset and liability management of a Finnish pension company, Annals of Operations Research, 152(2007), pp. 115139 (P. Hilli, M. Koivu, A. Ranne).
 Calibrated option bounds, International Journal of Theoretical and Applied Finance, 8(2005), pp. 141159 (A.J. King, M. Koivu).
 Proximal methods for locally cohypomonotone operators, SIAM Journal on Control and Optimization, 43(2004), pp. 731742 (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. 84105 (with J. Revalski, M. Thera).
 Graphdistance convergence and uniform local boundedness of monotone mappings, Proceedings of the American Mathematical Society, 131(2003), pp. 37213729 (with Revalski, M. Thera).
 Inexact variants of the proximal point algorithm without monotonicity, SIAM Journal on Optimization, 13(2003), pp. 10801097 (with A.N. Iusem, B.F. Svaiter).
 Solving monotone inclusions with linear multistep methods, Mathematical Programming, 96(2003), pp. 469487 (with B.F. Svaiter).
 A splitting method for stochastic programs, Annals of Operations Research, 142(2006), pp. 259268 (with M. Kallio).
 A splitting method for composite mappings, Numerical Functional Analysis and Optimization, 23(2002), pp. 875890.
 Generalized Mann iterates for constructing fixed points in Hilbert spaces, Journal of Mathematical Analysis and Applications, 275(2002), pp. 521536 (with P.L. Combettes).
 Local convergence of the proximal point algorithm and multiplier methods without monotonicity, Mathematics of Operations Research, 27(2002), pp. 193202.
 Graphical convergence of sums of monotone mappings, Proceedings of the American Mathematical Society, 130 (2002), pp. 22612269 (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. 193202.
 Dualization of generalized equations of maximal monotone type, SIAM Journal on Optimization, 10(2000), pp. 809835.
 Graphconvex mappings and Kconvex functions, Journal of Convex Analysis, 6(1999), pp. 235266.
Lecture notes
 Introduction to convex optimization (incomplete), 2019
 Incomplete markets (incomplete), 2017
