Mikko Pakkanen
Mikko Pakkanen is a Lecturer in Mathematical Finance and Statistics at Imperial College London. He worked at CREATES as a Postdoctoral Research Fellow from 2012 until 2014. He received his Ph.D. in Applied Mathematics from the University of Helsinki in 2010. His current research interests include ambit stochastics, limit theorems, modelling of limit order books, and realised volatility.
Publications
Morariu-Patrichi, M. & Pakkanen, M. S. (2022). State-dependent Hawkes processes and their application to limit order book modelling. Quantitative Finance, 22(3), 563-583. https://doi.org/10.1080/14697688.2021.1983199
Heinrich, C., Pakkanen, M. & Veraart, A. (2019). Hybrid simulation scheme for volatility modulated moving average fields. Simulation, 166(December), 224-244. https://doi.org/10.1016/j.matcom.2019.04.006
Bennedsen, M., Hounyo, U., Lunde, A. & Pakkanen, M. S. (2019). The local fractional bootstrap. Scandinavian Journal of Statistics, 46(1), 329-359. https://doi.org/10.1111/sjos.12355
Jacquier, A., Pakkanen, M. S. & Stone, H. (2018). Pathwise large deviations for the rough Bergomi model. Journal of Applied Probability, 55(4), 1078-1092. https://doi.org/10.1017/jpr.2018.72
McCrickerd, R. & Pakkanen, M. S. (2018). Turbocharging Monte Carlo pricing for the rough Bergomi model. Quantitative Finance, 18(11), 1877-1886. https://doi.org/10.1080/14697688.2018.1459812
Lukkarinen, J. & Pakkanen, M. (2017). Arbitrage without borrowing or short selling. Mathematics and Financial Economics, 11(3), 263–274. https://doi.org/10.1007/s11579-016-0180-x
Bennedsen, M., Lunde, A. & Pakkanen, M. S. (2017). Hybrid scheme for Brownian semistationary processes. Finance and Stochastics, 21(4), 931-965. https://doi.org/10.1007/s00780-017-0335-5
Pakkanen, M., Sottinen, T. & Yazigi, A. (2017). On the conditional small ball property of multivariate Lévy-driven moving average processes. Stochastic Processes and Their Applications, 127(3), 749–782. https://doi.org/10.1016/j.spa.2016.06.025
Pakkanen, M. & Réveillac, A. (2016). Functional limit theorems for generalized variations of the fractional Brownian sheet. Bernoulli, 22(3), 1671-1708. https://doi.org/10.3150/15-BEJ707
Bender, C., Pakkanen, M. S. & Sayit, H. (2015). Sticky continuous processes have consistent price systems. Journal of Applied Probability, 52(2), 586-594.
Barndorff-Nielsen, O. E., Pakkanen, M. S. & Schmiegel, J. (2014). Assessing relative volatility/intermittency/energy dissipation. Electronic Journal of Statistics, 8(2), 1996-2021. https://doi.org/10.1214/14-EJS942
Lukkarinen, J. & Pakkanen, M. S. (2014). Erratum: On the positivity of Riemann-Stieltjes integrals (Bulletin of the Australian Mathematical Society (2013) 87 (400-405)). Bulletin of the Australian Mathematical Society, 89. https://doi.org/10.1017/S0004972713000713
Pakkanen, M. S. (2014). Limit theorems for power variations of ambit field driven by white noise. Stochastic Processes and Their Applications, 124(5), 1942-1973. https://doi.org/10.1016/j.spa.2014.01.005
Bayraktar, E., Pakkanen, M. S. & Sayit, H. (2014). On the existence of consistent price systems. Stochastic Analysis and Applications, 32(1), 152-162. https://doi.org/10.1080/07362994.2014.858535
Corcuera, J. M., Hedevang, E., Pakkanen, M. S. & Podolskij, M. (2013). Asymptotic theory for Brownian semi-stationary processes with application to turbulence. Stochastic Processes and Their Applications, 123(7), 2552-2574. https://doi.org/10.1016/j.spa.2013.03.011
Lukkarinen, J. & Pakkanen, M. S. (2013). On the positivity of Riemann–Stieltjes integrals. Bulletin of the Australian Mathematical Society, 87(3), 400-405. https://doi.org/10.1017/S0004972712000639
Pakkanen, M. S. (2011). Brownian semistationary processes and conditional full support. International Journal of Theoretical and Applied Finance, 14(4), 579-586. https://doi.org/10.1142/S0219024911006747
Pakkanen, M. S. (2010). Microfoundations for diffusion price processes. Mathematics and Financial Economics, 3(2), 89-114. https://doi.org/10.1007/s11579-010-0029-7
Pakkanen, M. S. (2010). Stochastic integrals and conditional full support. Journal of Applied Probability, 47(3), 650-667. https://doi.org/10.1239/jap/1285335401
