Mikko S. Pakkanen
Mikko S. Pakkanen
Reader in Data Science and Quantitative Finance, Imperial College London
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Cited by
Cited by
Decoupling the short-and long-term behavior of stochastic volatility
M Bennedsen, A Lunde, MS Pakkanen
Journal of Financial Econometrics 20 (5), 961-1006, 2022
Hybrid scheme for Brownian semistationary processes
M Bennedsen, A Lunde, MS Pakkanen
Finance and Stochastics 21, 931-965, 2017
Turbocharging Monte Carlo pricing for the rough Bergomi model
R McCrickerd, MS Pakkanen
Quantitative Finance 18 (11), 1877-1886, 2018
State-dependent Hawkes processes and their application to limit order book modelling
M Morariu-Patrichi, MS Pakkanen
Quantitative Finance 22 (3), 563-583, 2022
Asymptotic theory for Brownian semi-stationary processes with application to turbulence
JM Corcuera, E Hedevang, MS Pakkanen, M Podolskij
Stochastic processes and their applications 123 (7), 2552-2574, 2013
A GMM approach to estimate the roughness of stochastic volatility
AE Bolko, K Christensen, MS Pakkanen, B Veliyev
Journal of Econometrics 235 (2), 745-778, 2023
Pathwise large deviations for the rough Bergomi model
A Jacquier, MS Pakkanen, H Stone
Journal of Applied Probability 55 (4), 1078-1092, 2018
Stochastic integrals and conditional full support
MS Pakkanen
Journal of Applied Probability 47 (3), 650-667, 2010
Assessing relative volatility/intermittency/energy dissipation
OE Barndorff-Nielsen, MS Pakkanen, J Schmiegel
Electronic Journal of Statistics 8 (2), 1996-2021, 2014
Brownian semistationary processes and conditional full support
MS Pakkanen
International Journal of Theoretical and Applied Finance 14 (04), 579-586, 2011
Limit theorems for power variations of ambit fields driven by white noise
MS Pakkanen
Stochastic Processes and their Applications, 2014
Functional limit theorems for generalized variations of the fractional Brownian sheet
MS Pakkanen, A Réveillac
Bernoulli 22 (3), 1671-1708, 2016
Microfoundations for diffusion price processes
MS Pakkanen
Mathematics and financial economics 3, 89-114, 2010
Deep hedging: Continuous reinforcement learning for hedging of general portfolios across multiple risk aversions
P Murray, B Wood, H Buehler, M Wiese, M Pakkanen
Proceedings of the Third ACM International Conference on AI in Finance, 361-368, 2022
VAE: a stochastic process prior for Bayesian deep learning with MCMC
S Mishra, S Flaxman, T Berah, M Pakkanen, H Zhu, S Bhatt
Statistics and Computing 32 (96), 1-16, 2022
Discretization of L\'evy semistationary processes with application to estimation
M Bennedsen, A Lunde, MS Pakkanen
arXiv preprint arXiv:1407.2754, 2014
Unifying incidence and prevalence under a time-varying general branching process
MS Pakkanen, X Miscouridou, MJ Penn, C Whittaker, T Berah, S Mishra, ...
Journal of Mathematical Biology 87 (2), 35, 2023
Hybrid marked point processes: Characterization, existence and uniqueness
M Morariu-Patrichi, MS Pakkanen
Market Microstructure and Liquidity 4 (03n04), 1950007, 2018
Sticky continuous processes have consistent price systems
C Bender, MS Pakkanen, H Sayit
Journal of Applied Probability 52 (2), 586-594, 2015
On the positivity of Riemann–Stieltjes integrals
J Lukkarinen, MS Pakkanen
Bulletin of the Australian Mathematical Society 87 (3), 400-405, 2013
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