Mikko Pakkanen

International Fellow

Mikko Pakkanen

International Fellow

  • Institut for Økonomi
  • Institut for Økonomi - CREATES
Postaddresse:
Fuglesangs Allé 4
8210
Aarhus V
Danmark

E-mail: m.pakkanen@imperial.ac.uk

Personal Data

Finnish citizen.

Education

Ph.D. (Applied Mathematics), University of Helsinki, Dec. 2010.
M.Sc. (Mathematics), University of Helsinki, Nov. 2006.

Academic Experience

Postdoctoral Research Fellow, CREATES and Department of Economics and Business, Aarhus University, May 2012-present.
Research Assistant, CREATES and Department of Economics and Business, Aarhus University, February 2012-April 2012.

Teaching

Financial Market Volatility (M.Sc., Econometrics), Lecturer, Spring 2013 and Spring 2014.

Research Interests

Ambit stochastics, arbitrage theory, limit theorems for stochastic processes, market microstructure, statistical inference for stochastic processes, stochastic analysis, and volatility.

Publikationer

Heinrich, C, Pakkanen, M & Veraart, A 2019, 'Hybrid simulation scheme for volatility modulated moving average fields', Simulation, bind 166, nr. December, s. 224-244. https://doi.org/10.1016/j.matcom.2019.04.006
Bennedsen, M, Hounyo, U, Lunde, A & Pakkanen, MS 2019, 'The local fractional bootstrap', Scandinavian Journal of Statistics, bind 46, nr. 1, s. 329-359. https://doi.org/10.1111/sjos.12355
Jacquier, A, Pakkanen, MS & Stone, H 2018, 'Pathwise large deviations for the rough Bergomi model', Journal of Applied Probability, bind 55, nr. 4, s. 1078-1092. https://doi.org/10.1017/jpr.2018.72
McCrickerd, R & Pakkanen, MS 2018, 'Turbocharging Monte Carlo pricing for the rough Bergomi model', Quantitative Finance, bind 18, nr. 11, s. 1877-1886. https://doi.org/10.1080/14697688.2018.1459812
Bennedsen, M, Lunde, A & Pakkanen, MS 2017, 'Hybrid scheme for Brownian semistationary processes', Finance and Stochastics, bind 21, nr. 4, s. 931-965. https://doi.org/10.1007/s00780-017-0335-5
Lukkarinen, J & Pakkanen, M 2017, 'Arbitrage without borrowing or short selling', Mathematics and Financial Economics, bind 11, nr. 3, s. 263–274. https://doi.org/10.1007/s11579-016-0180-x
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, bind 127, nr. 3, s. 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, bind 22, nr. 3, s. 1671-1708. https://doi.org/10.3150/15-BEJ707
Bender, C, Pakkanen, MS & Sayit, H 2015, 'Sticky continuous processes have consistent price systems', Journal of Applied Probability, bind 52, nr. 2, s. 586-594.
Barndorff-Nielsen, OE, Pakkanen, MS & Schmiegel, J 2014, 'Assessing relative volatility/intermittency/energy dissipation', Electronic Journal of Statistics, bind 8, nr. 2, s. 1996-2021. https://doi.org/10.1214/14-EJS942
Pakkanen, MS 2014, 'Limit theorems for power variations of ambit field driven by white noise', Stochastic Processes and Their Applications, bind 124, nr. 5, s. 1942-1973. https://doi.org/10.1016/j.spa.2014.01.005
Bayraktar, E, Pakkanen, MS & Sayit, H 2014, 'On the existence of consistent price systems', Stochastic Analysis and Applications, bind 32, nr. 1, s. 152-162. https://doi.org/10.1080/07362994.2014.858535
Corcuera, JM, Hedevang, E, Pakkanen, MS & Podolskij, M 2013, 'Asymptotic theory for Brownian semi-stationary processes with application to turbulence', Stochastic Processes and Their Applications, bind 123, nr. 7, s. 2552-2574. https://doi.org/10.1016/j.spa.2013.03.011
Lukkarinen, J & Pakkanen, MS 2013, 'On the positivity of Riemann–Stieltjes integrals', Bulletin of the Australian Mathematical Society, bind 87, nr. 3, s. 400-405. https://doi.org/10.1017/S0004972712000639
Pakkanen, MS 2011, 'Brownian semistationary processes and conditional full support', International Journal of Theoretical and Applied Finance, bind 14, nr. 4, s. 579-586. https://doi.org/10.1142/S0219024911006747
Pakkanen, MS 2010, 'Microfoundations for diffusion price processes', Mathematics and Financial Economics, bind 3, nr. 2, s. 89-114. https://doi.org/10.1007/s11579-010-0029-7
Pakkanen, MS 2010, 'Stochastic integrals and conditional full support', Journal of Applied Probability, bind 47, nr. 3, s. 650-667. https://doi.org/10.1239/jap/1285335401