Department of Economics and Business Economics

Mikko Pakkanen

  1. Published

    Turbocharging Monte Carlo pricing for the rough Bergomi model. / McCrickerd, Ryan; Pakkanen, Mikko S.

    In: Quantitative Finance, Vol. 18, No. 11, 2018, p. 1877-1886.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  2. Published

    The local fractional bootstrap. / Bennedsen, Mikkel; Hounyo, Ulrich; Lunde, Asger; Pakkanen, Mikko S.

    In: Scandinavian Journal of Statistics, Vol. 46, No. 1, 2019, p. 329-359.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  3. Published

    The Local Fractional Bootstrap. / Bennedsen, Mikkel; Hounyo, Ulrich; Lunde, Asger; Pakkanen, Mikko.

    Aarhus : Institut for Økonomi, Århus Universitet, 2016.

    Research output: Working paperResearch

  4. Published

    Stochastic integrals and conditional full support. / Pakkanen, Mikko S.

    In: Journal of Applied Probability, Vol. 47, No. 3, 2010, p. 650-667.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  5. Published

    Sticky continuous processes have consistent price systems. / Bender, Christian; Pakkanen, Mikko S.; Sayit, Hasanjan.

    In: Journal of Applied Probability, Vol. 52, No. 2, 2015, p. 586-594.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  6. Published

    Sticky continuous processes have consistent price systems. / Bender, Christian; Pakkanen, Mikko; Sayit, Hasanjan.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2013.

    Research output: Working paperResearch

  7. Published

    Pathwise large deviations for the rough Bergomi model. / Jacquier, Antoine; Pakkanen, Mikko S.; Stone, Henry.

    In: Journal of Applied Probability, Vol. 55, No. 4, 2018, p. 1078-1092.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  8. Published

    On the positivity of Riemann–Stieltjes integrals. / Lukkarinen, Jani; Pakkanen, Mikko S.

    In: Bulletin of the Australian Mathematical Society, Vol. 87, No. 3, 2013, p. 400-405.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  9. Published

    On the existence of consistent price systems. / Bayraktar, Erhan; Pakkanen, Mikko S.; Sayit, Hasanjan.

    In: Stochastic Analysis and Applications, Vol. 32, No. 1, 2014, p. 152-162.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  10. Published

    On the conditional small ball property of multivariate Lévy-driven moving average processes. / Pakkanen, Mikko; Sottinen, Tommi; Yazigi, Adil.

    In: Stochastic Processes and Their Applications, Vol. 127, No. 3, 2017, p. 749–782.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  11. Published

    Microfoundations for diffusion price processes. / Pakkanen, Mikko S.

    In: Mathematics and Financial Economics, Vol. 3, No. 2, 2010, p. 89-114.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  12. Published

    Limit theorems for power variations of ambit fields driven by white noise. / Pakkanen, Mikko.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2013.

    Research output: Working paperResearch

  13. Published

    Limit theorems for power variations of ambit field driven by white noise. / Pakkanen, Mikko S.

    In: Stochastic Processes and Their Applications, Vol. 124, No. 5, 2014, p. 1942-1973.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  14. Published

    Hybrid simulation scheme for volatility modulated moving average fields. / Heinrich, Claudio; Pakkanen, Mikko; Veraart, Almut.

    In: Simulation, Vol. 166, No. December, 12.2019, p. 224-244.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  15. Published

    Hybrid scheme for Brownian semistationary processes. / Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S.

    In: Finance and Stochastics, Vol. 21, No. 4, 10.2017, p. 931-965.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  16. Published

    Hybrid marked point processes: characterisation, existence and uniqueness. / Morariu-Patrichi, Maxime; Pakkanen, Mikko.

    ArXiv, 2018.

    Research output: Working paperResearch

  17. Published

    Functional limit theorems for generalized variations of the fractional Brownian sheet. / Pakkanen, Mikko; Réveillac, Anthony.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

    Research output: Working paperResearch

  18. Published

    Functional limit theorems for generalized variations of the fractional Brownian sheet. / Pakkanen, Mikko; Réveillac, Anthony.

    In: Bernoulli, Vol. 22, No. 3, 2016, p. 1671-1708.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  19. Published

    Erratum : On the positivity of Riemann-Stieltjes integrals (Bulletin of the Australian Mathematical Society (2013) 87 (400-405)). / Lukkarinen, Jani; Pakkanen, Mikko S.

    In: Bulletin of the Australian Mathematical Society, Vol. 89, 01.01.2014.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearch

  20. Published

    Discretization of Lévy semistationary processes with application to estimation. / Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

    Research output: Working paperResearch

  21. Published

    Brownian semistationary processes and conditional full support. / Pakkanen, Mikko S.

    In: International Journal of Theoretical and Applied Finance, Vol. 14, No. 4, 2011, p. 579-586.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  22. Published

    Asymptotic theory for Brownian semi-stationary processes with application to turbulence. / Corcuera, José Manuel; Hedevang, Emil; Pakkanen, Mikko S.; Podolskij, Mark.

    In: Stochastic Processes and Their Applications, Vol. 123, No. 7, 2013, p. 2552-2574.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  23. Published

    Assessing relative volatility/intermittency/energy dissipation. / Barndorff-Nielsen, Ole E.; Pakkanen, Mikko S.; Schmiegel, Jürgen.

    In: Electronic Journal of Statistics, Vol. 8, No. 2, 2014, p. 1996-2021.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  24. Published

    Assessing Relative Volatility/Intermittency/Energy Dissipation. / Barndorff-Nielsen, Ole E.; Pakkanen, Mikko; Schmiegel, Jürgen.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2013.

    Research output: Working paperResearch

  25. Published

    Arbitrage without borrowing or short selling? / Pakkanen, Mikko; Lukkarinen, Jani.

    Aarhus : Institut for Økonomi, Århus Universitet, 2016.

    Research output: Working paperResearch

  26. Published

    Arbitrage without borrowing or short selling. / Lukkarinen, Jani; Pakkanen, Mikko.

    In: Mathematics and Financial Economics, Vol. 11, No. 3, 2017, p. 263–274.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  27. Published

    An approximative method of simulating a duel. / Lappi, Esa; Pakkanen, Mikko S.; Åkesson, Bernt.

    Proceedings of the 2012 Winter Simulation Conference (WSC). 2012.

    Research output: Contribution to book/anthology/report/proceedingArticle in proceedingsResearchpeer-review