Imperial College London


Faculty of Natural SciencesDepartment of Mathematics

Lecturer in Mathematical Finance and Statistics



+44 (0)20 7594 8541m.pakkanen Website




6M51Huxley BuildingSouth Kensington Campus





Mikko Pakkanen is a Lecturer in Mathematical Finance and Statistics at the Department of Mathematics at Imperial College London.

His current research interests include ambit stochastics, limit theorems in probability, market microstructure and limit order booksrealised volatility, statistical inference for stochastic processes and random fields, and stochastic volatility.

Mikko's personal web page can be found at:

Selected Publications

Journal Articles

Bennedsen M, Lunde A, Pakkanen MS, Hybrid scheme for Brownian semistationary processes, Finance and Stochastics, ISSN:1432-1122

Barndorff-Nielsen OE, Pakkanen MS, Schmiegel J, 2014, Assessing Relative Volatility/Intermittency/Energy Dissipation, Electronic Journal of Statistics, Vol:8, ISSN:1935-7524, Pages:1996-2021

Pakkanen MS, Réveillac A, 2016, Functional limit theorems for generalized variations of the fractional Brownian sheet, Bernoulli, Vol:22, ISSN:1350-7265, Pages:1671-1708

Pakkanen MS, 2014, Limit theorems for power variations of ambit fields driven by white noise, Stochastic Processes and Their Applications, Vol:124, ISSN:0304-4149, Pages:1942-1973

More Publications