Mikko Pakkanen is a Lecturer in Mathematical Finance and Statistics in the Department of Mathematics at Imperial College London. Mikko is also Leader of the Imperial Network of Excellence in Probabilistic Methods and Modelling.
His current research interests include ambit stochastics, limit theorems in probability, market microstructure and limit order books, realised volatility, statistical inference for stochastic processes and random fields, and stochastic volatility.
Mikko's personal website can be found at: www.mikkopakkanen.fi
Bennedsen M, Lunde A, Pakkanen MS, 2017, Hybrid scheme for Brownian semistationary processes, Finance and Stochastics, Vol:21, ISSN:1432-1122, Pages:931-965
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