Summary
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 and a Fellow of the Data Science Institute at Imperial.
His current main research area is statistical and probabilistic modelling in finance, with particular emphasis on high-frequency financial data, market microstructure and volatility.
Mikko teaches quantitative risk management in the MSc in Mathematics and Finance and statistical finance in the MSc in Statistics.
Mikko's personal website can be found at: www.mikkopakkanen.fi
Selected Publications
Journal Articles
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