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 books, realised volatility, statistical inference for stochastic processes and random fields, and stochastic volatility.
Mikko's personal web page can be found at: www.mikkopakkanen.fi
et al., 2017, Hybrid scheme for Brownian semistationary processes, Finance and Stochastics, ISSN:1432-1122, Pages:1-35
et al., 2014, Assessing Relative Volatility/Intermittency/Energy Dissipation, Electronic Journal of Statistics, Vol:8, ISSN:1935-7524, Pages:1996-2021
et al., 2016, Functional limit theorems for generalized variations of the fractional Brownian sheet, Bernoulli, Vol:22, ISSN:1350-7265, Pages:1671-1708
et al., 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