Imperial College London

DrMikkoPakkanen

Faculty of Natural SciencesDepartment of Mathematics

Lecturer in Mathematical Finance and Statistics
 
 
 
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Contact

 

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

 
 
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Location

 

801Weeks BuildingSouth Kensington Campus

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Summary

 

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.

INTC price graph

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

More Publications