Mikko S. Pakkanen (photo courtesy of Oskari Ajanki)

Mikko S. Pakkanen

Lecturer in Mathematical Finance and Statistics, Imperial College London
International Fellow, CREATES

Contact

Address:
Department of Mathematics
Imperial College London
South Kensington Campus
London SW7 2AZ
United Kingdom

Office:
6M51 Huxley Building

Phone:
+44 (0)20 7594 8541

Email:
m.pakkanen@imperial.ac.uk (work)
msp@iki.fi (personal)

About

I am a Lecturer in Mathematical Finance and Statistics at the Department of Mathematics, Imperial College London. Previously, I was a Postdoctoral Research Fellow at CREATES, Aarhus University, Denmark. I am currently affiliated with CREATES as an International Fellow. I hold a PhD in Applied Mathematics and an MSc in Mathematics, both from University of Helsinki, Finland. To see my curriculum vitae, click here.

My 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. I am a member of the AHOI Network and the Stochastic Analysis Group at Imperial.

Teaching

During the academic year 2015–2016, I taught the following modules at Imperial:

Enrolled students can access the teaching material on Imperial Blackboard.

Publications

Preprints

The local fractional bootstrap
In collaboration with Mikkel Bennedsen, Ulrich Hounyo, and Asger Lunde.
May 2016, 32 pages.
» e-print: arXiv:1605.00868

Arbitrage without borrowing or short selling?
In collaboration with Jani Lukkarinen.
April 2016, 13 pages.
» e-print: arXiv:1604.07690

Hybrid scheme for Brownian semistationary processes
In collaboration with Mikkel Bennedsen and Asger Lunde.
September 2015, 31 pages.
» e-print: arXiv:1507.03004

Articles in refereed journals

On the conditional small ball property of multivariate Lévy-driven moving average processes
In collaboration with Tommi Sottinen and Adil Yazigi.
Stochastic Processes and their Applications, to appear.
» e-print: arXiv:1601.03698

Functional limit theorems for generalized variations of the fractional Brownian sheet
In collaboration with Anthony Réveillac.
Bernoulli 22(3), 1671–1708, 2016.
» article: doi:10.3150/15-BEJ707, e-print: arXiv:1404.2822

Sticky continuous processes have consistent price systems
In collaboration with Christian Bender and Hasanjan Sayit.
Journal of Applied Probability 52(2), 586–594, 2015.
» article: doi:10.1239/jap/1437658617, e-print: arXiv:1310.7857

Assessing relative volatility/intermittency/energy dissipation
In collaboration with Ole E. Barndorff-Nielsen and Jürgen Schmiegel.
Electronic Journal of Statistics 8(2), 1996–2021, 2014.
» article: doi:10.1214/14-EJS942, e-print: arXiv:1304.6683

Limit theorems for power variations of ambit fields driven by white noise
Stochastic Processes and their Applications 124(5), 1942–1973, 2014.
» article: doi:10.1016/j.spa.2014.01.005, e-print: arXiv:1301.2107

On the existence of consistent price systems
In collaboration with Erhan Bayraktar and Hasanjan Sayit.
Stochastic Analysis and Applications 32(1), 152–162, 2014
» article: doi:10.1080/07362994.2014.858535, e-print: arXiv:0911.3789

Asymptotic theory for Brownian semi-stationary processes with application to turbulence
In collaboration with José Manuel Corcuera, Emil Hedevang, and Mark Podolskij.
Stochastic Processes and their Applications 123(7), 2552–2574, 2013.
» article: doi:10.1016/j.spa.2013.03.011, e-print: arXiv:1211.4221

On the positivity of Riemann-Stieltjes integrals
In collaboration with Jani Lukkarinen.
Bulletin of the Australian Mathematical Society 87(3), 400–405, 2013.
» article: doi:10.1017/S0004972712000639, e-print: arXiv:1203.5276
» erratum: doi:10.1017/S0004972713000713 (included in the arXiv version)

Brownian semistationary processes and conditional full support
International Journal of Theoretical and Applied Finance 14(4), 579–586, 2011.
» article: doi:10.1142/S0219024911006747, e-print: arXiv:1002.4774

Stochastic integrals and conditional full support
Journal of Applied Probability 47(3), 650–667, 2010.
» article: doi:10.1239/jap/1285335401, e-print: arXiv:0811.1847

Microfoundations for diffusion price processes
Mathematics and Financial Economics 3(2), 89–114, 2010.
» article: doi:10.1007/s11579-010-0029-7, e-print: PDF

Articles in refereed conference proceedings

An approximative method of simulating a duel
In collaboration with Esa Lappi and Bernt Åkesson.
Proceedings of the 2012 Winter Simulation Conference (Berlin, Germany, 9–12 December 2012), pp. 2330–2339.
» article: doi:10.1109/WSC.2012.6465044

Miscellanea

Discretization of Lévy semistationary processes with application to estimation
In collaboration with Mikkel Bennedsen and Asger Lunde.
Technical report, July 2014, 28 pages.
» e-print: arXiv:1407.2754

Mathematical aspects of financial markets with frictions
PhD dissertation in Applied Mathematics, under the supervision of Tommi Sottinen and Esa Nummelin,
Department of Mathematics and Statistics, University of Helsinki, October 2010.
» introduction available from: E-thesis

Jatkuvat semimartingaalit ja filtraation alkulaajennus
in Finnish, translated title: "Continuous semimartingales and the initial enlargement of filtration"
MSc thesis in Mathematics, under the supervision of Tommi Sottinen,
Department of Mathematics and Statistics, University of Helsinki, October 2006.
» full text available from: E-thesis