Mikko S. Pakkanen

Available identifiers

zbMath Open pakkanen.mikko-sWikidataQ97654891 ScholiaQ97654891MaRDI QIDQ282554

List of research outcomes

Publication	Date of Publication	Type
Unifying incidence and prevalence under a time-varying general branching process	2023-08-07	Paper
A GMM approach to estimate the roughness of stochastic volatility	2023-06-29	Paper
\(\pi\) VAE: a stochastic process prior for Bayesian deep learning with MCMC	2022-12-09	Paper
Intrinsic Randomness in Epidemic Modelling Beyond Statistical Uncertainty	2022-10-25	Paper
State-dependent Hawkes processes and their application to limit order book modelling	2022-05-05	Paper
Limit theorems for trawl processes	2021-11-11	Paper
Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes	2021-11-03	Paper
Pathwise large deviations for the rough Bergomi model: Corrigendum	2021-09-24	Paper
Hybrid simulation scheme for volatility modulated moving average fields	2021-03-02	Paper
The local fractional bootstrap	2019-03-21	Paper
Turbocharging Monte Carlo pricing for the rough Bergomi model	2019-02-06	Paper
Pathwise large deviations for the rough Bergomi model	2019-01-17	Paper
Arbitrage without borrowing or short selling?	2017-11-09	Paper
Hybrid scheme for Brownian semistationary processes	2017-10-23	Paper
Hybrid simulation scheme for volatility modulated moving average fields	2017-09-05	Paper
Hybrid marked point processes: characterisation, existence and uniqueness	2017-07-21	Paper
On the conditional small ball property of multivariate Lévy-driven moving average processes	2017-02-14	Paper
Functional limit theorems for generalized variations of the fractional Brownian sheet	2016-05-12	Paper
Sticky Continuous Processes have Consistent Price Systems	2015-10-02	Paper
Assessing relative volatility/ intermittency/energy dissipation	2014-11-12	Paper
Limit theorems for power variations of ambit fields driven by white noise	2014-08-27	Paper
‘ON THE POSITIVITY OF RIEMANN–STIELTJES INTEGRALS’	2014-06-06	Paper
On the Existence Of Consistent Price Systems	2014-05-15	Paper
Asymptotic theory for Brownian semi-stationary processes with application to turbulence	2014-04-28	Paper
ON THE POSITIVITY OF RIEMANN–STIELTJES INTEGRALS	2013-06-18	Paper
Microfoundations for diffusion price processes	2013-01-20	Paper
BROWNIAN SEMISTATIONARY PROCESSES AND CONDITIONAL FULL SUPPORT	2011-08-10	Paper
Stochastic Integrals and Conditional Full Support	2010-10-12	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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