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Mikko S. Pakkanen

Identifiers

  • name variant Mikko S. Pakkanen 0.60 · backfill

Papers (30)

  1. Learning with Expected Signatures: Theory and Applications stat.ML · 2025 · author #2
  2. Estimation and Inference for Multivariate Continuous-time Autoregressive Processes stat.ME · 2023 · author #2
  3. Intrinsic Randomness in Epidemic Modelling Beyond Statistical Uncertainty q-bio.PE · 2022 · author #8
  4. Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions q-fin.CP · 2022 · author #5
  5. Deep Hedging: Learning to Remove the Drift under Trading Frictions with Minimal Equivalent Near-Martingale Measures q-fin.CP · 2021 · author #3
  6. Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes math.PR · 2021 · author #2
  7. Unifying incidence and prevalence under a time-varying general branching process q-bio.PE · 2021 · author #1
  8. Deep Hedging: Learning Risk-Neutral Implied Volatility Dynamics q-fin.CP · 2021 · author #3
  9. Limit Theorems for Trawl Processes math.PR · 2020 · author #1
  10. Feasible Inference for Stochastic Volatility in Brownian Semistationary Processes math.ST · 2020 · author #4
  11. State-dependent Hawkes processes and their application to limit order book modelling q-fin.ST · 2018 · author #2
  12. Hybrid simulation scheme for volatility modulated moving average fields stat.CO · 2017 · author #2
  13. Turbocharging Monte Carlo pricing for the rough Bergomi model q-fin.CP · 2017 · author #2
  14. Hybrid marked point processes: characterisation, existence and uniqueness math.PR · 2017 · author #2
  15. Pathwise large deviations for the Rough Bergomi model math.PR · 2017 · author #2
  16. Decoupling the short- and long-term behavior of stochastic volatility q-fin.ST · 2016 · author #3
  17. The Local Fractional Bootstrap math.ST · 2016 · author #4
  18. Arbitrage without borrowing or short selling? q-fin.MF · 2016 · author #2
  19. On the conditional small ball property of multivariate L\'evy-driven moving average processes math.PR · 2016 · author #1
  20. Hybrid scheme for Brownian semistationary processes math.PR · 2015 · author #3
  21. Discretization of L\'evy semistationary processes with application to estimation stat.AP · 2014 · author #3
  22. Functional limit theorems for generalized variations of the fractional Brownian sheet math.PR · 2014 · author #1
  23. Sticky continuous processes have consistent price systems q-fin.PR · 2013 · author #2
  24. Assessing Relative Volatility/Intermittency/Energy Dissipation math.ST · 2013 · author #2
  25. Limit theorems for power variations of ambit fields driven by white noise math.PR · 2013 · author #1
  26. Asymptotic theory for Brownian semi-stationary processes with application to turbulence math.PR · 2012 · author #3
  27. On the positivity of Riemann-Stieltjes integrals math.CA · 2012 · author #2
  28. Brownian semistationary processes and conditional full support math.PR · 2010 · author #1
  29. On the Existence of Consistent Price Systems q-fin.GN · 2009 · author #2
  30. Stochastic integrals and conditional full support math.PR · 2008 · author #1

Mentions

  • 2505.20465 #2 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 2307.13020 #2 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 2210.14221 #8 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 2107.05579 #1 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 2111.02366 #2 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 2207.07467 #5 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 2111.07844 #3 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 2009.10698 #1 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 1809.08060 #2 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 2103.11948 #3 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 2007.06357 #4 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 1709.01310 #2 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 1708.02563 #2 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 1707.06970 #2 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 1610.00332 #3 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 1605.00868 #4 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 1706.05291 #2 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 1507.03004 #3 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 1604.07690 #2 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 1601.03698 #1 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 1404.2822 #1 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 1310.7857 #2 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 1304.6683 #2 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 1301.2107 #1 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 1407.2754 #3 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 0911.3789 #2 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 1211.4221 #3 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 1203.5276 #2 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 1002.4774 #1 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 0811.1847 #1 · arxiv_oai · confidence 0.70 Mikko S. Pakkanen
  • 1507.03004 #3 · backfill · confidence 0.70 Mikko S. Pakkanen
  • 1407.2754 #3 · backfill · confidence 0.70 Mikko S. Pakkanen
  • 1404.2822 #1 · backfill · confidence 0.70 Mikko S. Pakkanen
  • 1310.7857 #2 · backfill · confidence 0.70 Mikko S. Pakkanen
  • 1304.6683 #2 · backfill · confidence 0.70 Mikko S. Pakkanen
  • 1301.2107 #1 · backfill · confidence 0.70 Mikko S. Pakkanen
  • 1211.4221 #3 · backfill · confidence 0.70 Mikko S. Pakkanen
  • 1203.5276 #2 · backfill · confidence 0.70 Mikko S. Pakkanen
  • 1002.4774 #1 · backfill · confidence 0.70 Mikko S. Pakkanen
  • 0911.3789 #2 · backfill · confidence 0.70 Mikko S. Pakkanen
  • 0811.1847 #1 · backfill · confidence 0.70 Mikko S. Pakkanen

Frequent Coauthors