Mikko S. Pakkanen

Publication Activity (10 Years)

Years Active: 2012-2021
Publications (10 Years): 5

Top Topics

Queueing Systems

Stochastic Processes

Representation Scheme

Top Venues

J. Appl. Probab.

Finance Stochastics

Math. Comput. Simul.

Publications

Stefan Gerhold, Antoine Jacquier, Mikko S. Pakkanen, Henry Stone, Thomas Wagenhofer
Pathwise large deviations for the rough Bergomi model: Corrigendum. J. Appl. Probab. 58 (3) (2021)
Claudio Heinrich, Mikko S. Pakkanen, Almut E. D. Veraart
Hybrid simulation scheme for volatility modulated moving average fields. Math. Comput. Simul. 166 (2019)
Antoine Jacquier, Mikko S. Pakkanen, Henry Stone
Pathwise large deviations for the rough Bergomi model. J. Appl. Probab. 55 (4) (2018)
Mikkel Bennedsen, Asger Lunde, Mikko S. Pakkanen
Hybrid scheme for Brownian semistationary processes. Finance Stochastics 21 (4) (2017)
Christian Bender, Mikko S. Pakkanen, Hasanjan Sayit
Sticky Continuous Processes have Consistent Price Systems. J. Appl. Probab. 52 (2) (2015)
Esa Lappi, Mikko S. Pakkanen, Bernt Åkesson
An approximative method of simulating a duel. WSC (2012)