Mikko Pakkanen

Imperial College London - Department of Mathematics

South Kensington Campus

Imperial College

LONDON, SW7 2AZ

United Kingdom

  • Imperial College London - Department of Mathematics

SCHOLARLY PAPERS

4

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TOTAL CITATIONS
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Top 29,324

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55

Scholarly Papers (4)

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1.

Deep Hedging: Learning Risk-Neutral Implied Volatility Dynamics

Number of pages: 19 Posted: 29 Mar 2021 Last Revised: 02 Feb 2023
Hans Buehler, Murray Phillip, Mikko Pakkanen and Ben Wood
XTX Markets, J.P. Morgan Chase & Co., Imperial College London - Department of Mathematics and JP Morgan Chase
Downloads 2,526 (11,508)
Citation 2

Abstract:

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Stochastic Implied Volatility, Deep Hedging, Minimal Entropy Martingale Measure, Statistical Arbitrage, Machine Learning, Deep Learning, Reinforcement Learning

2.

Decoupling the Short- and Long-Term Behavior of Stochastic Volatility

Number of pages: 46 Posted: 04 Oct 2016 Last Revised: 29 Jul 2017
Mikkel Bennedsen, Asger Lunde, Asger Lunde and Mikko Pakkanen
Aarhus University - Department of Economics and Business Economics, CREATESAarhus University - School of Business and Social Sciences and Imperial College London - Department of Mathematics
Downloads 218 (283,800)
Citation 51

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Stochastic Volatility, High-Frequency Data, Rough Volatility, Persistence, Long Memory, Forecasting, Brownian Semistationary Process

3.

Non-average price impact in order-driven markets

Number of pages: 29 Posted: 20 Jan 2022
Claudio Bellani, Damiano Brigo, Mikko Pakkanen and Leandro Sánchez-Betancourt
Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics and Mathematical Institute, University of Oxford
Downloads 133 (435,732)

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market microstructure, price impact, Hawkes processes

4.

Roughness in Spot Variance? A GMM Approach for Estimation of Fractional Log-Normal Stochastic Volatility Models Using Realized Measures

Number of pages: 45 Posted: 25 Nov 2020
Anine Eg Bolko, Kim Christensen, Bezirgen Veliyev and Mikko Pakkanen
Aarhus University, Aarhus University - CREATES, Aarhus University and Imperial College London - Department of Mathematics
Downloads 118 (477,904)
Citation 2

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GMM estimation; realized variance; rough volatility; stochastic volatility