Mikko Pakkanen

Imperial College London - Department of Mathematics

South Kensington Campus

Imperial College

LONDON, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

3

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SSRN CITATIONS
Rank 34,386

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Top 34,386

in Total Papers Citations

11

CROSSREF CITATIONS

13

Scholarly Papers (3)

1.

Deep Hedging: Learning Risk-Neutral Implied Volatility Dynamics

Number of pages: 19 Posted: 29 Mar 2021 Last Revised: 14 Jul 2021
Hans Buehler, Murray Phillip, Mikko Pakkanen and Ben Wood
JP Morgan, affiliation not provided to SSRN, Imperial College London - Department of Mathematics and JP Morgan Chase
Downloads 1,213 (21,280)
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 and Mikko Pakkanen
Aarhus University - Department of Economics and Business Economics, Aarhus University - School of Business and Social Sciences and Imperial College London - Department of Mathematics
Downloads 132 (268,377)
Citation 32

Abstract:

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

3.

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
Aarhus University, Aarhus University - CREATES, Aarhus University and Imperial College London - Department of Mathematics
Downloads 23 (616,199)
Citation 2

Abstract:

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GMM estimation; realized variance; rough volatility; stochastic volatility