Mikko S. Pakkanen

According to our database, Mikko S. Pakkanen authored at least 10 papers between 2012 and 2026.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2026

Diverse Approaches to Optimal Execution Schedule Generation.

Robert de Witt, Mikko S. Pakkanen

CoRR, January, 2026

2025

Learning with Expected Signatures: Theory and Applications.

Lorenzo Lucchese, Mikko S. Pakkanen, Almut E. D. Veraart

Proceedings of the Forty-second International Conference on Machine Learning, 2025

2022

πVAE: a stochastic process prior for Bayesian deep learning with MCMC.

Swapnil Mishra, Seth R. Flaxman, Tresnia Berah, Harrison Zhu, Mikko S. Pakkanen, Samir Bhatt

Stat. Comput., 2022

Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions.

Phillip Murray, Ben Wood, Hans Buehler, Magnus Wiese, Mikko S. Pakkanen

Proceedings of the 3rd ACM International Conference on AI in Finance, 2022

2021

Pathwise large deviations for the rough Bergomi model: Corrigendum.

Stefan Gerhold, Antoine Jacquier, Mikko S. Pakkanen, Henry Stone, Thomas Wagenhofer

J. Appl. Probab., 2021

2019

Hybrid simulation scheme for volatility modulated moving average fields.

Claudio Heinrich, Mikko S. Pakkanen, Almut E. D. Veraart

Math. Comput. Simul., 2019

2018

Pathwise large deviations for the rough Bergomi model.

Antoine Jacquier, Mikko S. Pakkanen, Henry Stone

J. Appl. Probab., 2018

2017

Hybrid scheme for Brownian semistationary processes.

Mikkel Bennedsen, Asger Lunde, Mikko S. Pakkanen

Finance Stochastics, 2017

2015

Sticky Continuous Processes have Consistent Price Systems.

Christian Bender, Mikko S. Pakkanen, Hasanjan Sayit

J. Appl. Probab., 2015

2012

An approximative method of simulating a duel.

Esa Lappi, Mikko S. Pakkanen, Bernt Åkesson

Proceedings of the Winter Simulation Conference, 2012