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Tommi Sottinen - Research
Research interests
Fractional, Gaussian, self-similar, and quadratic variation processes;
stochastic analysis; statistics for stochastic processes; stochastic simulation;
mathematical finance; financial engineering.
Publications
Refereed publications
- Sottinen, T. (2001)
Fractional Brownian motion, random walks and binary market models.
Finance and Stochastics 5, no. 3, 343-355.
- Kozachenko, Yu., Sottinen, T. and Vasylyk, O. (2002)
Weakly Self-similar processes with stationary increments
in the spaces SSub_\phi(\Omega).
Theory of Probability and Mathematical Statistics 65, 77-88 .
- Kozachenko, Yu., Vasylyk, O. and Sottinen, T. (2002)
Path Space Large
Deviations of a Large Buffer with Gaussian Input Traffic.
Queueing Systems 42, no. 2, 113-129.
- Sottinen, T. and Valkeila, E. (2003)
On arbitrage and replication in the Fractional Black-Scholes pricing model.
Statistics & Risk Modeling 21, 93-107.
- Gilsing, H. and Sottinen, T. (2003)
Power series expansions for fractional Brownian motions.
Theory of Stochastic Processes Vol. 9 (25), no. 3-4 (Proceedings of Seventh International School on Mathematical and Statistical Methods in Economics, Finance and Insurance), 38-49.
- Sottinen, T. (2003)
Fractional Brownian motion in finance and queueing.
Ph.D. Thesis, University of Helsinki.
- Sottinen, T. (2004)
On Gaussian processes equivalent in law to fractional Brownian motion.
Journal of Theoretical Probability 17, no. 2, 309-325.
- Kozachenko, Yu., Sottinen, T. and Vasylyk, O. (2005)
Simulation
of weakly self-similar stationary increment Sub_\phi(\Omega)-processes: a series expansion approach.
Methodology and Computing in Applied Probability 7, 379-400.
- Sottinen, T. and Tudor, C.A. (2006)
On the equivalence of multiparameter Gaussian processes.
Journal of Theoretical Probability 19, no. 2., 461-485.
- Gasbarra, D., Sottinen, T. and Valkeila, E. (2007)
Gaussian
bridges.
Stochastic Analysis and Applications. Volume 2 of the series Abel Symposia, pp. 361-382.
- Bender, C., Sottinen, T. and Valkeila, E. (2007)
Arbitrage with fractional Brownian motion?
Theory of Stochastic Processes 13 (29), 23-34.
- Sottinen, T. and Tudor, C.A. (2008)
Parameter
estimation for stochastic equations with additive fractional Brownian sheet.
Statistical Inference for Stochastic Processes 11, 221-236.
- Särkkä, S. and Sottinen, T. (2008)
Application of Girsanov Theorem to Particle Filtering of Discretely Observed Continuous-Time Non-Linear Systems.
Bayesian Analysis 3, no. 3., 555-584.
- Bender, C., Sottinen, T. and Valkeila, E. (2008)
Pricing by hedging and no-arbitrage beyond semimartingales.
Finance and Stochastics 12, 441-468.
- Morlanes, J. I., Rasila, A. and Sottinen, T. (2009)
Empirical evidence on arbitrage
by changing the stock exchange.
Advances and Applications in Statistics, no. 2, Vol. 12, 223-233.
- Kozachenko, Yu., Sottinen, T. and Vasylyk, O. (2011)
Lipschitz conditions for
Sub_\phi(\Omega)-processes with application to weakly self-similar stationary increment processes.
Theory Probab. Math. Stat. 82, 57-73.
- Gapeev, P., Sottinen, T. and Valkeila, E. (2011)
Robust replication in H-self-similar Gaussian market models under uncertainty.
Statistics & Risk Modeling 28, 37-50.
- Gasbarra, D., Sottinen, T., and van Zanten, H. (2011)
Conditional full support of Gaussian processes with stationary increments.
Journal of Applied Probability 48, No. 2., 561-568.
- Bender, C., Sottinen, T. and Valkeila, E. (2011)
Fractional procesess as models in stochastic finance.
Advanced Mathematical Methods for Finance.
Series in Mathematical Finance, Springer, pp.75-103.
- Sottinen, T. and Yazigi, A. (2014)
Generalized Gaussian Bridges.
Stochastic Processes and their Applications 124, Issue 9, 3084-3105.
- Azmoodeh, E., Sottinen, T., Viitasaari, L. and Yazigi, A. (2014)
Necessary and Sufficient Conditions for Hölder Continuity of Gaussian Processes.
Statistics & Probability Letters 94, 230-235.
- Azmoodeh, E., Sottinen, T. and Viitasaari, L. (2015)
Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian model.
Modern Stochastics: Theory and Applications, 2, No. 1, 29-49.
- Sottinen, T. and Viitasaari, L. (2015)
Fredholm representation of multi-parameter Gaussian processes with applications to equivalence in law and series expansions.
Modern Stochastics: Theory and Applications, 2, No 3 (Proceedings of PRESTO-2015 conference), 287-295.
- Sottinen, T. and Viitasaari, L. (2016)
Pathwise integrals and Ito-Tanaka Formula for Gaussian processes.
Journal of Theoretical Probability 29, Issue 2, 590-616.
- Sottinen, T. and Viitasaari, L. (2016)
Stochastic Analysis of Gaussian Processes via Fredholm Representation.
International Journal of Stochastic Analysis, doi:10.1155/2016/8694365.
- Pakkanen, M.S., Sottinen, T. and Yazigi, A. (2017)
On the conditional small ball property of multivariate Levy-driven moving average processes,
Stochastic Processes and their Applications, 127, Issue 3, 749-782.
- Yang, X., Rasila, A. and Sottinen, T. (2017)
Walk on Spheres Algorithm for Helmholtz and Yukawa Equations via Duffin Correspondence.
Methodology and Computing in Applied Probability, 19, 589-602.
- Sottinen, T. and Viitasaari, L. (2017)
Prediction Law of Fractional Brownian Motion.
Statistics & Probability Letters 129, 155-166.
- Shokrollahi, F. and Sottinen, T. (2017)
Hedging in fractional Black-Scholes model with transaction costs.
Statistics & Probability Letters 130, 85-91.
- Sottinen, T. and Viitasaari, L. (2018)
Conditional-Mean Hedging Under Transaction Costs in Gaussian Models.
International Journal of Theoretical and Applied Finance 21, no. 2.
- Rasila, A. and Sottinen, T. (2018)
Yukawa Potential, Panharmonic Measure and Brownian Motion.
Axioms 2018, 7(2), 28.
- Sottinen, T. and Viitasaari, L. (2018)
Parameter Estimation for the Langevin Equation with Stationary-Increment Gaussian Noise.
Statistical Inference for Stochastic Processes 21 (3), 569-601.
- Sottinen, T. and Viitasaari, L. (2019)
Transfer Principle for nth Order Fractional Brownian Motion with Applications to Prediction and Equivalence in Law.
Theory of Probability and Mathematical Statistics 98, 199-216.
- Yang, X., Rasila, A. and Sottinen, T. (2019)
Efficient simulation of Schrödinger equation with piecewise constant positive potential.
Mathematics and Computers in Simulation 166, 315-323.
- Lehto, S., Ernvall-Hytönen, A.-M. and Sottinen, T. (2019)
Divisible Skylines: Exploring Least Common Multiples and Divisibility through Visual Art.
Bridges 2019 short paper.
- Sottinen, T. and Viitasaari, L. (2020)
Prediction Law of Mixed Gaussian Volterra Processes.
Statistics & Probability Letters 156, January 2020, 108594,
https://doi.org/10.1016/j.spl.2019.108594
- Azmoodeh, E., Sottinen, T., Tudor, C.A. and Viitasaari, L. (2021)
Integration-by-Parts Characterizations of Gaussian Processes.
Collectanea Mathematica 72, 25-41.
- Sottinen, T., Alos, E., Azmoodeh, E. and Di Nunno, G. (2021)
Editorial: Long-Memory Models in Mathematical Finance.
Frontiers in Applied Mathematics and Statistics 7, 28.
- Merino, R., Pospisil, J., Sobotka, T., Sottinen, T. and Vives, J. (2021)
Decomposition formula for rough Volterra stochastic volatility models. International
Journal of Theoretical and Applied Finance 24, No. 02, 2150008
https://doi.org/10.1142/S0219024921500084
- Sottinen, T. (2021)
The Characterization of Brownian Motion as an Isotopic i.i.d.-component Lévy Process. In
Contributions to Mathematics and Statistics: Essays in Honor of Seppo Hassi (eds. De Snoo, H.S.V. and Wietsma, H.L.), Acta Wasaensia 462, 179-186.
- Dufitinema, J., Pynnönen, S. and Sottinen, T. (2022)
Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets.
Communications in Statistics - Simulation and Computation.
https://doi.org/10.1080/03610918.2020.1764581
- Sottinen, T. (2022)
Brownian Bridges on Polygons.
Proceedings of Bridges 2022: Mathematics, Art, Music, Architecture, Culture
- Maleki Almani, H. and Sottinen, T. (2023)
Multi-mixed fractional Brownian motions and Ornstein-Uhlenbeck processes.
Modern Stochastics: Theory and Applications, Vol 10, No. 4, 343-366.
https://doi.org/10.15559/23-VMSTA229
- Azmoodeh, E., Ilmonen, P, Shafik, N., Sottinen, T. and Viitasaari, L. (2023)
On Sharp Rate of Convergence for Discretization of Integrals Driven by Fractional Brownian Motions and Related Processes with Discontinuous Integrands.
Journal of Theoretical Probability.
https://doi.org/10.1007/s10959-023-01272-7
- Dufitinema, J., Shokrollahi, F., Sottinen, T. and Viitasaari, L. (2024)
Long-range dependent completely correlated mixed fractional Brownian motion.
Stochastic Processes and Their Applications, Volume 170, April 2024, 104289.
https://doi.org/10.1016/j.spa.2023.104289
- Maleki Almani, H., Shokrollahi, F., and Sottinen, T. (2024)
Prediction of Gaussian Volterra Processes with Compound Poisson Jumps.
Statistics and Probability Letters, Volume 208, May 2024, 110054.
https://doi.org/10.1016/j.spl.2024.110054
- Sottinen, T., Sönmez, E., and Viitasaari, L. (2024)
On the existence and regularity of local times.
Electron. J. Probab. 29 1-27, 2024.
https://doi.org/10.1214/24-EJP1172
- Han, Q., Rasila, A. and Sottinen, T. (2025)
Efficient simulation of mixed boundary value problems and conformal mappings.
Applied Mathematics and Computation 488, 1 March 2025, 129119
https://doi.org/10.1016/j.amc.2024.129119
Preprints
- Sottinen, T. and Valkeila, E. (2001)
Fractional Brownian motion as a model in finance.
University of Helsinki, Department of Mathematics, Preprint 302.
- Van Bever, G., Ilmonen, P., Viitasaari, L., Shafik, N. and Sottinen, T. (2022)
On optimal prediction of missing functional data with memory.
arXiv preprint arXiv:2208.09925
- Sottinen, T. and Viitasaari, L. (2023)
Transfer principle for fractional Ornstein-Uhlenbeck processes.
arXiv preprint arXiv:2311.00823
- Maleki Almani, H. and Sottinen, T. (2024)
Parameter estimation for multi-mixed fractional Ornstein-Uhlenbeck processes by generalized method of moments.
arXiv preprint arXiv:2401.05114
- Ralchenko, K., Shokrollahi, F. and Sottinen, T. (2024)
Discretization of integrals driven by multifractional Brownian motions with discontinuous integrands
arXiv preprint arXiv:2408.02449
- Maleki Almani, H., Shokrolahi, F. and Sottinen, T. (2024)
Hedging in Jump Diffusion Model with Transaction Costs
arXiv preprint arXiv:2408.10785
Other publications (most in Finnish)
- Sottinen, T. (2004)
Nobelin muistopalkinto
taloustieteestä 2003: R. Englen ARCH-malli.
Arkhimedes
2004:2, 10-12
(in Finnish).
- Sottinen, T. (2004)
Sattuman matematiikkaa III:
Kolmogorovin aksioomat ja frekvenssitulkinta.
Solmu 2004:2, 17-21
(in Finnish).
- Lehto, S. and Sottinen, T. (2005)
Sisarusongelma - paradoksi
ehdollisesta todennäköisyydestä.
Solmu 2005:1, 14-15 (in Finnish).
- Rasila, A., and Sottinen, T. (2005)
Algebra, PlayStation ja
älykkyys.
Solmu
Erikoisnumero 1/2005-2006 (in Finnish).
- Norros, I. and Sottinen, T. (2013)
Esko Valkeila 1951-2012.
Arkhimedes
2013:1, 30-33 (in Finnish).
- Sottinen, T. (2015)
BS-kaava ja lama.
Arkhimedes
2015:1, 26-30 (in Finnish).
- Sottinen, T. (2016)
Moni sekoaa muotiin.
Professoriblogi 2.5.2016.
- Sottinen, T. (2016)
Häränpaskahommia.
Professoriblogi 12.9.2016.
- Sottinen, T. (2016)
Muotia maailmalla.
Professoriblogi 28.11.2016.
- Sottinen, T. (2017)
Yliopistojen autonomia ja universumin maksimaalisen ironian periaate.
Professoriblogi 27.2.2017.
- Sottinen, T. (2017)
Avoin tiede.
Professoriblogi 29.5.2017.
Lecture notes (some in Finnish)
-
Malliavin-laskenta: Eli gaussisten prosessien derivointi., 87 pages, 2006.
-
Rahoitusteoria: Eli optioiden hinnoittelun ja toistamisen taito tai oppi optioiden oikeasta hinnasta., 149 pages, 2006.
-
Todennäköisyysteoria: Teoria mitasta, mitallisuudesta, mitattomuudesta ja riippumattomuudesta., 130 pages, 2006.
-
Operations Research with GNU Linear Programming Kit, 201 pages, 2009.
-
Päätöksenteko epävarmuuden vallitessa, 102 pages, 2010.
-
Operations Research with GNU Octave, 187 pages, 2011.
-
Päätöksiä ja Paatoksia, 146 pages, 2011.
-
Probability and Stochastic Processes with a Twist of GNU Octave towards Queuing, 183 pages, 2019.
-
Lineaarialgebraa lähinnä tasossa hipauksella GNU Octavea, 81 pages, 2022.
-
Octave with Spice: Or a Gentle Introduction to GNU Octave Towards Linear Programming, 38 pages, 2022.
-
Linear Programming with Spice: Or a Gentle Introduction to Linear Models, 73 pages, 2022.
-
Päätöksentekoa Oliopolion aikaan, 86 pages, 2023.
-
A Gentle Introduction to Stochatic Differential Equations with Brownian noise>, 28 pages, 2023.
List of publications from
AMS Mathematical Reviews,
Zentralblatt MATH, and
Google Scholar.
Collaborators
- Elisa Alòs, Pompeu Fabra University, Spain
- Ehsan Azmoodeh, Univerity of Liverpool, UK
- Christian Bender, Saarland University, Germany
- Germain Van Bever, University of Namur, Belgium
- Josephine Dufitinema, IQVIA, Finland
- Anne-Maria Ernvall-Hytönen, University of Helsinki, Finland
- Pavel Gapeev, London School of Economics, UK
- Dario Gasbarra, University of Helsinki, Finland
- Hagen Gilsing
- Qiansheng Han, Guangdong Technion - Israel Institute of Technology, PRC
- Pauliina Ilmonen, Aalto University, Finland
- Yuriy Kozachenko
- Hamidreza Maleki Almani, University of Vaasa, Finland
- Raúl Merino, University of Barcelona, Spain
- Igor Morlanes, Stockholm University, Sweden
- Giulia Di Nunno, University of Oslo, Norway
- Mikko S. Pakkanen, Imperial College London, UK
- Jan Pospíšil, University of West Bohemia, Czechia
- Seppo Pynnönen, University of Vaasa, Finland
- Antti Rasila, Guangdong Technion - Israel Institute of Technology, PRC
- Simo Särkkä, Aalto University, Finland
- Nourhan Shafik, Aalto University, Finland
- Foad Shokrollahi, University of Vaasa, Finland
- Tomáš Sobotka, University of West Bohemia, Czechia
- Ercan Sönmez, University of Klagenfurt, Austria
- Ciprian A. Tudor, University of Lille 1, France
- Esko Valkeila
- Olga Vasylyk, Taras Shevchenko Kyiv National University, Ukraine
- Lauri Viitasaari, Aalto University, Finland
- Xuxin Yang, Hunan First Normal University, PRC
- Josep Vives, University of Barcelona, Spain
- Adil Yazigi, University of Eastern Finland, Finland
- Harry van Zanten, University of Amsterdam, The Netherlands
Talks
- Fractional Brownian motion, random walks, and binary market models,
The 2nd Nordic-Russian Symposium on Stochastic Analysis, Beitostølen, Norway, 1-6 August 1999.
- Fractional Brownian Motion as a Model in Finance,
Analysis of High Frequency Data: Annual Meeting of the Finnish Statistical Society,
Vaasa, Finland, 17-18 May 2001.
- Sample path large deviations of a Gaussian process with
stationary increments and regularly varying variance,
12th European Young Statisticians Meeting, Janska Dolina, Slovakia, 4-8 September 2001.
- Busy periods of a fractional Brownian type Gaussian storage,
A conference dedicated to the 90th anniversary of B. V. Gnedenko,
Kyiv, Ukraine, 3-7 June 2002.
- On Gaussian stochastic differential equations with fractional Brownian noise,
Laugarvatn Workshop: Stochastic Analysis and its Applications,
Laugarvatn, Iceland, 2-7 August 2002.
- Arbitrage in the fractional Black-Scholes model,
Seminar in Mathematical Statistics, University of Stockholm, Stockholm, Sweden, 16 January 2003.
- Power series series expansions of fractional Brownian motion,
The Seventh International School on Mathematical and Statistical Methods in Economics, Finance and Insurance,
Laspi, Ukraine, September 2003. (Invited)
- Gaussian bridges,
Groupe de travail: Processus Stochastiques, Matrices Aléatoires,
University of Paris VI, Paris, France, 15 January 2004.
- Representations of Gaussian bridges,
DYNSTOCH Workshop, Copenhagen, Denmark, 3-5 June 2004.
- Fractional Brownian Motions and Sheets,
Porkkala Fractional Symposium, Porkkala, Finland, 25 May 2005.
- Gaussian Bridges, 35th International Probability Summer School,
Saint-Flour, France, 6-23 July 2005.
- Replication and Absence of Arbitrage in Non-Semimartingale Models,
The Finnish Mathematical Days and the Second Finnish-Estonian Mathematical Colloquium,
Tampere, Finland, 4-5 January 2006.
- Replication and Absence of Arbitrage in Non-Semimartingale Models,
Probability Seminar, University of Barcelona,
Barcelona, Spain, 15 March 2006.
- Are stylized facts irrelevant in option-pricing?
International Conference Modern Stochastics: Theory and Applications,
Kyiv, Ukraine, 19-23 June 2006.
- On Skorohod-type stochastic differential equations with respect to
fractional Brownian motion, 31st Conference on Stochastic Processes and their Applications,
Paris, France, 17-21 July 2006. (Invited)
- Black-Scholes Prices with Stylized Facts,
Russian-Scandinavian Symposium: Probability Theory and Applied Probability,
Petrozavodsk, Russia, 26-31 August 2006.
- Black-Scholes-hinnoittelumallin robustisuus ja tyylitellyt tosiseikat,
Monthly meeting of the Actuarial Society of Finland, 10 October 2006.
- Conditional Small Balls and No-Arbitrage,
Advances in Mathematical Finance, Second General AMAMEF Conference and Banach Center Conference,
Bedlewo, Poland, 30 April-5 May 2007. (Invited)
- What is the Price of the Future?,
The Icelandic Centre of Excellence in Theoretical Computer Science ICE-TCS
Third Symposium on Theoretical Computer Science, Reykjavik, Iceland, 10 August 2007.
- Local Continuity Of Stopping Times And Arbitrage, Workshop and Mid-Term Conference on Advanced Mathematical Methods for Finance, Vienna, Austria, 17-22 September 2007.
- Local Continuity,
Mathematics Seminar, University of Iceland, Iceland, 25 October 2007.
- Probability is irrelevant in stochastic finance:
Black-Scholes model is correct despite of stylized facts, Annual meeting of the Icelandic Mathematical Society,
Borgarnes, Iceland, 29-30 November 2007. (Invited)
- Local Continuity (for Stopping Times), the Finnish Mathematical Days,
Espoo, Finland, 3-4 January 2008. (Invited)
- Local Continuity, Workshop on Limit theorems and Applications,
Paris, France, 14-16 January 2008. (Invited)
- What is Volatility?,
The 6th NoonToNoon Meeting:
Insurance and Financial Mathematics - Theory and Practice,
Jyväskylä, Finland,
2-3 October 2008.
- Non-semimartingales in finance,
1st Northern Triangular Seminar, Espoo, Finland,
9-11 March 2009. (Tutorial)
- On Conditional Full Support with Applications to Mathematical Finance,
25th Nordic and 1st British-Nordic congress of Mathematicians, Oslo, Norway, 8-11 June 2009. (Invited)
- Conditional full support for Gaussian processes with stationary increments,
Modern Stochastics: Theory and Applications II, Kyiv, Ukraine, 7-11 September 2010. (Invited)
- "Todellinen" veroprosentti:
Kaksi ajankohtaista esimerkkiä talousmatematiikasta ja "todellisuudesta",
MAOL ry:n syyspäivät, Vantaa, Finland, 8-10 October 2010. (Invited)
- Pricing by hedging and no-arbitrage beyond
semimartingales,
International symposium: Visions in stochastics (Leaders and their Pupils), Moscow, Russia, 1-3 November 2010.
- No-Arbitrage with
Non-Semimartingales: Continuous Simple Arbitrage Case,
Seventh Seminar on Stochastic Analysis, Random Fields and
Applications, Ascona, Switzerland, 23-27 May 2011.
- Black
ja Scholes ilman Gaussia,
Annual meeting of the Finnish Mathematical Society, Helsinki, Finland,
19 March 2012. (Invited)
- Generalized Gaussian Bridges of Prediction-Invertible Processes,
Presentation at Hunan Normal University, Changsha, China,
22 May 2012.
- Black-Scholes Prices and Hedges for Financial Derivatives in Non-Gaussian Non-Martingale Models,
International Conference on Applied Mathematics 2012,
Modeling, Analysis & Computation,
City University of Hong Kong,
Hong Kong, China,
30 May 2012.
- Yukawa Potential, Harmonic Measure and Killing Brownian Motion,
First Chinese-Finnish Seminar and Workshop on Modern Trends in Classical Analysis and Applications,
Turku, Finland,
18 August 2012.
- Generalized Gaussian Bridges of Prediction-Invertible Processes,
Modern Stochastics: Theory and Applications III,
Kyiv, Ukraine,
10 September 2012. (Invited)
- Generalized Gaussian Bridges,
Marrakesh International Conference on Probability and Statistics,
Marrakesh, Morocco,
19 December 2013. (Plenary)
- Necessary and Sufficient Conditions for Hölder Continuity of Gaussian Processes, Thiele Seminar, Aarhus University, Århus, Denmark, 26 March 2014.
- Necessary and Sufficient Conditions for Hölder Continuity of Gaussian Processes, ICM 2014, Seoul, Republic of Korea, 19 August 2014.
- Representing Gaussian Processes with Martingales with Application to MLE of Langevin Equation, Stochastic Visit Workshop of the FDPSS, Tartu, Estonia, 12 September 2014.
- Gaussian Fredholm Processes, International Conference: Probability, Reliability and Stochastic Optimization, Kyiv, Ukraine, 8 April 2015. (Plenary)
- Matematiikan täsmäopetuksella parempia insinöörejä, Interaktiivinen tekniikka koulutuksessa, ITK2015, Hämeenlinna, 17 April 2015.
-
Gaussian Fredholm Processes with Applications, Yu.V.Linnik Centennial Conference, Euler International Mathematical Institute, St. Petersburg, Russia, 16 September 2015.
- Representing Gaussian Processes via Brownian Motion with Applications to Stochastic Analysis, talk at South Central University, Changsha, PRC, 30 October 2015.
- A Celebration of Dynkin's Formula, tutorial at Hunan First Normal University, Changsha, PRC, 26 November 2015.
- Walk On Spheres Algorithms for Helmholtz and Linearized Poisson-Boltzmann Equations, The Fifth Chinese-Finnish Seminar and Workshop on Modern Trends in Classical Analysis and Applications, Aalto University, Espoo, Finland, 9 February 2016.
- Parameter Estimation for the Langevin Equation with Stationary-Increment Gaussian Noise, Lorentz Center Workshop Fractatility and Fractionality, University of Leiden, Leiden, The Netherlands, 19 May 2016. (Invited)
- Gaussian (Fredholm) Processes, 37th Finnish Summer School on Stochastics and Statistics, Lammi, Finland, 30 May 2016.
- Hedging under transaction costs in Gaussian models, Barcelona Workshop on Mathematical Finance, Barcelona, Spain, 29 March 2017.
- Transfer Principle for nth-Order Fractional Brownian Motion with Applications to Prediction and Equivalence in Law, Modern Stochastics: Theory and Applications IV, Kyiv, Ukraine, 25 May 2018. (Plenary)
- Prediction law of fractional Brownian motion, ICM 2018, Rio de Janeiro, Brazil, 6 August 2018.
- Pretty Predictable Models, CMStatistics, London, UK, 15 December 2019. (Invited)
- Integration-by-Parts Characterizations of Gaussian Processes, Finnish Mathematical Days, Oulu, Finland, 2 January 2020.
- Option-Pricing without Probability: Good News and Bad News, IFAM Virtual Seminar, Liverpool, UK, 9 September 2020.
- Integration-by-Parts Characterizations of Gaussian Processes, Modern Trends in Probability Theory and Mathematical Statistics III, Kyiv, Ukraine, 1 December 2020. (Invited)
- Long-Range Dependent Completely Correlated Mixed Fractional Brownian motion, Modern Stochastics: Theory and Applications V, Kyiv, Ukraine, 4 June 2021. (Plenary)
- Integration-by-Parts Characterizations of Gaussian Processes, 8ECM, Portorož, Slovenia, 22 June 2021. (Invited)
- Conditional-mean hedging in Gaussian long-memory models with transaction costs, 10th General AMaMeF Conference, Padua, Italy, 25 June 2021. (Invited)
- Finanssijohdannaisten gaussiset hinnat ja keskeisen raja-arvolauseen väärinymmärrys, MAL 60 vuotta juhlaseminaari, Helsinki, Finland, 12 November 2021. (Invited)
- A New characterization of Brownian motion as isotropic i.i.d.-component Lévy process, Finnish Mathematical Days, Tampere, Finland, 4 January 2022.
- Completely correlated mixed fractional Brownian motion, Stochastic processes with statistical applications and fractional stochastic calculus: International workshop dedicated to the anniversary of Yuliya Mishura, Kyiv, Ukraine (online), 17 May 2023. (Invited)
- Completely correlated mixed fractional Brownian motion, Mathematical Finance and Stochastics: A Conference in Honor of David Nualart, Donostia, Spain, 31 May 2023. (Invited)
- Integration-by-parts characterizations of Gaussian processes, Workshop on Stochastics, Memory and Roughness 2024, Oslo, Norway, 18 January 2024. (Invited)
Ph.D. students
- Dr. Mikko S. Pakkanen (University of Helsinki, 2010)
- Dr. Lauri Viitasaari (Aalto University, 2014)
- Dr. Adil Yazigi (University of Vaasa, 2015)
- Dr. Foad Shokrollahi (University of Vaasa, 2019)