Lokka, Arne


Dr Arne Lokka  

Department

Position held

Department of Mathematics

Lecturer

Experience keywords:

Malliavin calculus; disorder detection; stochastic analysis; Levy processes; pricing of derivatives; optimal stopping; hedging of derivatives

Research summary > [Click to expand]

My interests include pricing and hedging of derivatives, optimal investments and utility optimisation, optimal dividend policies, optimal stopping and filtering. I also take a general interest in stochastic analysis and probability theory, in particular Malliavin calculus for pure jump processes and related topics.

Sectors and industries to which research relates:

BankingEnergyFinancial Services

Countries and regions to which research relates:

All

Languages:

Norwegian [Spoken: Fluent, Written: Intermediate]; Danish [Spoken: Intermediate, Written: Basic]; Swedish [Spoken: Intermediate, Written: Intermediate]; German [Spoken: Basic, Written: Basic]

Contact Points

LSE phone number:

+44 (0)20 7955 6279

Alt phone number:

+44 (0)20 7955 7732

Alt email:

arne.lokka@lse.ac.uk

Publications

The following references are sourced from LSE Research Online|. References that are linked lead to the full text.

2013

Lokka, Arne and Zervos, Mihail (2013) Long-term optimal investment strategies in the presence of adjustment costs. SIAM journal on control and optimization, 51 (2). pp. 996-1034. ISSN 0363-0129

Løkka, Arne (2013) Optimal liquidation in a limit order book for a risk-averse investor. Mathematical finance, online ISSN 0960-1627

2011

Lokka, A. and Zervos, Mihail (2011) A model for the long-term optimal capacity level of an investment project. International journal of theoretical and applied finance, 14 (02). ISSN 0219-0249

2008

Lokka, A. and Zervos, Mihail (2008) Optimal dividend and issuance of equity policies in the presence of proportional costs. Insurance: mathematics and economics, 42 (3). pp. 954-961. ISSN 0167-6687

LSE Research Online is the primary resource for references to publications. For queries or updates please email the LSE Research Online team at lseresearchonline@lse.ac.uk|.

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