Lokka, Arne

Dr Arne Lokka  


Position held

Associate Professor


Experience keywords:

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

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:

Banking; Energy; Financial Services

Countries and regions to which research relates:



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

Contact Points

LSE phone number:

+44 (0)20 7955 6279

LSE email:


Alt phone number:

+44 (0)20 7955 7732

Alt email:




Lokka, Arne (2014) Optimal liquidation in a limit order book for a risk-averse investor Mathematical Finance, 24 (4). 696-727. ISSN 0960-1627


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). 996-1034. ISSN 0363-0129


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). 187. ISSN 0219-0249


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). 954-961. ISSN 0167-6687

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