Lokka, Arne


Dr Arne Lokka  

Department

Position held

Department of Mathematics

Associate Professor

Experience keywords:

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

LSE Research Online, Funnelback Search

2013

Lokka, Arne (2013) Optimal liquidation in a limit order book for a risk-averse investor Mathematical Finance, online. 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

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). 187. 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). 954-961. ISSN 0167-6687


Expert Image

Personal website

 

Browse the Experts Directory:

LSE Research Online|

Collection of LSE research outputs

LSE Consulting|

Service providing unique access
to LSE's expertise

Create or update your
online profile
|

[access restricted to staff]

Research highlights|

Short articles about LSE research