Dr Arne Lokka

Dr Arne Lokka

Associate Professor

Department of Mathematics

Room No
Office Hours
See office hours page on this site
English, Norwegian
Key Expertise
Pricing and hedging of derivatives, optimal execution

About me

I am the Departmental Tutor for second and third year BSc Maths with Data Science and Financial Mathematics & Statistics undergraduate students in the Department. I am part of the financial mathematics group, and I am interested in most topics within this and related areas. Lately I have been working on various aspects of optimal execution of stock positions and market micro structure models for financial markets. In the past I have worked on problems involving pricing and hedging in markets with jumps, optimal real investments under uncertainty, detection of change points and various other problems related to financial mathematics and stochastic control. I received my PhD from the University of Oslo, and spent 4 years with the financial mathematics group at King’s College London before joining LSE in 2008.

Expertise Details

Pricing and hedging of derivatives; optimal execution; optimal portfolio theory; equilibrium modelling of financial markets; stochastic optimal control