Department of
Mathematics |

Department of Mathematics

London School of Economics

Houghton Street

London WC2A 2AE, UK

Tel: +44 (0)20 7955 6279

Fax: +44 (0)20 7955 6877

Email: a.lokka [at] lse.ac.uk

Office: Columbia House 4.08

Arne Lokka graduated from the Department of Matematics in 1997 and received his Master degree in Mathematics in 1999, both from the University of Oslo. He then did one year of military service at the Norwegian Defence Research Establishment. He received a PhD in Mathematics from the University of Oslo in 2003, followed by a post-Doctorial fellowship position at King's College London. During the years 2004 to 2008 he was a lecturer in the Department of Mathematics at King's College London.

His current research interests include stochastic analysis, Malliavin calculus for pure jump processes, filtering, optimal stopping problems, valuation of investment decisions, optimal execution, derivative pricing and hedging in incomplete markets.

- A. Lokka (2013),
Optimal liquidation in a limit order book for a risk averse investor.
*To appear in Mathematical Finance*([PDF]).

- A. Lokka and M. Zervos (2013),
Long-term optimal investment strategies in the presence of adjustment costs.
*SIAM J. Control and Optimization***51**(2), 996-1034.

- A. Lokka and M. Zervos (2010),
A model for the long-term optimal capacity level of an investment project.
*International Journal of Theoretical and Applied Finance***14**(2), 187-196. - A. Lokka and M. Zervos (2008),
Optimal dividend and issuance of equity policies in the presence of proportional costs.
*Insurance Mathematics and Economics***42**, 954-961. - A. Lokka (2007),
Detection of disorder before an observable event.
*Stochastics***79**, 219-231. - A. Lokka and F. Proske (2006),
Infinitely dimensional analysis of pure jump Levy processes on the
Poisson space.
*Mathematica Scandinavica***98**, 237-261. - A. Lokka, B. Oksendal and F. Proske (2004),
Stochastic partial differential equations driven by Levy space-time white noise.
*Annals of Applied Probability***14**, 1506-1528. - F. E. Benth and A. Lokka (2004),
Anticipative calculus for Levy processes and stochastic differential equations.
*Stochastics and Stochastic Reports***76**, 191-211. - A. Lokka (2004),
Martingale representation of functionals of Levy processes.
*Stochastic Analysis and Applications***22**, 867-892. - F. E. Benth, G. Di Nunno, A. Lokka, B. Oksendal and F. Proske (2003),
Explicit representation of the minimal variance portfolio in markets driven by
Levy processes.
*Mathematical Finance***13**, 55-72.

- A. Lokka (2012),
Optimal execution in a multiplicative limit order book.
*submitted for publication*([PDF]).