Department of Mathematics

Arne Lokka

Lecturer in 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.


Refereed journal publications

Selected preprints