Arne Lokka

Experience Keywords

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

Research Summary

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.

Research Countries

All

Languages

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