Arne Lokka
Associate Professor at The London School of Economics and Political Science
Schools
- The London School of Economics and Political Science
Links
Biography
The London School of Economics and Political Science
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]
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