You need either elbow grease, to call your insurance company (or your neighbor's) or money to hire a cleaning company. The room needs to be cleaned, walls, ceiling and carpet. The carpet will be the toughest part.

I have not tried one of these things, but if I were in your situation, I would try using an odor bomb in the apartment.

Smoke is strange stuff. It will absorb into anything porous, just as if it were a liquid. If the paint on your walls was a fresh coat of good quality, the walls could be wiped & done. If it's an old coat of builders grade flat, they will absorb the smoke and should be re-painted, probably. ANY other soft goods in that room stand to carry the same properties like drapes, carpet, upholstery etc.
Before I went the insurance claim route I might try an industrial cleaning company for their special product for such use. They are usually mix-with-water chemicals that in various concentrations can clean smoke damage from almost anything. Good Luck!

An ozone generating air filter should take care of this. Check around to see if you can rent one somewhere. The ozone actually destroys the odor molecules by oxidizing them, changing them into shorter chain non-odorous molecules. It works. Just make sure to run the machine when you are out of the house - otherwise you will get a dry throat and headaches. Once the machine is turned off the ozone quickly reacts and dissipates, so there is no danger once you reoccupy. Alpine makes these units, but they are a bit pricey.

From a logical standpoint, if there is enough ozone in the enclosed space to oxidize the oily residue from the lamps, everything else in the room will be subject to oxidation. Of course, every material is different in its susceptibility, but your furniture, carpet, paint, knick-knacks, ..., will all take a hit.

The smoke smell is gone, but thanks a lot for all your advice.