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Kokholm, Thomas's
Scholarly Papers
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Total
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1,871 |
Total
Citations
11 |
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1.
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A Consistent Pricing Model for Index Options and Volatility Derivatives
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Cont, Rama
Imperial College London Kokholm, Thomas
School of Business and Social Sciences, Aarhus University
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Posted:
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19 Sep 09
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Last Revised:
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06 Mar 13
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1,469
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11
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Cont, Rama
Imperial College London Kokholm, Thomas
School of Business and Social Sciences, Aarhus University
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0
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11
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volatility derivatives, jump processes, variance swap, VIX, Levy process, affine processes
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Cont, Rama
Imperial College London Kokholm, Thomas
School of Business and Social Sciences, Aarhus University
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19 Sep 09
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Last Revised:
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26 Dec 10
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1,469
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variance swap, volatility derivative, VIX, VIX options, stochastic volatility, jump process, jumps, index options.
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2.
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Central Clearing of OTC Derivatives: Bilateral vs Multilateral Netting
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Cont, Rama
Imperial College London Kokholm, Thomas
School of Business and Social Sciences, Aarhus University
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Posted:
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06 Sep 12
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Last Revised:
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26 May 13
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251
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Cont, Rama
Imperial College London Kokholm, Thomas
School of Business and Social Sciences, Aarhus University
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242
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central clearing, OTC markets, derivatives, CCP, counterparty risk, Dodd-Frank Act
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Cont, Rama
Imperial College London Kokholm, Thomas
School of Business and Social Sciences, Aarhus University
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3.
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Kokholm, Thomas
School of Business and Social Sciences, Aarhus University
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17 Aug 07
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Last Revised:
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19 Apr 10
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151
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LIBOR market model, traffic light option, correlation, Monte Carlo simulation, hybrid products, structured products, derivatives pricing
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4.
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Kokholm, Thomas
School of Business and Social Sciences, Aarhus University
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Traffic light option, LIBOR market model, correlation, simulation, hybrid products
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