Thomas Kokholm

School of Business and Social Sciences, Aarhus University

Associate Professor

Fuglesangs Allé 4

Aarhus, DK-8210

Denmark

SCHOLARLY PAPERS

5

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CITATIONS
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14

Scholarly Papers (5)

A Consistent Pricing Model for Index Options and Volatility Derivatives

Number of pages: 33 Posted: 19 Sep 2009 Last Revised: 26 Dec 2010
Rama Cont and Thomas Kokholm
Imperial College London and School of Business and Social Sciences, Aarhus University
Downloads 1,942 (5,751)
Citation 12

Abstract:

variance swap, volatility derivative, VIX, VIX options, stochastic volatility, jump process, jumps, index options.

A Consistent Pricing Model for Index Options and Volatility Derivatives

Mathematical Finance, Vol. 23, Issue 2, pp. 248-274, 2013
Number of pages: 27 Posted: 06 Mar 2013
Rama Cont and Thomas Kokholm
Imperial College London and School of Business and Social Sciences, Aarhus University
Downloads 1 (579,109)
Citation 12
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Abstract:

volatility derivatives, jump processes, variance swap, VIX, Levy process, affine processes

Central Clearing of OTC Derivatives: Bilateral vs Multilateral Netting

Number of pages: 20 Posted: 14 Mar 2013
Rama Cont and Thomas Kokholm
Imperial College London and School of Business and Social Sciences, Aarhus University
Downloads 1,111 (14,493)
Citation 2

Abstract:

central clearing, OTC markets, derivatives, CCP, counterparty risk, Dodd-Frank Act

Central Clearing of OTC Derivatives: Bilateral vs Multilateral Netting

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 19 Posted: 06 Sep 2012
Rama Cont and Thomas Kokholm
Imperial College London and School of Business and Social Sciences, Aarhus University
Downloads 48 (342,516)
Citation 2

Abstract:

3.

Pricing of Traffic Light Options and Other Correlation Derivatives

Number of pages: 24 Posted: 17 Aug 2007 Last Revised: 19 Apr 2010
Thomas Kokholm
School of Business and Social Sciences, Aarhus University
Downloads 161 (146,940)

Abstract:

LIBOR market model, traffic light option, correlation, Monte Carlo simulation, hybrid products, structured products, derivatives pricing

4.

Pricing and Hedging of Derivatives in Contagious Markets

Number of pages: 33 Posted: 10 Jul 2014
Thomas Kokholm
School of Business and Social Sciences, Aarhus University
Downloads 56 (191,834)

Abstract:

multivariate modeling, contagion, derivatives pricing, jump processes, hedging

5.

Pricing of Traffic Light Options and Other Hybrid Products

International Journal of Theoretical and Applied Finance, Vol. 12, No. 5, pp. 687-707, 2009
Posted: 01 Dec 2009
Thomas Kokholm
School of Business and Social Sciences, Aarhus University

Abstract:

Traffic light option, LIBOR market model, correlation, simulation, hybrid products