Thomas Kokholm

School of Business and Social Sciences, Aarhus University

Associate Professor

Fuglesangs Allé 4

Aarhus, DK-8210

Denmark

SCHOLARLY PAPERS

8

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38

CROSSREF CITATIONS

77

Scholarly Papers (8)

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
University of Oxford and School of Business and Social Sciences, Aarhus University
Downloads 2,030 (7,155)
Citation 3

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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
University of Oxford and School of Business and Social Sciences, Aarhus University
Downloads 1 (702,979)
Citation 5
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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
University of Oxford and School of Business and Social Sciences, Aarhus University
Downloads 1,212 (16,477)
Citation 14

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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
University of Oxford and School of Business and Social Sciences, Aarhus University
Downloads 60 (372,513)
Citation 6

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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 182 (170,591)

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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 159 (191,845)
Citation 2

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

5.

Expected Shortfall and Portfolio Management in Contagious Markets

Number of pages: 36 Posted: 08 Mar 2018
Alice Buccioli, Thomas Kokholm and Marco Nicolosi
Nordea Bank | Model Validation, School of Business and Social Sciences, Aarhus University and University of Perugia - Department of Economics
Downloads 67 (347,290)
Citation 1

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Hawkes Process, Contagion, Expected Shortfall, Back-Testing, Portfolio Management

6.

Constant Proportion Portfolio Insurance Strategies in Contagious Markets

The paper has been presented at the 9th World Congress of the Bachelier Finance Society, New York, at VCMF 2016, Vienna, and at the 21st International Congress on Insurance: Mathematics and Economics, Vienna. The final version of the paper is published in Quantitative Finance Vol. 18, Iss. 2, 2018.
Number of pages: 37 Posted: 15 Dec 2017 Last Revised: 09 Feb 2018
Alice Buccioli and Thomas Kokholm
Nordea Bank | Model Validation and School of Business and Social Sciences, Aarhus University
Downloads 45 (417,634)
Citation 2

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CPPI, self-contagion, Hawkes processes, gap risk, liquidity, risk measures

7.

Shock Waves and Golden Shores: The Asymmetric Interaction between Gold Prices and the Stock Market

Number of pages: 23 Posted: 17 Aug 2019
Alice Buccioli and Thomas Kokholm
Nordea Bank | Model Validation and School of Business and Social Sciences, Aarhus University
Downloads 24 (513,773)

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Hawkes process, Gold modeling, Safe haven asset, GMM; Jumps

8.

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

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