Projects per year
Personal profile
Research
Thomas has published acrticles within areas covering volatility derivatives, risk management, credit risk, market microstructure, and derivatives pricing.
Profile
Thomas Kokholm was hired as Professor in June 2021 after having held a position as Associate Professor since January 2013. He has been visiting scholar at Columbia University, New York in the periods January-October 2008, February-July 2011 and a visiting scholar at Imperial College, London in the period February-March 2013. He is a research fellow at the Danish Finance Institute (DFI) and at the center for Research in Energy: Economics and Markets (CoRE).
Teaching
Thomas has taught courses at both undergraduate and graduate level covering material within fixed income, credit risk, derivatives pricing, asset pricing, and basic finance.
Job responsibilities
Thomas is the head of the finance section at the Department of Economics and Business Economics and he is the chair of the programme committee for the education in Mathematics-Economics. In addition, he serves as a member of the academic committee under the Danish FSA for the approval of learning objectives for the certification of financial advisors.
Areas of expertise
- Volatility derivatives
- Derivatives pricing
- Risk management
- Credit risk
- Market microstructure
Fingerprint
Dive into the research topics where Thomas Kokholm is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
- 1 Similar Profiles
Collaborations and top research areas from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
Projects
- 1 Finished
-
The interplay between volatility speculators, institutional hedgers and market disruptions
Kokholm, T. (PI)
01/01/2021 → 31/12/2023
Project: Research
-
The lead–lag relation between VIX futures and SPX futures
Bangsgaard, C. & Kokholm, T., Jan 2024, In: Journal of Financial Markets. 67, 26 p., 100851.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open Access4 Citations (Scopus) -
Shock Waves and Golden Shores: The Asymmetric Interaction between Gold Prices and the Stock Market
Buccioli, A. & Kokholm, T., 2022, In: European Journal of Finance. 28, 7, p. 743-760 18 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open AccessFile7 Citations (Scopus)53 Downloads (Pure) -
Expected Shortfall and Portfolio Management in Contagious Markets
Buccioli, A., Kokholm, T. & Nicolosi, M., May 2019, In: Journal of Banking & Finance. 102, May, p. 100-115 16 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open AccessFile4 Citations (Scopus)91 Downloads (Pure) -
Constant Proportion Portfolio Insurance Strategies in Contagious Markets
Buccioli, A. & Kokholm, T., 2018, In: Quantitative Finance. 18, 2, p. 311-331 21 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open AccessFile5 Citations (Scopus)359 Downloads (Pure) -
Pricing and Hedging of Derivatives in Contagious Markets
Kokholm, T., 2016, In: Journal of Banking & Finance. 66, p. 19-34 16 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
19 Citations (Scopus)
Activities
-
Research in Options
Kokholm, T. (Lecturer)
8 Dec 2012 → 12 Dec 2012Activity: Presentations, memberships, ownership and other activities › Lecture and oral contribution
-
The SIAM Conference on Financial Mathematics
Kokholm, T. (Lecturer)
9 Jul 2012 → 11 Jul 2012Activity: Presentations, memberships, ownership and other activities › Lecture and oral contribution
-
7th World Congress of the Bachelier Finance Society
Kokholm, T. (Lecturer)
19 Jun 2012 → 22 Jun 2012Activity: Presentations, memberships, ownership and other activities › Lecture and oral contribution
-
22nd Annual Derivatives Securities and Risk Management Conference
Kokholm, T. (Invited speaker)
30 Mar 2012 → 31 Mar 2012Activity: Presentations, memberships, ownership and other activities › Lecture and oral contribution
-
5th Financial Risks International Forum: Systemic Risk
Kokholm, T. (Invited speaker)
22 Mar 2012 → 23 Mar 2012Activity: Presentations, memberships, ownership and other activities › Lecture and oral contribution
Prizes
-
Housing in Bikubenfondens Academic Guest House
Kokholm, T. (Recipient), 19 Jan 2008
Prize: Prizes, scholarships, distinctions
-
Sparinvest Prisopgave 3. præmie: Med specialet: Kreditrisikomodeller og Copulametoder til Prisfastsættelse af CDO'er
Kokholm, T. (Recipient), 10 Nov 2006
Prize: Prizes, scholarships, distinctions
-
Tuborgfondets Erhversøkonomiske Pris
Kokholm, T. (Recipient), 1 Jun 2007
Prize: Prizes, scholarships, distinctions