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Thomas Kokholm


Thomas Kokholm


Fixed Income
Credit Risk: Theory and Applications
Advances in Financial Modeling with a view towards Volatility Derivatives

Research interests
Credit Risk    
Volatility Derivatives
Derivatives Pricing/Modeling

Selected publications

A. Buccioli and T. Kokholm, Constant Proportion Portfolio Insurance Strategies in Contagious Markets, Quantitative Finance, vol. 18. No. 2 (2017), pp. 311-331. http://dx.doi.org/10.1080/14697688.2017.1403157

T. Kokholm, Pricing and Hedging of Derivatives in Contagious Markets, Journal of Banking and Finance, vol. 66, (2016), pp. 19-34. http://dx.doi.org/10.1016/j.jbankfin.2016.01.012

R. Cont and T. Kokholm, Central Clearing of OTC Derivatives: bilateral vs multilateral netting, Statistics and Risk Modeling, vol. 31. No. 1 (2014), pp. 3-22. http://dx.doi.org/10.1515/strm-2013-1161

R. Cont and T. Kokholm, A Consistent Pricing Model for Index Options and Volatility Derivatives, Mathematical Finance, vol. 23. No. 2 (2013), pp. 248-274. http://dx.doi.org/10.1111/j.1467-9965.2011.00492.x

T. Kokholm and E. Nicolato, Sato Processes in Default Modelling, Applied Mathematical Finance, vol. 17. No. 5 (2010), pp. 377-397. http://dx.doi.org/10.1080/13504860903357292

T. Kokholm, Pricing of Traffic Light Options and other Hybrid Products, International Journal of Theoretical and Applied Finance, vol. 12. No. 5 (2009), pp. 687-707. http://dx.doi.org/10.1142/S0219024909005415
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Member of section: Accounting and Finance
Research Secretary: Pernille Vorsø Jachobsen

PhD, Aarhus School of Business, Aarhus University, 2010
MSc (Mathematics and Economics), University of Aarhus, 2006

Thomas Kokholm was hired as Associate Professor in January 2013 after having held a position as Assistant Professor from February 2010 – December 2012. He earned his PhD degree from Aarhus School of Business, Aarhus University in January 2010. He has been a visiting scholar at Columbia University, New York, USA in the periods January-October 2008, February-July 2011 and a visiting scholar at Imperial College, London in the period February - March 2013. Thomas has taught on courses covering fixed income, credit risk, and stochastic volatility models for derivatives pricing.

Thomas is the chair of the programme committee for Mathematics-Economics.

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