About Aarhus University
Thomas Kokholm
Professor
Department of Economics and Business Economics
Fuglesangs Allé 4
building 2630, 112
8210 Aarhus V
Denmark
Phone: +4587165216
Teaching
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
Download CV
Profile
Professor
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.
- E-pub ahead of print
The lead–lag relation between VIX futures and SPX futures
Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
- Published
Shock Waves and Golden Shores: The Asymmetric Interaction between Gold Prices and the Stock Market
Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Expected Shortfall and Portfolio Management in Contagious Markets
Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Research in Options
Activity: Talk or presentation types › Lecture and oral contribution
The SIAM Conference on Financial Mathematics
Activity: Talk or presentation types › Lecture and oral contribution
7th World Congress of the Bachelier Finance Society
Activity: Talk or presentation types › Lecture and oral contribution
Housing in Bikubenfondens Academic Guest House
Prize: Prizes, scholarships, distinctions
Sparinvest Prisopgave 3. præmie: Med specialet: Kreditrisikomodeller og Copulametoder til Prisfastsættelse af CDO'er
Prize: Prizes, scholarships, distinctions
Tuborgfondets Erhversøkonomiske Pris
Prize: Prizes, scholarships, distinctions
ID: 32289369