Thomas Kokholm

  1. 2019
  2. Published

    Expected Shortfall and Portfolio Management in Contagious Markets. / Buccioli, Alice; Kokholm, Thomas; Nicolosi, Marco.

    In: Journal of Banking & Finance, Vol. 102, No. May, 2019, p. 100-115.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  3. 2018
  4. Published

    Constant Proportion Portfolio Insurance Strategies in Contagious Markets. / Buccioli, Alice; Kokholm, Thomas.

    In: Quantitative Finance, Vol. 18, No. 2, 2018, p. 311-331.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  5. 2016
  6. Published

    Pricing and Hedging of Derivatives in Contagious Markets. / Kokholm, Thomas.

    In: Journal of Banking & Finance, Vol. 66, 2016, p. 19-34.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  7. 2015
  8. Published

    Joint Pricing of VIX and SPX Options with Stochastic Volatility and Jump models. / Kokholm, Thomas; Stisen, Martin.

    In: Journal of Risk Finance, Vol. 16, No. 1, 2015, p. 27-48.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  9. 2014
  10. Published

    An Asset Protection Scheme for Banks Exposed to Troubled Loan Portfolios. / Grosen, Anders; Jessen, Pernille; Kokholm, Thomas.

    In: Journal of Economics and Finance, Vol. 38, No. 4, 2014, p. 568-588.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  11. Published

    Central Clearing of OTC Derivatives : Bilateral vs multilateral netting. / Cont, Rama; Kokholm, Thomas.

    In: Statistics & Risk Modeling, Vol. 31, No. 1, 2014, p. 3-22.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  12. 2013
  13. Published

    A Consistent Pricing Model for Index Options and Volatility Derivatives. / Cont, Rama; Kokholm, Thomas.

    In: Mathematical Finance, Vol. 23, No. 2, 2013, p. 248-274.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  14. 2011
  15. Published

    A Consistent Pricing Model for Index Options and Volatility Derivatives. / Kokholm, Thomas.

    2011. Paper presented at Frankfurt MathFinance Conference Derivatives and Risk Management in Theory and Practice, Frankfurt, Germany.

    Research output: Contribution to conferencePaperResearchpeer-review

  16. Published

    A Consistent Pricing Model for Index Options and Volatility Derivatives. / Kokholm, Thomas.

    2011. Paper presented at Modeling and Managing Financial Risks, Paris, France.

    Research output: Contribution to conferencePaperResearchpeer-review

  17. Published

    An Asset Protection Scheme for Banks Exposed to Troubled Loan Portfolios. / Kokholm, Thomas.

    2011. Paper presented at 2011 International Finance and Banking Society (IFABS), Rome, Italy.

    Research output: Contribution to conferencePaperResearchpeer-review

  18. 2010
  19. Published

    An Asset Protection Scheme for Banks Exposed to Troubled Loan Portfolios. / Grosen, Anders; Jessen, Pernille; Kokholm, Thomas Sander.

    Aarhus : Aarhus School of Business, Aarhus University, Department of Business Studies, 2010.

    Research output: Working paperResearch

  20. Published

    An Asset Protection Scheme for Banks Exposed to Troubled Loan Portfolios: Application to the Danish Agricultural Sector. / Grosen, Anders; Jessen, Pernille; Kokholm, Thomas.

    2010. Paper presented at 14th International Congress on Insurance: Mathematics and Economics (IME), Toronto, Canada.

    Research output: Contribution to conferencePaperResearchpeer-review

  21. Published

    Essays on Derivatives Pricing. / Kokholm, Thomas.

    Aarhus School of Business, Aarhus University, Department of Business Studies, 2010. 102 p. (PHD Thesis; No. 2010:2).

    Research output: Book/anthology/dissertation/reportPh.D. thesisResearch

  22. Published

    Sato Processes in Default Modeling. / Kokholm, Thomas; Nicolato, Elisa.

    In: Applied Mathematical Finance, Vol. 17, No. 5, 2010, p. 377-397.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  23. 2009
  24. Published

    A Consistent Pricing Model for Index Options and Volatility Derivatives. / Kokholm, Thomas.

    2009. Paper presented at Quantitative Methods in Finance Conference (QMF), Sydney, Australia.

    Research output: Contribution to conferencePaperResearchpeer-review

  25. Published

    A Consistent Pricing Model for Index Options and Volatility Derivatives. / Cont, Rama; Kokholm, Thomas.

    Aarhus : Aarhus School of Business, Aarhus University, Department of Business Studies, 2009.

    Research output: Working paperResearch

  26. Published

    Pricing of Traffic Light Options and other Hybrid Products. / Kokholm, Thomas.

    In: International Journal of Theoretical and Applied Finance, Vol. 12, No. 5, 2009, p. 687-707.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  27. Published

    Sato Processes in Default Modeling. / Kokholm, Thomas; Nicolato, Elisa.

    Aarhus : Aarhus School of Business, Aarhus University, Department of Business Studies, 2009.

    Research output: Working paperResearch

  28. Published

    Volatility and what Lies Beneath: A Joint Model. / Cont, Rama; Kokholm, Thomas.

    2009. Paper presented at 19th Annual Derivatives Securities and Risk Management Conference, Arlington, Virginia, United States.

    Research output: Contribution to conferencePaperResearchpeer-review

  29. 2008
  30. Published

    Pricing of Traffic Light Options and other Correlation Derivatives. / Kokholm, Thomas.

    Aarhus School of Business, Aarhus University, Department of Business Studies, 2008.

    Research output: Working paperResearch

  31. Published

    Sato Processes in Default Modeling. / Kokholm, Thomas; Nicolato, Elisa.

    2008. Paper presented at Quantitative Methods in Finance Conference 2008, Sydney, Australia.

    Research output: Contribution to conferencePaperResearchpeer-review

  32. Published

    Self-Similar Additive Processes in Default Modelling. / Nicolato, Elisa; Kokholm, Thomas.

    2008. Paper presented at International Workshop: Credit Risk, Evry, France.

    Research output: Contribution to conferencePaperResearchpeer-review

  33. Published

    Self-Similar Additive Processes in Default Modelling. / Nicolato, Elisa; Kokholm, Thomas.

    2008. Paper presented at Bachelier Finance Society 2008 Fifth World Congress, London, United Kingdom.

    Research output: Contribution to conferencePaperResearchpeer-review

  34. 2007
  35. Published

    The Pricing of Traffic Light Options and other Correlation Derivatives. / Kokholm, Thomas.

    2007. Paper presented at The 20th Australasian Finance and Banking Conference, Sydney, Australia.

    Research output: Contribution to conferencePaperResearchpeer-review