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Thomas Kokholm
Thomas Kokholm
Verified email at econ.au.dk - Homepage
Title
Cited by
Cited by
Year
Central clearing of OTC derivatives: bilateral vs multilateral netting
R Cont, T Kokholm
Statistics and Risk Modeling 31 (1), 3-22, 2014
1862014
A consistent pricing model for index options and volatility derivatives
R Cont, T Kokholm
Mathematical Finance 23 (2), 248-274, 2013
1482013
Joint pricing of VIX and SPX options with stochastic volatility and jump models
T Kokholm, M Stisen
The Journal of Risk Finance 16 (1), 27-48, 2015
462015
Pricing and hedging of derivatives in contagious markets
T Kokholm
Journal of Banking & Finance 66, 19-34, 2016
322016
Sato processes in default modelling
T Kokholm, E Nicolato
Applied Mathematical Finance 17 (5), 377-397, 2010
152010
Shock waves and golden shores: the asymmetric interaction between gold prices and the stock market
A Buccioli, T Kokholm
The European Journal of Finance 28 (7), 743-760, 2022
122022
Constant proportion portfolio insurance strategies in contagious markets
A Buccioli, T Kokholm
Quantitative Finance 18 (2), 311-331, 2018
82018
Expected Shortfall and Portfolio Management in Contagious Markets
A Buccioli, T Kokholm, M Nicolosi
Journal of Banking & Finance 102, 100-115, 2019
72019
Pricing of traffic light options and other hybrid products
T Kokholm
International Journal of Theoretical and Applied Finance 12 (05), 687-707, 2009
72009
The lead–lag relation between VIX futures and SPX futures
C Bangsgaard, T Kokholm
Journal of Financial Markets 67, 100851, 2024
42024
An asset protection scheme for banks exposed to troubled loan portfolios
A Grosen, P Jessen, T Kokholm
Journal of Economics and Finance 38, 568-588, 2014
42014
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Articles 1–11