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The lead-lag relation between VIX futures and SPX futures

Bangsgaard, Christine; Kokholm, Thomas - In: Journal of financial markets 67 (2024), pp. 1-26

Persistent link: https://www.econbiz.de/10014491067

Pricing of traffic light options and other correlation derivatives

Kokholm, Thomas (contributor) - 2008

Persistent link: https://www.econbiz.de/10003781204

Pricing of traffic light options and other hybrid products

Kokholm, Thomas - In: International journal of theoretical and applied finance 12 (2009) 5, pp. 687-707

Persistent link: https://www.econbiz.de/10003899514

Pricing and hedging of derivatives in contagious markets

Kokholm, Thomas - In: Journal of banking & finance 66 (2016), pp. 19-34

Persistent link: https://www.econbiz.de/10011634490

Central clearing of OTC derivatives: Bilateral vs multilateral netting

Cont, Rama; Kokholm, Thomas - In: Statistics & Risk Modeling 31 (2014) 1, pp. 3-22

Abstract We study the impact of central clearing of over-the-counter (OTC) transactions on counterparty exposures in a market with OTC transactions across several asset classes with heterogeneous characteristics. The impact of introducing a central counterparty (CCP) on expected interdealer...

Persistent link: https://www.econbiz.de/10014621220