Pricing and hedging of derivatives in contagious markets

von Kokholm, Thomas
Veröffentlicht in Journal of banking & finance (2016)

Pricing of traffic light options and other hybrid products

von Kokholm, Thomas
Veröffentlicht in International journal of theoretical and applied finance (2009)

Sato processes in default modelling

von Kokholm, Thomas
Veröffentlicht in Applied mathematical finance (2010)

A consistent pricing model for index options and volatility derivatives

von Cont, Rama
Veröffentlicht in Mathematical finance (2013)

Joint pricing of VIX and SPX options with stochastic volatility and jump models

von Kokholm, Thomas
Veröffentlicht in Journal of risk finance (2015)

Constant proportion portfolio insurance strategies in contagious markets

von Buccioli, Alice
Veröffentlicht in Quantitative finance (2018)

An asset protection scheme for banks exposed to troubled loan portfolios

von Grosen, Anders
Veröffentlicht in Journal of economics and finance (2014)

Expected shortfall and portfolio management in contagious markets

von Buccioli, Alice
Veröffentlicht in Journal of banking & finance (2019)