David Glavind Skovmand
Associate Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
ORCID: 0000-0003-4815-6808
Keywords
- Faculty of Science - Interest rates, LIBOR, Derivatives, mathematical finance, SOFR
ID: 152302107
Most downloads
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219
downloads
Affine LIBOR models with multiple curves: theory, examples and calibration
Research output: Contribution to journal › Journal article › Research › peer-review
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186
downloads
Numerical methods for the Lévy LIBOR model
Research output: Contribution to journal › Journal article › Research › peer-review
Published -
155
downloads
Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments
Research output: Contribution to journal › Journal article › Research › peer-review