David Glavind Skovmand
Associate Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
ORCID: 0000-0003-4815-6808
I am a researcher in financial mathematics specializing in models of the term structure of interest rates
Current research
I am currently working on the the mathematical modelling aspects of the transition from LIBOR to overnight rates.
Teaching
Most areas of mathematical finance, computational finance and financial econometrics
ID: 152302107
Most downloads
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201
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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171
downloads
Numerical methods for the Lévy LIBOR model
Research output: Contribution to journal › Journal article › Research › peer-review
Published -
148
downloads
Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments
Research output: Contribution to journal › Journal article › Research › peer-review