David Glavind Skovmand
Associate Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
ORCID: 0000-0003-4815-6808
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Rational Models for Inflation-linked Derivatives
Dam, H. T., Macrina, A., Skovmand, David Glavind & Sloth, D., 2020, In: SIAM Journal on Financial Mathematics. 11, 4, p. 974-1006Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Rational Savings Account Models for Backward-Looking Interest Rate Benchmarks
Macrina, A. & Skovmand, David Glavind, 2020, In: Risks. 8, 18 p., 23.Research output: Contribution to journal › Journal article › Research › peer-review
ID: 152302107
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223
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Affine LIBOR models with multiple curves: theory, examples and calibration
Research output: Contribution to journal › Journal article › Research › peer-review
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189
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Numerical methods for the Lévy LIBOR model
Research output: Contribution to journal › Journal article › Research › peer-review
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158
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Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments
Research output: Contribution to journal › Journal article › Research › peer-review