David Glavind Skovmand
Associate Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
ORCID: 0000-0003-4815-6808
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TERM RATES, MULTICURVE TERM STRUCTURES AND OVERNIGHT RATE BENCHMARKS: A ROLL–OVER RISK APPROACH
Backwell, A., Macrina, A., Schlögl, E. & Skovmand, David Glavind, 2023, In: Frontiers of Mathematical Finance. 2, 3, p. 340-384 45 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: a Roll-Over Risk Approach
Backwell, A., Macrina, A., Schloegl, E. & Skovmand, David Glavind, 27 Jun 2019, SSRN: Social Science Research Network, 24 p.Research output: Working paper › Research
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The Valuation of Callable Bonds with Floored CMS-Spread Coupons
Jørgensen, P. L. & Skovmand, David Glavind, Nov 2007, In: Wilmott Magazine, pp. 106-125, November 2007.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