David Glavind Skovmand

David Glavind Skovmand

Associate Professor / Head of Studies


  1. 2020
  2. Submitted

    Rational Models for Inflation-Linked Derivatives

    Dam, H., Macrina, A., Skovmand, David Glavind & Sloth, D., 2020, (Submitted) In : arXiv.org.

    Research output: Contribution to journalJournal articleResearchpeer-review

  3. Accepted/In press

    Rational Savings Account Models for Backward-Looking Interest Rate Benchmarks

    Macrina, A. & Skovmand, David Glavind, 2020, (Accepted/In press).

    Research output: Working paperResearchpeer-review

  4. 2019
  5. Published

    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 paperResearch

  6. 2016
  7. Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments

    Crepey, S., Macrina, A., Nguyen, T. M. & Skovmand, David Glavind, 2016, In : Quantitative Finance. 16, 6

    Research output: Contribution to journalJournal articleResearchpeer-review

  8. 2015
  9. A Levy HJM multiple-curve model with application to CVA computation

    Crepey, S., Grbac, Z., Ngor, N. & Skovmand, David Glavind, 4 Mar 2015, In : Quantitative Finance. 15, 3, p. 401-419

    Research output: Contribution to journalJournal articleResearchpeer-review

  10. Affine LIBOR models with multiple curves: theory, examples and calibration

    Grbac, Z., Papapantoleon, A., Schoenmakers, J. & Skovmand, David Glavind, 2015, In : SIAM Journal on Financial Mathematics. 6, 1, p. 984–1025 42 p.

    Research output: Contribution to journalJournal articleResearchpeer-review

  11. 2012
  12. Published

    Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models

    Papapantoleon, A., Schoenmakers, J. & Skovmand, David Glavind, Jun 2012, In : Journal of Computational Finance. 15, 4, p. 3-44 42 p.

    Research output: Contribution to journalJournal articleResearchpeer-review

  13. 2010
  14. Published

    Numerical methods for the Lévy LIBOR model

    Papapantoleon, A. & Skovmand, David Glavind, 16 Jun 2010, In : In M.R. Guarracino et al..

    Research output: Contribution to journalJournal articleResearchpeer-review

  15. 2009
  16. Published

    Implied and realized volatility in the cross-section of equity options

    Ammann, M., Skovmand, David Glavind & Verhofen, M., 1 Sep 2009, In : International Journal of Theoretical and Applied Finance. 12, 6, p. 745-765 21 p.

    Research output: Contribution to journalJournal articleResearchpeer-review

  17. 2007
  18. Published

    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 journalJournal articleResearchpeer-review

ID: 152302107