David Glavind Skovmand
Associate Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- 2007
- 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 journal › Journal article › Research › peer-review
- 2009
- 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 journal › Journal article › Research › peer-review
- 2010
- 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 journal › Journal article › Research › peer-review
- 2012
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 journal › Journal article › Research › peer-review
- 2015
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 journal › Journal article › Research › peer-review
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. 401-419Research output: Contribution to journal › Journal article › Research › peer-review
- 2016
Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments
Crepey, S., Macrina, A., Nguyen, T. M. & Skovmand, David Glavind, 2016, In: Quantitative Finance. 16, 6Research output: Contribution to journal › Journal article › Research › peer-review
- 2019
- 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 paper › Research
- 2020
- Published
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
- 2021
- Published
Dynamic term structure models for SOFR futures
Skov, J. B. & Skovmand, David Glavind, 2021, In: Journal of Futures Markets. 41, 10, p. 1520-1544 25 p.Research output: Contribution to journal › Journal article › Research › peer-review
- 2023
- Published
Decomposing LIBOR in transition: evidence from the futures markets
Skov, J. B. & Skovmand, David Glavind, 2023, In: Quantitative Finance. 23, 6, p. 959-978 20 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
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
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
-
188
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