David Glavind Skovmand

David Glavind Skovmand

Associate Professor

ORCID: 0000-0003-4815-6808

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  1. 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 journal › Journal article › Research › peer-review

  2. 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

  3. 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

  4. 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

  5. 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

  6. 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

  7. 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

  8. 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. 974-1006

    Research output: Contribution to journal › Journal article › Research › peer-review

  9. 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 journal › Journal article › Research › peer-review

  10. 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

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