David Glavind Skovmand

David Glavind Skovmand

Associate Professor

ORCID: 0000-0003-4815-6808

Publication year:
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  1. 2015

  2. 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

  3. 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

ID: 152302107