David Skovmand
David Skovmand
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Affine LIBOR models with multiple curves: theory, examples and calibration
Z Grbac, A Papapantoleon, J Schoenmakers, D Skovmand
SIAM Journal on Financial Mathematics 6 (1), 984-1025, 2015
A Lévy HJM multiple-curve model with application to CVA computation
S Crépey, Z Grbac, N Ngor, D Skovmand
Quantitative Finance 15 (3), 401-419, 2015
Overpricing and hidden costs of structured products for retail investors: Evidence from the Danish market for principal protected notes
PL Jørgensen, H Nørholm, D Skovmand
Available at SSRN 1863854, 2011
Rational multi-curve models with counterparty-risk valuation adjustments
S Crépey, A Macrina, TM Nguyen, D Skovmand
Quantitative Finance 16 (6), 847-866, 2016
Implied and realized volatility in the cross-section of equity options
M Ammann, D Skovmand, M Verhofen
International Journal of Theoretical and Applied Finance 12 (06), 745-765, 2009
Dynamic term structure models for SOFR futures
JB Skov, D Skovmand
Journal of Futures Markets 41 (10), 1520-1544, 2021
Efficient and accurate log-L\'evy approximations to L\'evy driven LIBOR models
A Papapantoleon, J Schoenmakers, D Skovmand
arXiv preprint arXiv:1106.0866, 2011
Term rates, multicurve term structures and overnight rate benchmarks: A roll-over risk approach
A Backwell, A Macrina, E Schlögl, D Skovmand
Frontiers of Mathematical Finance, 2019
Rational savings account models for backward-looking interest rate benchmarks
A Macrina, D Skovmand
Risks 8 (1), 23, 2020
Affine LIBOR models with multiple curves: theory, examples and calibration
Z Grbac, A Papapantoleon, J Schoenmakers, D Skovmand
arXiv preprint arXiv:1405.2450, 2014
Picard approximation of stochastic differential equations and application to LIBOR models
A Papapantoleon, D Skovmand
arXiv preprint arXiv:1007.3362, 2010
Rational models for inflation-linked derivatives
HT Dam, A Macrina, D Skovmand, D Sloth
SIAM Journal on Financial Mathematics 11 (4), 974-1006, 2020
Libor market models: Theory and applications
DG Skovmand
School of Economics and Management, University of Aarhus, 2008
The valuation of callable bonds with floored CMS-spread coupons
D Skovmand, PL Jørgensen
Available at SSRN 966313, 2007
Decomposing LIBOR in transition: evidence from the futures markets
JB Skov, D Skovmand
Quantitative Finance 23 (6), 959-978, 2023
Pricing of Interest Rate Swaps in the Aftermath of the Financial Crisis
MSB Laursen, M Bruhs, D Skovmand
Social Science Research Network, 2011
Term Structure Modeling of SOFR: Evaluating the Importance of Scheduled Jumps
E Schlögl, JB Skov, D Skovmand
Available at SSRN 4431839, 2023
Numerical methods for the Lévy LIBOR model
A Papapantoleon, D Skovmand
Euro-Par 2010 Parallel Processing Workshops: HeteroPar, HPCC, HiBB, CoreGrid …, 2011
Damiano Brigo and Fabio Mercurio: Interest Rate Models-Theory and Practice
D Skovmand, M Verhofen
Financial Markets and Portfolio Management 21 (1), 135, 2007
Decomposing LIBOR in Transition: Evidence from the Futures Markets
D Skovmand, JB Skov
arXiv preprint arXiv:2201.06930, 2022
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