| 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 | 48 | 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 | 45 | 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 | 26 | 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 | 20 | 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 | 20 | 2009 |
| Dynamic term structure models for SOFR futures JB Skov, D Skovmand Journal of Futures Markets 41 (10), 1520-1544, 2021 | 19 | 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 | 19 | 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 | 16 | 2019 |
| Rational savings account models for backward-looking interest rate benchmarks A Macrina, D Skovmand Risks 8 (1), 23, 2020 | 11 | 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 | 10 | 2014 |
| Picard approximation of stochastic differential equations and application to LIBOR models A Papapantoleon, D Skovmand arXiv preprint arXiv:1007.3362, 2010 | 9 | 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 | 8 | 2020 |
| Libor market models: Theory and applications DG Skovmand School of Economics and Management, University of Aarhus, 2008 | 5 | 2008 |
| The valuation of callable bonds with floored CMS-spread coupons D Skovmand, PL Jørgensen Available at SSRN 966313, 2007 | 5 | 2007 |
| Decomposing LIBOR in transition: evidence from the futures markets JB Skov, D Skovmand Quantitative Finance 23 (6), 959-978, 2023 | 2 | 2023 |
| Pricing of Interest Rate Swaps in the Aftermath of the Financial Crisis MSB Laursen, M Bruhs, D Skovmand Social Science Research Network, 2011 | 2 | 2011 |
| Term Structure Modeling of SOFR: Evaluating the Importance of Scheduled Jumps E Schlögl, JB Skov, D Skovmand Available at SSRN 4431839, 2023 | 1 | 2023 |
| Numerical methods for the Lévy LIBOR model A Papapantoleon, D Skovmand Euro-Par 2010 Parallel Processing Workshops: HeteroPar, HPCC, HiBB, CoreGrid …, 2011 | 1 | 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 | 1 | 2007 |
| Decomposing LIBOR in Transition: Evidence from the Futures Markets D Skovmand, JB Skov arXiv preprint arXiv:2201.06930, 2022 | | 2022 |
