David Glavind Skovmand
Associate Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
ORCID: 0000-0003-4815-6808
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- 2024
- E-pub ahead of print
Term Structure Modeling of SOFR: Evaluating the Importance of Scheduled Jumps
Schlögl, E., Skov, J. B. & Skovmand, David Glavind, 2024, (E-pub ahead of print) In: International Journal of Theoretical and Applied Finance. 2450009.Research output: Contribution to journal › Journal article › Research › peer-review
ID: 152302107
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Affine LIBOR models with multiple curves: theory, examples and calibration
Research output: Contribution to journal › Journal article › Research › peer-review
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192
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Numerical methods for the Lévy LIBOR model
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Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments
Research output: Contribution to journal › Journal article › Research › peer-review