David Glavind Skovmand

David Glavind Skovmand

Associate Professor

ORCID: 0000-0003-4815-6808

Publication year:
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  1. 2024
  2. 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

  3. 2023
  4. 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

  5. Published

    TERM RATES, MULTICURVE TERM STRUCTURES AND OVERNIGHT RATE BENCHMARKS: A ROLL–OVER RISK APPROACH

    Backwell, A., Macrina, A., Schlögl, E. & Skovmand, David Glavind, 2023, In: Frontiers of Mathematical Finance. 2, 3, p. 340-384 45 p.

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

  6. 2021
  7. 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

  8. 2020
  9. 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

  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

  11. 2019
  12. Published

    Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: a Roll-Over Risk Approach

    Backwell, A., Macrina, A., Schloegl, E. & Skovmand, David Glavind, 27 Jun 2019, SSRN: Social Science Research Network, 24 p.

    Research output: Working paper › Research

  13. 2016

  14. 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

  15. 2015

  16. 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

  17. 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

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