David Skovmand

David Skovmand

University of Copenhagen - Copenhagen / Denmark
Others
AD Scientific Index ID: 5941252
Københavns Universitet
person_outline David Skovmand's MOST POPULAR ARTICLES
1-) Affine LIBOR models with multiple curves: theory, examples and calibrationZ Grbac, A Papapantoleon, J Schoenmakers, D SkovmandSIAM Journal on Financial Mathematics 6 (1), 984-1025, 2015512015
2-) A Lévy HJM multiple-curve model with application to CVA computationS Crépey, Z Grbac, N Ngor, D SkovmandQuantitative Finance 15 (3), 401-419, 2015442015
3-) Overpricing and hidden costs of structured products for retail investors: Evidence from the Danish market for principal protected notesPL Jørgensen, H Nørholm, D SkovmandAvailable at SSRN 1863854, 2011292011
4-) Dynamic term structure models for SOFR futuresJB Skov, D SkovmandJournal of Futures Markets 41 (10), 1520-1544, 2021282021
5-) Implied and realized volatility in the cross-section of equity optionsM Ammann, D Skovmand, M VerhofenInternational Journal of Theoretical and Applied Finance 12 (06), 745-765, 2009222009