David Skovmand

MaRDI QIDQ3195113zbMATH OpenFDO

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Term structure modeling of SOFR: evaluating the importance of scheduled jumps International Journal of Theoretical and Applied Finance	2024-11-06	Paper
Term rates, multicurve term structures and overnight rate benchmarks: a roll-over risk approach Frontiers of Mathematical Finance	2023-09-27	Paper
Decomposing LIBOR in transition: evidence from the futures markets Quantitative Finance	2023-08-02	Paper
Rational multi-curve models with counterparty-risk valuation adjustments Quantitative Finance	2021-07-16	Paper
Rational models for inflation-linked derivatives SIAM Journal on Financial Mathematics	2021-01-15	Paper
A Lévy HJM multiple-curve model with application to CVA computation Quantitative Finance	2018-09-19	Paper
Book Reviews Journal of the American Statistical Association	2017-08-07	Paper
Affine LIBOR models with multiple curves: theory, examples and calibration SIAM Journal on Financial Mathematics	2015-10-21	Paper
Efficient and accurate log-L\'evy approximations to L\'evy driven LIBOR models	2011-06-04	Paper
Picard approximation of stochastic differential equations and application to LIBOR models	2010-07-20	Paper

Research outcomes over time

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