David Skovmand

University of Copenhagen

Nørregade 10

Copenhagen, København DK-1165

Denmark

  • University of Copenhagen

SCHOLARLY PAPERS

5

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1,595

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4

CROSSREF CITATIONS

6

Scholarly Papers (5)

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1.

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

Number of pages: 40 Posted: 27 Jun 2019 Last Revised: 08 Mar 2021
Alex Backwell, Andrea Macrina, Erik Schlögl and David Skovmand
University of Cape Town, University College London, University of Technology Sydney (UTS), Quantitative Finance Research Centre and University of Copenhagen
Downloads 597 (69,291)
Citation 3

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Roll-Over Risk, Multi-Curve Interest Rate Term Structure, OIS, IBOR, LIBOR Transition, Basis Swaps, Calibration

2.

Dynamic Term Structure Models for SOFR Futures

The Journal of Futures Markets, vol. 41, p. 1520–1544.
Number of pages: 31 Posted: 12 Nov 2020 Last Revised: 27 Dec 2021
Jacob Bjerre Skov and David Skovmand
University of Copenhagen and University of Copenhagen
Downloads 552 (76,424)
Citation 3

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SOFR, LIBOR, Futures, Arbitrage-Free Nelson-Siegel, Term Structure Models

3.

Rational Savings Account Models for Backward-Looking Interest Rate Benchmarks

Macrina, A.; Skovmand, D. Rational Savings Account Models for Backward-Looking Interest Rate Benchmarks. Risks 2020, 8, 23.
Number of pages: 18 Posted: 14 Feb 2020 Last Revised: 22 Apr 2020
Andrea Macrina and David Skovmand
University College London and University of Copenhagen
Downloads 214 (214,947)
Citation 4

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LIBOR, SOFR, SONIA, Rational Term Structure Models, Swaptions, Caplets, Futures.

4.

Decomposing Libor in Transition: Evidence from the Futures Markets

Number of pages: 46 Posted: 12 Mar 2022
Jacob Bjerre Skov and David Skovmand
University of Copenhagen and University of Copenhagen
Downloads 126 (335,276)

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LIBOR, SOFR, Futures, Roll-Over Risk, Funding-Liquidity Risk

5.

Rational Models for Inflation-Linked Derivatives

SIAM Journal on Financial Mathematics
Number of pages: 32 Posted: 05 Feb 2018 Last Revised: 15 Jul 2020
Henrik Dam, Andrea Macrina, David Skovmand and David Sloth
University of Copenhagen, University College London, University of Copenhagen and Danske Bank - Danske Markets
Downloads 106 (379,037)
Citation 2

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Inflation-linked derivatives, rational term structure models, convexity adjustment, calibration, pricing kernels, year-on-year swap, limited price index