David Skovmand

University of Copenhagen

Nørregade 10

Copenhagen, København DK-1165

Denmark

SCHOLARLY PAPERS

4

DOWNLOADS

697

SSRN CITATIONS

4

CROSSREF CITATIONS

2

Scholarly Papers (4)

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: 27 Jan 2021
University of Cape Town, University College London, University of Technology Sydney (UTS), Quantitative Finance Research Centre and University of Copenhagen
Downloads 303 (117,478)
Citation 2

Abstract:

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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

Number of pages: 28 Posted: 12 Nov 2020
Jacob Bjerre Skov and David Skovmand
University of Copenhagen and University of Copenhagen
Downloads 209 (170,312)

Abstract:

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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 120 (270,907)
Citation 3

Abstract:

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

4.

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 65 (396,283)
Citation 2

Abstract:

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