David Skovmand

Aarhus University - School of Business and Social Sciences

Nordre Ringgade 1

Aarhus C, DK-8000

Denmark

  • Aarhus University - School of Business and Social Sciences

SCHOLARLY PAPERS

4

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SSRN CITATIONS
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7

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7

Scholarly Papers (4)

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1.

Implied and Realized Volatility in the Cross-Section of Equity Options

International Journal of Theoretical and Applied Finance, Vol. 12, No. 6, pp. 745-765, 2009
Number of pages: 30 Posted: 08 Jan 2009
Manuel Ammann, David Skovmand and Michael Verhofen
University of St. Gallen - School of Finance, Aarhus University - School of Business and Social Sciences and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 1,221 (22,130)
Citation 1

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Implied Volatility, Realized Volatility

2.

Overpricing and Hidden Costs of Structured Products for Retail Investors: Evidence from the Danish Market for Principal Protected Notes

Number of pages: 35 Posted: 13 Jun 2011 Last Revised: 19 Jul 2012
Peter Løchte Jørgensen, Henrik Nørholm and David Skovmand
University of Aarhus - Business and Social Sciences, Aarhus University - School of Business and Social Sciences and Aarhus University - School of Business and Social Sciences
Downloads 1,115 (25,272)
Citation 7

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structured products, fair valuation, pricing efficiency, exotic option pricing, cost analysis

3.

The Valuation of Callable Bonds with Floored CMS-spread Coupons

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The Valuation of Callable Bonds with Floored CMS-spread Coupons

Number of pages: 47 Posted: 02 Mar 2007
David Skovmand and Peter Løchte Jørgensen
Aarhus University - School of Business and Social Sciences and University of Aarhus - Business and Social Sciences
Downloads 331 (118,543)
Citation 4

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Structured products, callable bonds, optimal call strategies, Least-Squares Monte Carlo, G2++ and LIBOR market models.

The Valuation of Callable Bonds with Floored CMS-Spread Coupons

Wilmott Magazine, pp. 106-125, November 2007
Posted: 06 Dec 2012
Peter Løchte Jørgensen and David Skovmand
University of Aarhus - Business and Social Sciences and Aarhus University - School of Business and Social Sciences

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structured products, callable bonds, optimal call strategies, least-squares Monte Carlo, G2 and LIBOR market models

4.

A Levy HJM Multiple-Curve Model with Application to CVA Computation

Number of pages: 29 Posted: 02 Oct 2013
Stéphane Crépey, Zorana Grbac, Nathalie Ngor and David Skovmand
Université d'Évry - Equipe d'Analyse et Probabilites, Université Paris VII Denis Diderot, Université d'Évry and Aarhus University - School of Business and Social Sciences
Downloads 99 (341,771)
Citation 2

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interest rate derivative, multiple-curve term structure model, Levy process, credit valuation adjustment (CVA), funding