Research output per year
Research output per year
Search results
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2019
Rational Models for Inflation-Linked Derivatives
Dam, H., Macrina, A., Skovmand, D. & Sloth, D., 2019, (Submitted) In: arXiv.org.Research output: Contribution to journal › Journal article › Research
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Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: a Roll-Over Risk Approach
Backwell, A., Macrina, A., Schloegl, E. & Skovmand, D., 27 Jun 2019.Research output: Working paper › Research
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2016
Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments
Crepey, S., Macrina, A., Nguyen, T. M. & Skovmand, D., 2 Jun 2016, In: Quantitative Finance. 16, 6Research output: Contribution to journal › Journal article › Research › peer-review
8 Citations (Scopus)59 Downloads (Pure) -
2015
Affine LIBOR models with multiple curves: theory, examples and calibration
Grbac, Z., Papapantoleon, A., Schoenmakers, J. & Skovmand, D., 2015, In: SIAM Journal on Financial Mathematics. 6, 1, p. 984–1025 42 p.Research output: Contribution to journal › Journal article › Research › peer-review
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A Levy HJM multiple-curve model with application to CVA computation
Crepey, S., Grbac, Z., Ngor, N. & Skovmand, D., 4 Mar 2015, In: Quantitative Finance. 15, 3, p. 401-419Research output: Contribution to journal › Journal article › Research › peer-review
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2011
Efficient and accurate log-Lévy approximations to Lévy driven LIBOR models
Papapantoleon, A., Schoenmakers, J. & Skovmand, D., 5 Jun 2011, In: Journal of Computational Finance.Research output: Contribution to journal › Journal article › Research › peer-review
37 Downloads (Pure) -
2010
Numerical methods for the Lévy LIBOR model
Papapantoleon, A. & Skovmand, D., 16 Jun 2010, In: In M.R. Guarracino et al..Research output: Contribution to journal › Journal article › Research › peer-review
49 Downloads (Pure) -
2009
Implied and realized volatility in the cross-section of equity options
Ammann, M., Skovmand, D. & Verhofen, M., 1 Sept 2009, In: International Journal of Theoretical and Applied Finance. 12, 6, p. 745-765 21 p.Research output: Contribution to journal › Journal article › Research › peer-review