David Skovmand

Identifiers

• name variant David Skovmand 0.60 · backfill

Papers (5)

1. Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments q-fin.MF · 2015 · author #4
2. Affine LIBOR models with multiple curves: theory, examples and calibration q-fin.MF · 2014 · author #4
3. Efficient and accurate log-L\'evy approximations to L\'evy driven LIBOR models q-fin.CP · 2011 · author #3
4. Picard approximation of stochastic differential equations and application to LIBOR models q-fin.CP · 2010 · author #2
5. Numerical methods for the L\'evy LIBOR model q-fin.CP · 2010 · author #2

Mentions

• 1106.0866 #3 · backfill · confidence 0.70 David Skovmand
• 1007.3362 #2 · backfill · confidence 0.70 David Skovmand
• 1006.3340 #2 · backfill · confidence 0.70 David Skovmand

Frequent Coauthors

• Antonis Papapantoleon 4 shared papers
• John Schoenmakers 2 shared papers
• Andrea Macrina 1 shared papers
• Stephane Crepey 1 shared papers
• Tuyet Mai Nguyen 1 shared papers
• Zorana Grbac 1 shared papers