Research output per year
Research output per year
Personal profile
Short presentation
I am a researcher in financial mathematics specializing in models of the term structure of interest rates
Current research
I am currently working on the the mathematical modelling aspects of the transition from LIBOR to overnight rates.
Teaching
Most areas of mathematical finance, computational finance and financial econometrics
Education/Academic qualification
ph.d., Aarhus University
2004 → 2008
cand.scient.oecon, Aarhus University
1999 → 2004
External positions
External Lecturer, Copenhagen Business School
2016 → …
External Lecturer, Reykjavík University
2014 → …
Keywords
- Faculty of Science
- Interest rates
- LIBOR
- Derivatives
- mathematical finance
- SOFR
Collaborations and top research areas from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
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Term Structure Modeling of SOFR: Evaluating the Importance of Scheduled Jumps
Schlögl, E., Skov, J. B. & Skovmand, D., 2024, (E-pub ahead of print) In: International Journal of Theoretical and Applied Finance. 2450009.Research output: Contribution to journal › Journal article › Research › peer-review
File10 Downloads (Pure) -
Decomposing LIBOR in transition: evidence from the futures markets
Skov, J. B. & Skovmand, D., 2023, In: Quantitative Finance. 23, 6, p. 959-978 20 p.Research output: Contribution to journal › Journal article › Research › peer-review
Open AccessFile1 Citation (Scopus)1 Downloads (Pure) -
TERM RATES, MULTICURVE TERM STRUCTURES AND OVERNIGHT RATE BENCHMARKS: A ROLL–OVER RISK APPROACH
Backwell, A., Macrina, A., Schlögl, E. & Skovmand, D., 2023, In: Frontiers of Mathematical Finance. 2, 3, p. 340-384 45 p.Research output: Contribution to journal › Journal article › Research › peer-review
Open AccessFile5 Citations (Scopus)7 Downloads (Pure) -
Dynamic term structure models for SOFR futures
Skov, J. B. & Skovmand, D., 2021, In: Journal of Futures Markets. 41, 10, p. 1520-1544 25 p.Research output: Contribution to journal › Journal article › Research › peer-review
14 Citations (Scopus) -
Rational Models for Inflation-linked Derivatives
Dam, H. T., Macrina, A., Skovmand, D. G. & Sloth, D., 2020, In: SIAM Journal on Financial Mathematics. 11, 4, p. 974-1006Research output: Contribution to journal › Journal article › Research › peer-review
Open AccessFile1 Citation (Scopus)57 Downloads (Pure) -
Rational Savings Account Models for Backward-Looking Interest Rate Benchmarks
Macrina, A. & Skovmand, D., 2020, In: Risks. 8, 18 p., 23.Research output: Contribution to journal › Journal article › Research › peer-review
Open AccessFile6 Citations (Scopus)36 Downloads (Pure) -
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, SSRN: Social Science Research Network, 24 p.Research output: Working paper
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Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments
Crepey, S., Macrina, A., Nguyen, T. M. & Skovmand, D., 2016, In: Quantitative Finance. 16, 6Research output: Contribution to journal › Journal article › Research › peer-review
File10 Citations (Scopus)185 Downloads (Pure)