4 citations · 4 across the 4 of their papers we have counts for
8 papers
Decomposing LIBOR in Transition: Evidence from the Futures Markets
David Skovmand, Jacob Bjerre Skov
Applying historical data from the USD LIBOR transition period, we estimate a joint model for SOFR, Fed Funds, and Eurodollar futures rates as well as spot USD LIBOR and term repo r…
Dynamic Term Structure Models for SOFR Futures
Jacob Bjerre Skov, David Skovmand
The LIBOR rate is currently scheduled for discontinuation, and the replacement advocated by regulators in the US is the Secured Overnight Financing Rate (SOFR). The change has the…
Rational Models for Inflation-Linked Derivatives
Henrik Dam, Andrea Macrina, David Skovmand +1
We construct models for the pricing and risk management of inflation-linked derivatives. The models are rational in the sense that linear payoffs written on the consumer price inde…
Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments
Stephane Crepey, Andrea Macrina, Tuyet Mai Nguyen +1
We develop a multi-curve term structure setup in which the modelling ingredients are expressed by rational functionals of Markov processes. We calibrate to LIBOR swaptions data and…
Affine LIBOR models with multiple curves: theory, examples and calibration
Zorana Grbac, Antonis Papapantoleon, John Schoenmakers +1
We introduce a multiple curve framework that combines tractable dynamics and semi-analytic pricing formulas with positive interest rates and basis spreads. Negatives rates and posi…
Efficient and accurate log-Lévy approximations to Lévy driven LIBOR models
Antonis Papapantoleon, John Schoenmakers, David Skovmand
The LIBOR market model is very popular for pricing interest rate derivatives, but is known to have several pitfalls. In addition, if the model is driven by a jump process, then the…
Picard approximation of stochastic differential equations and application to LIBOR models
Antonis Papapantoleon, David Skovmand
The aim of this work is to provide fast and accurate approximation schemes for the Monte Carlo pricing of derivatives in LIBOR market models. Standard methods can be applied to sol…
Numerical methods for the Lévy LIBOR model
Antonis Papapantoleon, David Skovmand
The aim of this work is to provide fast and accurate approximation schemes for the Monte-Carlo pricing of derivatives in the Lévy LIBOR model of Eberlein and Özkan (2005). Standard…