Malmö is a city of about 250 000 inhabitants, the 3rd largest in Sweden. If you fly to Copenhagen, it is best to travel to Malmö by train. The train ticket can be purchased at Kastrup airport. If you drive be mindful that it can be difficult to find parking spaces and it is not free to park your car.
And for you who loves football: Malmö is where Zlatan Ibrahimovic came from. He is a pride of this city.
There are plenty of things you can do in this city aside your jumping. You can easily find great food, shopping malls in the city. There are also cultural places such as museum, art gallery.
The tallest building in Scandinavia the Turning Torso (seen in the picture above) is in this city (a BASE jumper Felix Baumgartner ever jumped onto the top of the building from a helicopter and then BASE-jumped off it some years ago). See https://www.youtube.com/watch?v=gUXjEd83mwI
Swedish Jubilees Open 2015