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Trolle, Anders B.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
3,886 |
Total
Citations
75 |
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1.
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Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives
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Trolle, Anders B.
Ecole Polytechnique Fédérale de Lausanne Schwartz, Eduardo S.
University of California, Los Angeles (UCLA) - Finance Area
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Posted:
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13 Dec 06
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Last Revised:
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29 Jul 10
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854
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34
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Trolle, Anders B.
Ecole Polytechnique Fédérale de Lausanne Schwartz, Eduardo S.
University of California, Los Angeles (UCLA) - Finance Area
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Trolle, Anders B.
Ecole Polytechnique Fédérale de Lausanne Schwartz, Eduardo S.
University of California, Los Angeles (UCLA) - Finance Area
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03 Mar 08
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Last Revised:
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15 Jun 08
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815
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Stochastic volatility, HJM model, futures, options, Kalman filter
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Trolle, Anders B.
Ecole Polytechnique Fédérale de Lausanne Schwartz, Eduardo S.
University of California, Los Angeles (UCLA) - Finance Area
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2.
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Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne Trolle, Anders B.
Ecole Polytechnique Fédérale de Lausanne
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08 Sep 11
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Last Revised:
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15 May 13
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794
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2
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Interbank risk, LIBOR, Swap market, Default risk, Liquidity
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3.
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A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives
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Versions (2)
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Trolle, Anders B.
Ecole Polytechnique Fédérale de Lausanne Schwartz, Eduardo S.
University of California, Los Angeles (UCLA) - Finance Area
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Posted:
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06 Mar 07
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Last Revised:
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29 Jul 10
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668
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12
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Trolle, Anders B.
Ecole Polytechnique Fédérale de Lausanne Schwartz, Eduardo S.
University of California, Los Angeles (UCLA) - Finance Area
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0
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E43, G13
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Trolle, Anders B.
Ecole Polytechnique Fédérale de Lausanne Schwartz, Eduardo S.
University of California, Los Angeles (UCLA) - Finance Area
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668
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12
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Stochastic volatility, HJM model, Kalman filter, swaptions, caps
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4.
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An Empirical Analysis of the Swaption Cube
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Versions (2)
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Trolle, Anders B.
Ecole Polytechnique Fédérale de Lausanne Schwartz, Eduardo S.
University of California, Los Angeles (UCLA) - Finance Area
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Posted:
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28 Oct 10
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Last Revised:
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21 Jul 12
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478
(26,987)
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2
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Trolle, Anders B.
Ecole Polytechnique Fédérale de Lausanne Schwartz, Eduardo S.
University of California, Los Angeles (UCLA) - Finance Area
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12
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Trolle, Anders B.
Ecole Polytechnique Fédérale de Lausanne Schwartz, Eduardo S.
University of California, Los Angeles (UCLA) - Finance Area
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28 Oct 10
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Last Revised:
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21 Jul 12
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466
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5.
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Trolle, Anders B.
Ecole Polytechnique Fédérale de Lausanne Schwartz, Eduardo S.
University of California, Los Angeles (UCLA) - Finance Area
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15 Jul 08
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Last Revised:
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16 Mar 10
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465
(27,967)
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8
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Crude oil, natural gas, stochastic variance, risk premia
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6.
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Trolle, Anders B.
Ecole Polytechnique Fédérale de Lausanne Schwartz, Eduardo S.
University of California, Los Angeles (UCLA) - Finance Area
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213
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3
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Real options, crude oil contracts, expropriation risk
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7.
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Sørensen, Carsten
Copenhagen Business School - Department of Finance Trolle, Anders B.
Ecole Polytechnique Fédérale de Lausanne
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28 Feb 05
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Last Revised:
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20 Jan 11
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144
(101,337)
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Portfolio choice, learning, VAR, predictability, hedging demands
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8.
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Trolle, Anders B.
Ecole Polytechnique Fédérale de Lausanne
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14 Feb 09
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Last Revised:
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19 Jan 11
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139
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1
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Portfolio choice, derivatives, stochastic variance, swaps, Treasury futures
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9.
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Feldhütter, Peter
London Business School Larsen, Linda Sandris
University of Southern Denmark Munk, Claus
Copenhagen Business School Trolle, Anders B.
Ecole Polytechnique Fédérale de Lausanne
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12 Mar 12
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Last Revised:
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16 Nov 12
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87
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1
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Suboptimal investments, parameter uncertainty, utility losses, bond portfolios, MCMC estimation
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10.
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Trolle, Anders B.
Ecole Polytechnique Fédérale de Lausanne Schwartz, Eduardo S.
University of California, Los Angeles (UCLA) - Finance Area
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44
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12
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