Anders B. Trolle

HEC Paris - Finance Department

SCHOLARLY PAPERS

16

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8,457

SSRN CITATIONS
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Top 11,847

in Total Papers Citations

64

CROSSREF CITATIONS

26

Scholarly Papers (16)

1.

The Term Structure of Interbank Risk

Journal of Financial Economics, vol. 109, no. 4, p. 707-733, 2013
Number of pages: 98 Posted: 08 Sep 2011 Last Revised: 11 Feb 2016
Damir Filipović and Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne and HEC Paris - Finance Department
Downloads 1,523 (12,536)
Citation 12

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Interbank risk, LIBOR, Swap market, Default risk, Liquidity

2.

Linear-Rational Term Structure Models

Journal of Finance, Forthcoming
Number of pages: 120 Posted: 28 Feb 2014 Last Revised: 20 Nov 2016
Damir Filipović, Martin Larsson and Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne, ETH Zürich - Department of Mathematics and HEC Paris - Finance Department
Downloads 1,351 (15,136)
Citation 6

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Swaps, Swaptions, Unspanned Factors, Zero Lower Bound

3.

Liquidity Risk in Credit Default Swap Markets

Swiss Finance Institute Research Paper No. 13-65
Number of pages: 83 Posted: 24 Dec 2013 Last Revised: 08 Aug 2015
Benjamin Junge and Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne and HEC Paris - Finance Department
Downloads 1,143 (19,520)
Citation 4

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CDS, Credit Index, Index Arbitrage, Liquidity Risk

4.
Downloads 1,008 ( 23,543)
Citation 3

The Swaption Cube

Review of Financial Studies, vol. 27, no. 8, p. 2307-2353, 2014
Number of pages: 87 Posted: 28 Oct 2010 Last Revised: 10 Feb 2016
Anders B. Trolle and Eduardo S. Schwartz
HEC Paris - Finance Department and Simon Fraser University (SFU)
Downloads 974 (24,351)
Citation 5

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An Empirical Analysis of the Swaption Cube

NBER Working Paper No. w16549
Number of pages: 53 Posted: 22 Nov 2010
Anders B. Trolle and Eduardo S. Schwartz
HEC Paris - Finance Department and Simon Fraser University (SFU)
Downloads 34 (496,375)

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Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives

Review of Financial Studies, vol. 22, no. 11, p. 4423-4461, 2009
Number of pages: 55 Posted: 03 Mar 2008 Last Revised: 11 Feb 2016
Anders B. Trolle and Eduardo S. Schwartz
HEC Paris - Finance Department and Simon Fraser University (SFU)
Downloads 931 (25,941)
Citation 14

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Stochastic volatility, HJM model, futures, options, Kalman filter

Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives

NBER Working Paper No. w12744
Number of pages: 52 Posted: 13 Dec 2006 Last Revised: 08 Mar 2007
Anders B. Trolle and Eduardo S. Schwartz
HEC Paris - Finance Department and Simon Fraser University (SFU)
Downloads 61 (387,343)
Citation 2

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Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives

Review of Financial Studies, vol. 22, no. 11, p. 4423-4461, 2009
Posted: 08 Dec 2009 Last Revised: 11 Feb 2016
Anders B. Trolle and Eduardo S. Schwartz
HEC Paris - Finance Department and Simon Fraser University (SFU)

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A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives

Review of Financial Studies, vol. 22, no. 5, p. 2007-2057, 2009
Number of pages: 66 Posted: 06 Mar 2007 Last Revised: 11 Feb 2016
Anders B. Trolle and Eduardo S. Schwartz
HEC Paris - Finance Department and Simon Fraser University (SFU)
Downloads 789 (32,828)
Citation 12

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Stochastic volatility, HJM model, Kalman filter, swaptions, caps

A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives

Review of Financial Studies, vol. 22, no. 5, p. 2007-2057, 2009
Posted: 13 Apr 2009 Last Revised: 11 Feb 2016
Anders B. Trolle and Eduardo S. Schwartz
HEC Paris - Finance Department and Simon Fraser University (SFU)

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E43, G13

7.

Pricing Expropriation Risk in Natural Resource Contracts - A Real Options Approach

Published in William Hogan and Federico Sturzenegger, eds.: The Natural Resource Trap, MIT press, 2010
Number of pages: 28 Posted: 05 Feb 2008 Last Revised: 10 Feb 2016
Eduardo S. Schwartz and Anders B. Trolle
Simon Fraser University (SFU) and HEC Paris - Finance Department
Downloads 332 (98,374)
Citation 1

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Real options, crude oil contracts, expropriation risk

On the Relation between Linearity-Generating Processes and Linear-Rational Models

Mathematical Finance, Forthcoming
Number of pages: 32 Posted: 24 Mar 2016 Last Revised: 13 Jun 2018
Damir Filipović, Martin Larsson and Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne, ETH Zürich - Department of Mathematics and HEC Paris - Finance Department
Downloads 256 (129,389)
Citation 3

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Linearity-Generating Process, Linear-Rational Model, Long-Term Risk, State Price Density

On the Relation between Linearity‐Generating Processes and Linear‐Rational Models

Mathematical Finance, Vol. 29, Issue 3, pp. 804-826, 2019
Number of pages: 23 Posted: 29 May 2020
Damir Filipović, Martin Larsson and Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne, ETH Zürich - Department of Mathematics and HEC Paris - Finance Department
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9.

Fed Funds Futures Variance Futures

Quantitative Finance, Forthcoming
Number of pages: 24 Posted: 28 Nov 2014 Last Revised: 09 Mar 2016
Damir Filipović and Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne and HEC Paris - Finance Department
Downloads 244 (136,401)

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Fed Funds Futures, Funding Costs, Unsecured Interbank Money Market

10.

Keep it Simple: Dynamic Bond Portfolios Under Parameter Uncertainty

Number of pages: 44 Posted: 12 Mar 2012 Last Revised: 16 Nov 2012
Copenhagen Business School, Copenhagen Business School, Copenhagen Business School and HEC Paris - Finance Department
Downloads 233 (142,692)
Citation 6

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Suboptimal investments, parameter uncertainty, utility losses, bond portfolios, MCMC estimation

11.

The Price of Interest Rate Variance Risk and Optimal Investments in Interest Rate Derivatives

EFA 2009 Bergen Meetings Paper
Number of pages: 54 Posted: 14 Feb 2009 Last Revised: 19 Jan 2011
Anders B. Trolle
HEC Paris - Finance Department
Downloads 187 (175,338)
Citation 5

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Portfolio choice, derivatives, stochastic variance, swaps, Treasury futures

12.

A General Model of Dynamic Asset Allocation with Incomplete Information and Learning

Number of pages: 48 Posted: 28 Feb 2005 Last Revised: 20 Jan 2011
Carsten Sørensen and Anders B. Trolle
Copenhagen Business School - Department of Finance and HEC Paris - Finance Department
Downloads 185 (177,006)
Citation 2

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Portfolio choice, learning, VAR, predictability, hedging demands

13.

Efficient Pricing of Energy Derivatives

Published in Marcel Prokopczuk, ed.: Energy Pricing Models: Recent Advances, Methods, and Tools, Palgrave Macmillan, 2014
Number of pages: 21 Posted: 06 Nov 2014 Last Revised: 10 Feb 2016
Anders B. Trolle
HEC Paris - Finance Department
Downloads 137 (228,001)

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Futures, Options, Unspanned Stochastic Volatility, Jumps

14.

A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives

NBER Working Paper No. w12337
Number of pages: 64 Posted: 14 Jul 2006 Last Revised: 18 Sep 2010
Anders B. Trolle and Eduardo S. Schwartz
HEC Paris - Finance Department and Simon Fraser University (SFU)
Downloads 70 (355,796)

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15.

How integrated are credit and equity markets? Evidence from index options

Number of pages: 78
Pierre Collin-Dufresne, Benjamin Junge and Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Fédérale de Lausanne and HEC Paris - Finance Department
Downloads 7

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Credit risk, CDX, CDX options, SPX, SPX options, structural models

16.

Variance Risk Premia in Energy Commodities

Journal of Derivatives, vol. 17, p. 15-32, 2010, https://doi.org/10.3905/jod.2010.17.3.015
Posted: 15 Jul 2008 Last Revised: 21 May 2019
Anders B. Trolle and Eduardo S. Schwartz
HEC Paris - Finance Department and Simon Fraser University (SFU)

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Crude oil, natural gas, stochastic variance, risk premia