Anders B. Trolle

HEC Paris - Finance Department

SCHOLARLY PAPERS

16

DOWNLOADS
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CITATIONS
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Top 6,359

in Total Papers Citations

78

Scholarly Papers (16)

1.

The Term Structure of Interbank Risk

Journal of Financial Economics, vol. 109, no. 4, p. 707-733, 2013, Swiss Finance Institute Research Paper No. 11-34
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 1,382 (10,463)
Citation 3

Abstract:

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

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 University of California, Los Angeles (UCLA) - Finance Area
Downloads 895 (20,154)
Citation 32

Abstract:

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
Anders B. Trolle and Eduardo S. Schwartz
HEC Paris - Finance Department and University of California, Los Angeles (UCLA) - Finance Area
Downloads 50 (336,465)
Citation 32

Abstract:

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 University of California, Los Angeles (UCLA) - Finance Area

Abstract:

3.
Downloads 886 ( 20,871)
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 University of California, Los Angeles (UCLA) - Finance Area
Downloads 862 (21,373)
Citation 3

Abstract:

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 University of California, Los Angeles (UCLA) - Finance Area
Downloads 24 (441,506)
Citation 3

Abstract:

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 University of California, Los Angeles (UCLA) - Finance Area
Downloads 730 (27,100)
Citation 10

Abstract:

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 University of California, Los Angeles (UCLA) - Finance Area

Abstract:

E43, G13

5.

Variance Risk Premia in Energy Commodities

Journal of Derivatives, vol. 17, p. 15-32, 2010
Number of pages: 30 Posted: 15 Jul 2008 Last Revised: 10 Feb 2016
Anders B. Trolle and Eduardo S. Schwartz
HEC Paris - Finance Department and University of California, Los Angeles (UCLA) - Finance Area
Downloads 526 (36,370)
Citation 12

Abstract:

Crude oil, natural gas, stochastic variance, risk premia

6.

Linear-Rational Term Structure Models

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 14-15
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 Zurich - Department of Mathematics and HEC Paris - Finance Department
Downloads 443 (14,148)
Citation 1

Abstract:

Swaps, Swaptions, Unspanned Factors, Zero Lower Bound

7.

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 416 (20,871)

Abstract:

CDS, Credit Index, Index Arbitrage, Liquidity Risk

8.

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
University of California, Los Angeles (UCLA) - Finance Area and HEC Paris - Finance Department
Downloads 241 (95,929)
Citation 3

Abstract:

Real options, crude oil contracts, expropriation risk

9.

Keep it Simple: Dynamic Bond Portfolios Under Parameter Uncertainty

Number of pages: 44 Posted: 12 Mar 2012 Last Revised: 16 Nov 2012
London Business School, Copenhagen Business School, Copenhagen Business School and HEC Paris - Finance Department
Downloads 166 (119,376)
Citation 1

Abstract:

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

10.

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 166 (143,976)

Abstract:

Portfolio choice, learning, VAR, predictability, hedging demands

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 158 (145,474)
Citation 2

Abstract:

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

12.

Fed Funds Futures Variance Futures

Quantitative Finance, Forthcoming, Swiss Finance Institute Research Paper No. 14-66
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 103 (126,161)

Abstract:

Fed Funds Futures, Funding Costs, Unsecured Interbank Money Market

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 81 (198,029)

Abstract:

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
Anders B. Trolle and Eduardo S. Schwartz
HEC Paris - Finance Department and University of California, Los Angeles (UCLA) - Finance Area
Downloads 53 (295,971)
Citation 10

Abstract:

15.

Market Structure and Transaction Costs of Index Cdss

Number of pages: 121 Posted: 31 May 2016 Last Revised: 13 Sep 2017
Pierre Collin-Dufresne, Benjamin Junge and Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Fédérale de Lausanne and HEC Paris - Finance Department
Downloads 0 (359,068)

Abstract:

CDX, Dodd-Frank Act, Market Structure, Transaction Costs, Swap Execution Facility, Trading Protocols, Workup

16.

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

Swiss Finance Institute Research Paper No. 16-23
Number of pages: 22 Posted: 24 Mar 2016
Damir Filipović, Martin Larsson and Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne, ETH Zurich - Department of Mathematics and HEC Paris - Finance Department
Downloads 0 (157,510)

Abstract:

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