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Anders TROLLE

Associate Professor

Finance

 Profile picture

Biography

Anders B. Trolle is an Associate Professor at HEC Paris. Prior to joining HEC, Anders was an Assistant Professor at the Ecole Polytechnique Fédérale de Lausanne in Switzerland and held a Junior Chair at the Swiss Finance Institute. He received his M.S. from University of Copenhagen and his Ph.D. from Copenhagen Business School. His research has been published in leading academic finance journals such as the Journal of Finance, the Review of Financial Studies, and the Journal of Financial Economics.

Scientific articles

Market Structure and Transaction Costs of Index CDSs

Journal of Finance (The), Forthcoming, (in coll. with P. COLLIN-DUFRESNE, B. JUNGE)

On the relation between linearity-generating processes and linear-rational models

Mathematical Finance, Forthcoming, (in coll. with D. FILIPOVIC, M. LARSSON)

Linear-Rational Term Structure Models

Journal of Finance (The), April 2017, vol. 72, n° 2, pp 655-704, (in coll. with D. FILIPOVIC, M. LARSSON)

Fed Funds Futures Variance Futures

Quantitative Finance, 2016, vol. 16, n° 9, pp 1413-1422, (in coll. with D. FILIPOVIC)

The Swaption Cube

Review of Financial Studies, 2014, vol. 27, n° 8, pp 2307-2353, (in coll. with E. S. SCHWARTZ)

The Term Structure of Interbank Risk

Journal of Financial Economics, September 2013, vol. 109, n° 3, pp 707-733, (in coll. with D. FILIPOVIC)

Variance Risk Premia in Energy Commodities

Journal of Derivatives (The), 2010, vol. 17, n° 3, pp 15-32, (in coll. with E. S. SCHWARTZ)

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

Review of Financial Studies, 2009, vol. 22, n° 5, pp 2007-2057, (in coll. with S. E. SCHWARTZ)

Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives

Review of Financial Studies, 2009, vol. 22, n° 11, pp 4423-4461, (in coll. with S. E. SCHWARTZ)

Scientific articles

Market Structure and Transaction Costs of Index CDSs

Journal of Finance (The), Forthcoming, (in coll. with P. COLLIN-DUFRESNE, B. JUNGE)

On the relation between linearity-generating processes and linear-rational models

Mathematical Finance, Forthcoming, (in coll. with D. FILIPOVIC, M. LARSSON)

Linear-Rational Term Structure Models

Journal of Finance (The), April 2017, vol. 72, n° 2, pp 655-704, (in coll. with D. FILIPOVIC, M. LARSSON)

Fed Funds Futures Variance Futures

Quantitative Finance, 2016, vol. 16, n° 9, pp 1413-1422, (in coll. with D. FILIPOVIC)

Education

  • Ph.D. in Finance, Copenhagen Business School - Denmark
  • M. S. in Economics, University of Copenhagen - Denmark

Academic appointments

Academic responsabilities at HEC

  • 2017- Member of GREGHEC (CNRS) HEC Paris
  • 2017- Associate Professor, Finance HEC Paris

External Academic Responsabilities

  • 2009-2017 Swiss Finance Institute Assistant Professor of Finance Ecole Polytechnique Fédérale de Lausanne (EPFL)
  • 2009-2017 Junior Chair Swiss Finance Institute (SFI)
  • 2007-2009 Postdoctoral fellow in Finance Copenhagen Business School

Scientific Activities

Editorial activities

  • Referee : Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Management Science, Financial Analysts Journal, Journal of Futures Markets, Journal of Econometrics, Journal of Applied Econometrics, Journal of Banking and Finance

  • Awards & honors

    Membership in Academic or Professional Organisation

    • 2005 Denmark-America Foundation award