Skip to main content
About HEC About HEC Faculty & Research Faculty & Research Master’s programs Master’s programs MBA Programs MBA Programs PhD Program PhD Program Executive Education Executive Education Summer School Summer School HEC Online HEC Online About HEC Overview Overview Who We Are Who We Are Egalité des chances Egalité des chances Career Center Career Center International International Campus Life Campus Life Stories Stories The HEC Foundation The HEC Foundation Faculty & Research Overview Overview Faculty Directory Faculty Directory Departments Departments Centers Centers Chairs Chairs Knowledge Knowledge Master’s programs Master in
Management Master in
Management
MSc International
Finance MSc International
Finance
Specialized
Masters Specialized
Masters
X-HEC
programs X-HEC
programs
Dual-Degree
programs Dual-Degree
programs
Visiting students Visiting students Certificates Certificates Student Life Student Life
MBA Programs MBA MBA EMBA EMBA TRIUM EMBA TRIUM EMBA PhD Program Overview Overview HEC Difference HEC Difference Program details Program details Research areas Research areas HEC Community HEC Community Placement Placement Job Market Job Market Admissions Admissions Financing Financing Executive Education Executive Masters Executive Masters Executive Certificates Executive Certificates Executive short programs Executive short programs Online Online Executive MBA Executive MBA Train your teams Train your teams Summer School Youth Leadership Initiative Youth Leadership Initiative Summer programs Summer programs Admissions Admissions FAQ FAQ HEC Online Overview Overview Degree Program Degree Program Executive certificates Executive certificates MOOCs MOOCs

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

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

Mathematical Finance, July 2019, vol. 29, n° 3, pp 804-826, (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)

Market Structure and Transaction Costs of Index CDSs

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

Chapters edited in books

Efficient Pricing of Energy Derivatives

Energy Pricing Models: Recent Advances, Methods, And Tools - Marcel Prokopczuk, Ed., Palgrave Macmillan

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

The Natural Resources Trap - William Hogan And Federico Sturzenegger, Eds., MIT Press, 263-287

Scientific articles

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

Mathematical Finance, July 2019, vol. 29, n° 3, pp 804-826, (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)

Chapters edited in books

Efficient Pricing of Energy Derivatives

Energy Pricing Models: Recent Advances, Methods, And Tools - Marcel Prokopczuk, Ed., Palgrave Macmillan

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

The Natural Resources Trap - William Hogan And Federico Sturzenegger, Eds., MIT Press, 263-287

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, the joint research laboratory CNRS-HEC Paris 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

    • 2005 Denmark-America Foundation award