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Anders TROLLE

Professeur Associé

Finance

 Profile picture

Biographie

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.

Articles scientifiques

Market Structure and Transaction Costs of Index CDSs

Journal of Finance (The), À paraître,

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

Mathematical Finance, À paraître,

Linear-Rational Term Structure Models

Journal of Finance (The), avril 2017, vol. 72, n° 2, pp 655-704

Fed Funds Futures Variance Futures

Quantitative Finance, 2016, vol. 16, n° 9, pp 1413-1422

The Swaption Cube

Review of Financial Studies, 2014, vol. 27, n° 8, pp 2307-2353

The Term Structure of Interbank Risk

Journal of Financial Economics, septembre 2013, vol. 109, n° 3, pp 707-733

Variance Risk Premia in Energy Commodities

Journal of Derivatives, 2010, vol. 17, n° 3, pp 15-32

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

Review of Financial Studies, 2009, vol. 22, n° 5, pp 2007-2057

Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives

Review of Financial Studies, 2009, vol. 22, n° 11, pp 4423-4461

Articles scientifiques

Market Structure and Transaction Costs of Index CDSs

Journal of Finance (The), À paraître,

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

Mathematical Finance, À paraître,

Linear-Rational Term Structure Models

Journal of Finance (The), avril 2017, vol. 72, n° 2, pp 655-704

Fed Funds Futures Variance Futures

Quantitative Finance, 2016, vol. 16, n° 9, pp 1413-1422

Formation

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

Nominations académiques

Responsabilités académiques à HEC

  • 2017- Membre du GREGHEC (CNRS)
  • 2017- Professeur Associé, Finance

Responsabilités académiques externes

  • 2009-2017 Swiss Finance Institute Assistant Professor of Finance
  • 2009-2017 Junior Chair
  • 2007-2009 Postdoctoral fellow in Finance

Activités scientifiques

Activités scientifiques

  • 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

  • Prix ​​& honneurs

    Adhésion à l'organisation académique ou professionnelle

    • 2005 Denmark-America Foundation award