Anders B. Trolle
Anders B. Trolle
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Unspanned stochastic volatility and the pricing of commodity derivatives
AB Trolle, ES Schwartz
The Review of Financial Studies 22 (11), 4423-4461, 2009
The term structure of interbank risk
D Filipović, AB Trolle
Journal of Financial Economics 109 (3), 707-733, 2013
A general stochastic volatility model for the pricing of interest rate derivatives
AB Trolle, ES Schwartz
The Review of Financial Studies 22 (5), 2007-2057, 2009
Linear‐rational term structure models
D Filipović, M Larsson, AB Trolle
The Journal of Finance 72 (2), 655-704, 2017
Variance risk premia in energy commodities
AB Trolle, ES Schwartz
The Journal of Derivatives 17 (3), 15-32, 2010
Liquidity risk in credit default swap markets
B Junge, AB Trolle
Swiss Finance Institute Research Paper, 2015
Market structure and transaction costs of index CDSs
P Collin‐Dufresne, B Junge, AB Trolle
The Journal of Finance 75 (5), 2719-2763, 2020
The swaption cube
AB Trolle, ES Schwartz
The Review of Financial Studies 27 (8), 2307-2353, 2014
Pricing expropriation risk in natural resource contracts-A real options approach
ES Schwartz, AB Trolle
Published in William Hogan and Federico Sturzenegger, eds.: The Natural …, 2010
Keep it simple: Dynamic bond portfolios under parameter uncertainty
P Feldhütter, LS Larsen, C Munk, AB Trolle
Available at SSRN 2018844, 2012
On the relation between linearity‐generating processes and linear‐rational models
D Filipović, M Larsson, AB Trolle
Mathematical Finance 29 (3), 804-826, 2019
The price of interest rate variance risk and optimal investments in interest rate derivatives
AB Trolle
EFA 2009 Bergen Meetings Paper, 2009
Dynamic asset allocation and latent variables
C Sorensen, AB Trolle
working paper, Copenhagen Business School, 2005
Efficient Pricing of Energy Derivatives
AB Trolle
Published in Marcel Prokopczuk, ed.: Energy Pricing Models: Recent Advances …, 2014
Dynamic interest rate derivative strategies in the presence of unspanned stochastic volatility
AB Trolle
Available at SSRN 848886, 2005
Jumps in Interest Rates and Pricing of Jump Risk--Evidence from the Eurodollar Market
P Feldhütter, AB Trolle, P Schneider
EFA 2008 Athens Meetings Paper, 2008
A general model of dynamic asset allocation with incomplete information and learning
C Sørensen, AB Trolle
Available at SSRN 675625, 2006
How integrated are credit and equity markets? Evidence from index options
P Collin-Dufresne, B Junge, AB Trolle
Evidence From Index Options (February 16, 2021). Swiss Finance Institute …, 2021
Fed funds futures variance futures
D Filipović, AB Trolle
Quantitative Finance 16 (9), 1413-1422, 2016
Keep it Simple: Dynamic Bond Portfolios under Parameter Uncertainty
LS Larsen, C Munk, P Feldhütter, AB Trolle
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