abtrfi

Department of Finance

  • Center for Financial Frictions
Anders Bjerre
Trolle
Professor


Room: SOL/A4.02
Tel:
+4538153597
E-mail: abtr.fi@cbs.dk
Presentation

Anders B. Trolle is Professor of Finance at Copenhagen Business School. Prior to joining CBS, Anders was an Associate Professor at HEC Paris, and before that an Assistant Professor at Ecole Polytechnique Fédérale de Lausanne in Switzerland, where he also held a Junior Chair at the Swiss Finance Institute. He received his M.S. in Economics from University of Copenhagen and his Ph.D. in Finance 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.

Primary research areas
  • Asset pricing
  • Derivatives markets
  • Liquidity
  • Credit risk
Links
Link to this homepage
www.cbs.dk/en/staff/abtrfi
Selected publications

Pierre Collin-Dufresne, Benjamin Junge, and Anders B. Trolle (2020) "Market Structure and Transaction Costs of Index CDSs", Journal of Finance, vol. 75, no. 5, p. 2719-2763.

Damir Filipovic, Martin Larsson, and Anders B. Trolle (2017) "Linear-Rational Term Structure Models", Journal of Finance, vol. 72, no. 2, p. 655-704.

Anders B. Trolle and Eduardo S. Schwartz (2014) "The Swaption Cube", Review of Financial Studies, vol. 27, no. 8, p. 2307-2353.

Damir Filipovic and Anders B. Trolle (2013) "The Term Structure of Interbank Risk", Journal of Financial Economics, vol. 109, no. 4, p. 707-733.

Anders B. Trolle and Eduardo S. Schwartz (2009) "Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives", Review of Financial Studies, vol. 22, no. 11, p. 4423-4461.

Publications sorted by:
2022
Pierre Collin-Dufresne; Benjamin Junge; Anders Bjerre Trolle / How Integrated are Credit and Equity Markets? : Evidence from Index Options.
Paper presented at The 82nd Annual Meeting of American Finance Association. AFA 2022, 2022
Paper > peer review
Albert J. Menkveld; Anna Dreber; Felix Holzmeister; Juergen Huber; Magnus Johannesson; Michael Kirchler; Michael Razen; Utz Weitzel; David Abad; Menachem (Meni) Abudy; Tobias Adrian; Yacine Ait-Sahalia; Olivier Akmansoy; Jamie Alcock; Vitali Alexeev; Arash Aloosh; Livia Amato; Diego Amaya; James Angel; Amadeus Bach; Edwin Baidoo; Gaetan Bakalli; Andrea Barbon; Oksana Bashchenko; Parampreet Christopher Bindra; Geir Hoidal Bjonnes; Jeff Black; Bernard Black; Santiago Bohorquez; Oleg Bondarenko; Charles S. Bos; Ciril Bosch-Rosa; Elie Bouria; Christian T. Brownlees; Anna Calamia; Viet Nga Cao; Gunther Capelle-Blancard; Laura Capera; Massimiliano Caporin; Allen Carrion; Tolga Caskurlu; Bidisha Chakrabarty; Mikhail Chernov; William M. Cheung; Ludwig B. Chincarini; Tarun Chordia; Sheung Chi Chow; Benjamin Clapham; Jean-Edouard Colliard; Carole Comerton-Forde; Edward Curran; Thong Dao; Wale Dare; Ryan J. Davies; Riccardo de Blasis; Fany Declerck; Oleg Deev; Hans Degryse; Solomon Deku; Christophe Desagre; Mathijs A. van Dijk; Chukwuma Dim; Thomas Dimpfl; Yun Jiang Dong; Philip Drummond; Tom Dudda; Ariadna Dumitrescu; Teodor Dyakov; Anne Haubo Dyhrberg; Michał Dzieliński; Asli Eksi; Izidin El Kalak; Saskia Ter Ellen; Nicolas Eugster; Martin D. D. Evans; Michael Farrell; Ester Félez-Viñas; Gerardo Ferrara; El Mehdi Ferrouhi; Andrea Flori; Jonathan Fluharty-Jaidee; Sean Foley; Kingsley Y. L. Fong; Thierry Foucault; Tatiana Franus; Francesco A. Franzoni; Bart Frijns; Michael Frömmel; Servanna Fu; Sascha Füllbrunn; Baoqing Gam; Thomas Gehrig; Dirk Gerritsen; Javier Gil-Bazo; Lawrence R. Golsten; Thomas Gomez; Arseny Gorbenko; Ufuk Güçbilmez; Joachim Grammig; Vincent Gregoire; Björn Hagströmer; Julien Hambuckers; Erik Hapnes; Jeffrey H. Harris; Simon Hartmann; Jean-Baptiste Hasse; Nikolaus Hautsch; Xuezhong He; Davidson Heath; Simon Hediger; Terrence Hendershott; Ann Marie Hibbert; Erik Hjalmarsson; Seth A. Hoelscher; Peter Hoffmann; Craig W. Holden; Alex R. Horenstein; Wenqian Huang; Da Huang; Christophe Hurlin; Alexey Ivashchenko; Subramanian R. Iyer; Hossein Jahanshahloo; Naji Jalkh; Charles M. Jones; Simon Jurkatis; Petri Jylha; Andreas Kaeck; Arzé Karam; Egle Karmaziene; Bernhard Kassner; Markku Kaustia; Ekaterina Kazak; Fearghal Kearney; Vincent van Kervel; Saad Khan; Marta Khomyn; Tony Klein; Olga Klein; Alexander Klos; Michael Koetter; Jan Pieter Krahnen; Aleskey Kolokolov; Robert A. Korajczyk; Roman Kozhan; Amy Kwan; Quentin Lajaunie; F.Y. Eric C. Lam; Marie Lambert; Hugues Langlois; Jens Lausen; Tobias Lauter; Markus Leippold; Vladimir Levin; Yijie Li; (Michael) Hui Li; Chee Yoong Liew; Thomas Lindner; Oliver B. Linton; Jiacheng Liu; Anqi Liu; Guillermo Llorente; Matthijs Lof; Ariel Lohr; Francis A. Longstaff; Alejandro Lopez-Lira; Nicola Mano; Alexis Marchal; Charles Martineau; Francesco Mazzola; Debrah Meloso; Roxana Mihet; Vijay Mohan; Sophie Moinas; David Moore; Liangyi Mu; Dmitriy Muravyev; Dermot Murphy; Gabor Neszveda; Christian Neumeier; Ulf Nielsson; Mahendrarajah Nimalendran; Sven Nolte; Lars Nordén; Peter O'Neill; Khaled Obaid; Bernt Arne Ødegaard; Per Östberg; Marcus Painter; Stefan Palan; Imon Palit; Andreas Park; Roberto Pascual; Paolo Pasquariello; Lubos Pastor; Vinay Patel; Andrew J. Patton; Neil D. Pearson; Loriana Pelizzon; Matthias Pelster; Christophe Pérignon; Cameron Pfiffer; Richard Philip; Tomáš Plíhal; Puneet Prakash; Oliver-Alexander Press; Tina Prodromou; Tālis J. Putniņš; Gaurav Raizada; David A. Rakowski; Angelo Ranaldo; Luca Regis; Stefan Reitz; Thomas Renault; Rex Wang Renjie; Roberto Renó; Steven Riddiough; Kalle Rinne; Paul Rintamäki; Ryan Riordan; Thomas Rittmannsberger; Iñaki Rodríguez-Longarela; Dominik Rösch; Lavinia Rognone; Brian Roseman; Ioanid Rosu; Saurabh Roy; Nicolas Rudolf; Stephen Rush; Khaladdin Rzayev; Aleksandra Rzeznik; Anthony Sanford; Harikumar Sankaran; Asani Sarkar; Lucio Sarno; Olivier Scaillet; Stefan Scharnowski; Klaus Reiner Schenk-Hoppé; Andrea Schertler; Michael Schneider; Florian Schroeder; Norman Schürhoff; Philipp Schuster; Marco A. Schwarz; Mark S. Seasholes; Norman Seeger; Or Shachar; Andriy Shkilko; Jessica Shui; Mario Sikic; Giorgia Simion; Lee A. Smales; Paul Söderlind; Elvira Sojli; Konstantin Sokolov; Laima Spokeviciute; Denitsa Stefanova; Marti G. Subrahmanyam; Sebastian Neusüss; Barnabas Szaszi; Oleksandr Talavera; Yuehua Tang; Nicholas Taylor; Wing Wah Tham; Erik Theissen; Julian Thimme; Ian Tonks; Hai Tran; Luca Trapin; Anders Bjerre Trolle; Giorgio Valente; Robert A. Van Ness; Aurelio Vasquez; Thanos Verousis; Patrick Verwijmeren; Anders Vilhelmsson; Grigory Vilkov; Vladimir Vladimirov; Sebastian Vogel; Stefan Voigt; Wolf Wagner; Thomas Walther; Patrick Weiss; Michel van der Wel; Ingrid M. Werner; P. Joakim Westerholm; Christian Westheide; Evert Wipplinger; Michael Wolff; Christian C. P. Wolff; Leonard Wolk; Wing Keung Wong; Jan Wrampelmeyer; Shuo Xia; Dacheng Xiu; Ke Xu; Caihong Xu; Pradeep K. Yadav; José Yagüe; Cheng Yan; Antti Yang; Woongsun Yoo; Wenjia Yu; Shihao Yu; Bart Z. Yueshen; Darya Yuferova; Marcin Zamojski; Abalfazl Zareei; Stefan Ziesberger; S. Sarah Zhang; Xiaoyu Zhang; Zhuo Zhong; Z. Ivy Zhou; Chen Zhou; Xingyu Sonya Zhu; Marius Zoican; Remco C. J. Zwinkels; Jian Chen; Teodor Duevski; Ge Gao; Roland Gemayel; Dudley Gilder; Paul Kuhle; Emiliano Pagnotta; Michele Pelli; Jantje Sönksen; Lu Zhang; Konrad Ilczuk; Dimitar Bogoev; Ya Qian; Hans C. Wika; Yihe Yu; Lu Zhao; Michael Mi; Li Bao; Andreea Vaduva; Marcel Prokopczuk; Alejandro Avetikian; Zhen-Xing Wu / Non-standard Errors
Oslo : Norges Bank 2022, 56 p.
Working paper
2020
Pierre Collin-Dufresne; Benjamin Junge; Anders B. Trolle / How Integrated Are Credit and Equity Markets? : Evidence from Index Options.
Paper presented at The 47th European Finance Association Annual Meeting. EFA 2020, 2020
Paper > peer review
Pierre Collin-Dufresne; Benjamin Junge; Anders B. Trolle / Market Structure and Transaction Costs of Index CDSs
In: Journal of Finance, Vol. 75, No. 5, 10.2020, p. 2719-2763
Journal article > peer review
2019
Damir Filipović; Martin Larsson; Anders Bjerre Trolle / On the Relation between Linearity-Generating Processes and Linear-Rational Models
In: Mathematical Finance, Vol. 29, No. 3, 7.2019, p. 804-826
Journal article > peer review
2017
Damir Filipović; Martin Larsson; Anders Bjerre Trolle / Linear-Rational Term Structure Models
In: The Journal of Finance, Vol. 72, No. 2, 4.2017, p. 655-704
Journal article > peer review
2016
Damir Filipović; Anders Bjerre Trolle / Fed Funds Futures Variance Futures
In: Quantitative Finance, Vol. 16, No. 9, 9.2016, p. 1413-1422
Journal article > peer review
2014
Anders Bjerre Trolle; Eduardo S. Schwartz / The Swaption Cube
In: Review of Financial Studies, Vol. 27, No. 8, 2014, p. 2307-2353
Journal article > peer review
2013
Damir Filipović; Anders Bjerre Trolle / The Term Structure of Interbank Risk
In: Journal of Financial Economics, Vol. 109, No. 3, 2013, p. 707-733
Journal article > peer review
2010
Anders Bjerre Trolle; Eduardo S. Schwartz / Variance Risk Premia in Energy Commodities
In: Journal of Derivatives, Vol. 17, No. 3, 2010, p. 15-32
Journal article > peer review
More results... (total 14 results)