abtrfi

Department of Finance

  • Center for Financial Frictions
Anders Bjerre
Trolle
Professor


E-mail: abtr.fi@cbs.dk
Dummy profile picture
Præsentation

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.

Primære forskningsområder
  • Asset pricing
  • Derivatives markets
  • Liquidity
  • Credit risk
Links
Link til denne hjemmeside
www.cbs.dk/staff/abtrfi
Udvalgte publikationer

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.

Publikationer sorteret efter:
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
I: Journal of Finance, Vol. 75, Nr. 5, 10.2020, s. 2719-2763
Tidsskriftartikel > peer review
2009
Anders Bjerre Trolle; Eduardo S. Schwartz / A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives
I: Review of Financial Studies, Vol. 22, Nr. 5, 2009, s. 2007-2057
Tidsskriftartikel > peer review
Anders Bjerre Trolle; Eduardo S. Schwartz / Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives
I: Review of Financial Studies, Vol. 22, Nr. 11, 11.2009, s. 4423-4461
Tidsskriftartikel > peer review
2007
Anders Bjerre Trolle / Essays on derivatives pricing and dynamic asset allocation
Frederiksberg : Samfundslitteratur 2007, 214 s. (PhD series, Nr. 16.2007)
Ph.d.-afhandling
2004
Carsten Sørensen; Anders Bjerre Trolle / Dynamic asset allocation and latent variables
København : Copenhagen Business School [wp] 2004, 55 s.
Working paper