Address: Copenhagen Business School, Department of Finance, Solbjerg Plads 3, A4.02, DK-2000 Frederiksberg, Denmark.
Email: abtr.fi@cbs.dk
"Pricing of Risk in Credit and Equity Index Options - A Role for Option Order Flow?" (with Pierre Collin-Dufresne), 2024
"Liquidity Risk in Credit Default Swap Markets" (with Benjamin Junge), EFA 2013, WFA 2014, R&R at Review of Financial Studies
► Time series of CDS market illiquidity measure and tradable liquidity factor.
Albert Menkveld et. al. (2024) "Non-Standard Errors", Journal of Finance, vol. 79, no. 3, p. 2339-2390
Pierre Collin-Dufresne, Benjamin Junge, and Anders B. Trolle (2024) "How Integrated are Credit and Equity Markets? Evidence from Index Options", Journal of Finance, vol. 79, no. 2, p. 949-992. Online Appendix
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. Online Appendix
Damir Filipovic, Martin Larsson, and Anders B. Trolle (2019) "On the Relation between Linearity-Generating Processes and Linear-Rational Models", Mathematical Finance, vol. 29, no. 3, p. 804-826.
Damir Filipovic, Martin Larsson, and Anders B. Trolle (2017) "Linear-Rational Term Structure Models", Journal of Finance, vol. 72, no. 2, p. 655-704. Online Appendix
Damir Filipovic and Anders B. Trolle (2016) "Fed Funds Futures Variance Futures", Quantitative Finance, vol. 16, no. 9, p. 1413-1422.
Anders B. Trolle and Eduardo S. Schwartz (2014) "The Swaption Cube", Review of Financial Studies, vol. 27, no. 8, p. 2307-2353. Online Appendix
Damir Filipovic and Anders B. Trolle (2013) "The Term Structure of Interbank Risk", Journal of Financial Economics, vol. 109, no. 4, p. 707-733. Online Appendix
► Time series of interbank risk factors.
Anders B. Trolle and Eduardo S. Schwartz (2010) "Variance Risk Premia in Energy Commodities", Journal of Derivatives, vol. 17, p. 15-32.
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.
Anders B. Trolle and Eduardo S. Schwartz (2009) "A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives", Review of Financial Studies, vol. 22, no. 5, p. 2007-2057.
Anders B. Trolle (2014) "Efficient Pricing of Energy Derivatives". In Marcel Prokopczuk, ed.: Energy Pricing Models: Recent Advances, Methods, and Tools, Palgrave Macmillan
Eduardo S. Schwartz and Anders B. Trolle (2010) "Pricing Expropriation Risk in Natural Resource Contracts - A Real Options Approach". In William Hogan and Federico Sturzenegger, eds.: The Natural Resource Trap, MIT press.