Anders B. Trolle

Swiss Finance Institute Assistant Professor

Ecole Polytechnique Fédérale de Lausanne

E-mail: anders.trolle@epfl.ch

Address: Quartier UNIL-Dorigny, Extranef 216, CH-1015 Lausanne, Switzerland

Phone: +41 (0)21 693 0131

Curriculum Vitae

Publications:

"A general stochastic volatility model for the pricing of interest rate derivatives" (with Eduardo S. Schwartz), 2009, Review of Financial Studies, vol. 22, no. 5, p. 2007-2057.

"Unspanned stochastic volatility and the pricing of commodity derivatives" (with Eduardo S. Schwartz), 2009, Review of Financial Studies, vol. 22, no. 11, p. 4423-4461.

"Pricing expropriation risk in natural resource contracts - A real options approach" (with Eduardo S. Schwartz). In William Hogan and Federico Sturzenegger, eds.: The Natural Resource Trap, MIT press, forthcoming.

Working papers:

"The price of interest rate variance risk and optimal investments in interest rate derivatives". This version: March 2009.

"A general model of dynamic asset allocation with incomplete information and learning" (with Carsten Sorensen). This version: February 2006.

Teaching:

Advanced Derivatives, Fall 2009.    Course website    Course outline

Web-page updated August 26, 2009