ANDERS B. TROLLE
September 13, 2015 CONTACT INFORMATIONEcole Polytechnique Fédérale de Lausanne College of Management
Quartier UNIL-Dorigny, Extranef 216 CH-1015 Lausanne, Switzerland
Phone: +41 (0)21 693 0131 E-mail: anders.trolle@epfl.ch
Web: http://sfi.epfl.ch/page-12807.html
ACADEMIC APPOINTMENTS
Ecole Polytechnique Fédérale de Lausanne (EPFL). Swiss Finance Institute Assistant Professor of Finance, August 2009-present
Swiss Finance Institute. Junior Chair, August 2009-present
Copenhagen Business School. Postdoctoral fellow in Finance, July 2007-June 2009 VISITING POSITIONS
Columbia University. Visiting Scholar, Summer 2015
Federal Reserve Bank of New York. Visiting Researcher, Summer 2014
UCLA, Anderson School of Management. Visiting graduate student, 2005-2006 EDUCATION
Ph.D. in Finance, Copenhagen Business School, 2007
M.S. in Economics (cand. polit), University of Copenhagen, 2001 PUBLICATIONS
1. Anders B. Trolle and Eduardo S. Schwartz (2014) “The Swaption Cube”, Review of Financial Studies, vol. 27, no. 8, pp. 2307-2353.
2. Damir Filipovic and Anders B. Trolle (2013) “The Term Structure of Interbank Risk”, Journal of Financial Economics, vol. 109, no. 3, pp. 707-733.
3. Anders B. Trolle and Eduardo S. Schwartz (2010) “Variance Risk Premia in Energy Commodities”, Journal of Derivatives, vol. 17, no. 3, pp. 15-32.
4. 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, pp. 4423-4461. 5. Anders B. Trolle and Eduardo S. Schwartz (2009) “A General Stochastic Volatility Model for the
BOOK CHAPTERS
6. Anders B. Trolle (2014) "Efficient Pricing of Energy Derivatives". In Marcel Prokopczuk, ed.: Energy Pricing Models: Recent Advances, Methods, and Tools, Palgrave Macmillan
7. 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.
WORKING PAPERS
8. “Linear-Rational Term Structure Models” (with Damir Filipovic and Martin Larsson), July 2015 (revise and resubmit at Journal of Finance)
9. “On the Relation between Linearity-Generating Processes and Linear-Rational Models” (with Damir Filipovic and Martin Larsson), May 2015
10. “Fed Funds Futures Variance Futures” (with Damir Filipovic), August 2015
11. “Liquidity Risk in Credit Default Swap Markets” (with Benjamin Junge), August 2015
12. “Keep It Simple: Dynamic Bond Portfolios under Parameter Uncertainty” (with Peter Feldhutter, Linda S. Larsen, and Claus Munk), April 2012
WORK IN PROGRESS
“Trading Behavior and Liquidity in CDS Index Markets” (with Pierre Collin-Dufresne and Benjamin Junge)
“The Term Structure of Inflation Risk” (with Tobias Adrian and Damir Filipovic)
“Volatility Risk in Energy and Commodity Markets” (with Damir Filipovic and Martin Larsson) GRANTS, AWARDS AND FELLOWSHIPS
Research grant from the Swiss Finance Institute, 2013-2016 (principal investigator). Project title: “CDS Market Liquidity” (CHF 240,000)
Research grant from the Swiss National Science Foundation via NCCR FINRISK, 2009-2013 (co-investigator). Project title: “Dynamic Asset Pricing” (CHF 600,000)
Postdoctoral fellowship from the Danish Social Science Research Council, 2007-2009. Project title: “Derivatives Pricing with Unspanned Stochastic Volatility” (DKK 1,200,000)
Tuborg Foundation award for research in business economics, 2005 (DKK 150,000) Denmark-America Foundation award, 2005 (DKK 200,000)
SEMINARS AND CONFERENCE PRESENTATIONS 2015:
2014:
2013:
-2012:
The AMaMeF and Swissquote conference in Lausanne Columbia Business School
UCLA, Anderson School of Management
The Western Finance Association conference in Seattle The Quant-Europe conference in London
The Global Derivatives conference in Amsterdam London Business School
The Western Finance Association conference in Monterey The Federal Reserve Bank of New York
Copenhagen Business School
UC San Diego, Rady School of Management Stanford University
The Federal Reserve Bank of San Francisco
The “Credit Markets in Transition” conference in Gothenburg The “Financial Markets and Institutions” conference in San Diego The Financial Risks International Forum in Paris
The Princeton-Lausanne workshop on Quantitative Finance in Princeton The ITAM Finance Conference in Mexico City
The SFI Research Day in Gerzensee
The European Finance Association conference in Cambridge Copenhagen Business School
Claremont University
The “Term Structure Modeling at the Zero Bound” conference in San Francisco Banque de France
The "Petit Dejeuner de la Finance" seminar in Paris The International Finance Conference in Santiago
The European Finance Association conferences: 2011 (in Stockholm), 2009 (in Bergen), 2008 (in Athens), 2007 (in Ljubljana), and 2006 (doctoral tutorial in Zürich)
The 2012 Young Researchers’ Workshop on Finance at the University of Tokyo The 2011 CREDIT conference in Venice
The 2011 FINRISK research day in Gerzensee
The 2011 Princeton-Lausanne Workshop on Quantitative Finance in Lausanne The 2010 FINRISK meeting in Zurich
The 2009 CIREQ/CIRANO Financial Econometrics Conference in Montreal The 2009 Energy Finance Conference in Kristiansand
The 2009 Madrid Finance Conference The Federal Reserve Bank of New York Goethe University in Frankfurt
Imperial College, London Lehman Brothers in London Natixis in Paris
New York University, Stern School of Business UCLA, Anderson School of Management University of Lausanne and EPFL University of Lisbon (NOVA) University of Lugano
University of Southern Denmark University of St. Gallen
DISCUSSANT
The American Finance Association conferences: 2015, 2016 (scheduled) The Western Finance Association conference: 2012
The European Finance Association conferences: 2014, 2013, 2012, 2011, 2009, 2008, 2007, 2006 The 2013 Swissquote conference
The 2010 Warwick Business School Derivatives conference The 2010 FINRISK research day in Gerzensee
REFEREE
Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Management Science, Financial Analysts Journal, Journal of Futures Markets, Journal of Econometrics, Journal of Applied Econometrics, Journal of Banking and Finance
PH. D. SUPERVISION AT EPFL
Ilya Kolpakov, 2010-2014 (adviser). Thesis title: “Commodity Spread Option Pricing and the Economic Fundamentals of Crack Spreads”. First job in commodity-oriented hedge fund in Geneva
Benjamin Junge, 2011-present (adviser). Thesis topic: “Liquidity Risk in Derivatives Markets” Emmanuel Leclercq, 2014 (committee member). Thesis title: “Three Essays on Asset Pricing” TEACHING EXPERIENCE
Advanced Derivatives (MFE), fall semester 2009, 2010, 2011, 2012, 2013, 2014, 2015 Investments (MFE), spring semester 2011, 2012, 2013, 2014, 2015
SFI executive education teaching: Banco Santander (Suisse) SA, Geneva, December 2013. Part of the Private Banking Certification Program
Statistics I (undergraduate course at Copenhagen Business School), fall semester 2004, 2006 Topics in Financial Economics (graduate electives course at University of Copenhagen), spring
2004
UNIVERSITY SERVICE AT EPFL
Organizer of the joint EPFL-UNIL finance seminar series, 2010-2012 (invitation and coordination of approximately 30 speakers per year)
Member of Master of Financial Engineering (MFE) admissions committee, 2009-present Member of MFE teaching committee, 2011-2013
PROFESSIONAL EXPERIENCE (NON-ACADEMIC)
Danske Bank. Analyst in Financial Markets Strategies group, 2001-2003
Consulting assignment for Lehman Brothers, London (on valuation of commodity derivatives), Natixis, Paris (on valuation of commodity derivatives), and Copenhagen Innovation Capital (on valuation of early-stage projects in the biotech industry)