Personne
Anders Trolle
Publications associées (5)
Efficient Pricing of Energy Derivatives
I present a tractable framework, first developed in Trolle and Schwartz (2009), for pricing energy derivatives in the presence of unspanned stochastic volatility. Among the model features are i) a perfect fit to the initial futures term structure, ii) a fa ...
Palgrave Macmillan US2014Pricing expropriation risk in natural resource contracts – A real options approach
We develop a model for pricing expropriation risk in natural resource projects, in particular an oil field. The government is viewed as holding an American-style option to expropriate the oil field, but facing the following three possible expropriation cos ...
MIT press2010Variance Risk Premia in Energy Commodities
This paper investigates variance risk premia in energy commodities, particularly crude oil and natural gas, using a robust model-independent approach. Over a period of 11 years, we find that the average variance risk premia are significantly negative for b ...
2010A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives
We develop a tractable and flexible stochastic volatility multifactor model of the term structure of interest rates. It features unspanned stochastic volatility factors, correlation between innovations to forward rates and their volatilities, quasi-analyti ...
Oxford University Press2009Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives
Commodity derivatives are becoming an increasingly important part of the global derivatives market. Here we develop a tractable stochastic volatility model for pricing commodity derivatives. The model features unspanned stochastic volatility, quasi-analyti ...
Oxford University Press2009