It is located in the trunk. Open the trunk, and on the passenger side where the lever is to release the passenger side rear seatback, there is a little twist knob located next to it. Turn it counterclockwise,(lefty loosey, righty tighty) and pull back the trunk liner. Way down below the right side tail light is a small bright green box (2"x3.5"x.5") with a coax cable going into it. That's it.

You are correct about the AM antenna. If you're a "talk radio" person, try to avoid tinting the rear glass. It reduces the AM antenna reception. There is a AM booster available from Volvo, (it's a goofy piece of brass that attaches under the driver side "C" pillar cover where you will see the coax AM connection), but it works pretty well. There is a service bulletin out for this fix.