Details about Ton Vorst

Access statistics for papers by Ton Vorst.

Last updated 2019-10-18. Update your information in the RePEc Author Service.

Short-id: pvo117

Working Papers

2003

1. Comparing possible proxies of corporate bond liquidity
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (5)
   See also Journal Article Comparing possible proxies of corporate bond liquidity, Journal of Banking & Finance, Elsevier (2005) View citations (116) (2005)
2. How to measure Corporate Bond Liquidity?
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (8)
3. Pricing default swaps: empirical evidence
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (3)
   See also Journal Article Pricing default swaps: Empirical evidence, Journal of International Money and Finance, Elsevier (2005) View citations (121) (2005)
4. Valuing Euro Rating-Triggered Step-Up Telecom Bonds
   Tinbergen Institute Discussion Papers, Tinbergen Institute
   Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2003) View citations (3)

2002

5. An Empirical Comparison of Default Swap Pricing Models
   ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (12)
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2002) View citations (12)
   Finance, University Library of Munich, Germany (2001) View citations (16)
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2002) View citations (12)
6. Is Liquidity Reflected in Bond Yields? Evidence from the Euro Corporate Bond Market
   Finance, University Library of Munich, Germany View citations (6)

1999

7. Hedging Options under Transaction Costs and Stochastic Volatility
   Computing in Economics and Finance 1999, Society for Computational Economics View citations (1)
   See also Journal Article Hedging options under transaction costs and stochastic volatility, Journal of Economic Dynamics and Control, Elsevier (2003) View citations (12) (2003)

1998

8. A Pricing Model for American Options with Stochastic Interest Rates
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)

1996

9. The Valuation of Interest Rate Derivatives: Empirical Evidence from the Spanish Market
   Tinbergen Institute Discussion Papers, Tinbergen Institute

1995

10. A Threshold Error Correction Model for Intraday Futures and Index Returns
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
    See also Journal Article A threshold error-correction model for intraday futures and index returns, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1998) View citations (74) (1998)
11. Mixtures of Tails in Clustered Automobile Claims
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)

1988

12. OPTION PRICING AND STOCHASTIC PROCESSES
    Econometric Institute Archives, Erasmus University Rotterdam

1986

13. THE VALUE OF AN OPTION BASED ON AN AVERAGE SECURITY VALUE
    Econometric Institute Archives, Erasmus University Rotterdam

1984

14. OPTIMAL HOUSING MAINTENANCE UNDER UNCERTAINTY
    Econometric Institute Archives, Erasmus University Rotterdam
    See also Journal Article Optimal housing maintenance under uncertainty, Journal of Urban Economics, Elsevier (1987) View citations (5) (1987)

1983

15. THE CUSP CATASTROPHE IN THE URBAN RETAIL MODEL
    Econometric Institute Archives, Erasmus University Rotterdam
    See also Journal Article The Cusp Catastrophe in the Urban Retail Model, Environment and Planning A (1984) View citations (2) (1984)

1980

16. ON THE SNAPPER, LIEBLER — VITALE, LAM THEOREM ON PERMUTATION REPRESENTATIONS OF THE SYMMETRIC GROUP
    Econometric Institute Archives, Erasmus University Rotterdam
17. THE GENERAL LINEAR GROUP OF POLYNOMIAL RINGS OVER REGULAR RINGS
    Econometric Institute Archives, Erasmus University Rotterdam View citations (2)

Journal Articles

2005

1. Comparing possible proxies of corporate bond liquidity
   Journal of Banking & Finance, 2005, 29, (6), 1331-1358 View citations (116)
   See also Working Paper Comparing possible proxies of corporate bond liquidity, Econometric Institute Research Papers (2003) View citations (5) (2003)
2. Pricing default swaps: Empirical evidence
   Journal of International Money and Finance, 2005, 24, (8), 1200-1225 View citations (121)
   See also Working Paper Pricing default swaps: empirical evidence, Econometric Institute Research Papers (2003) View citations (3) (2003)

2003

3. Book Review
   Review of Finance, 2003, 7, (2), 323-324
4. Hedging options under transaction costs and stochastic volatility
   Journal of Economic Dynamics and Control, 2003, 27, (6), 1045-1068 View citations (12)
   See also Working Paper Hedging Options under Transaction Costs and Stochastic Volatility, Computing in Economics and Finance 1999 (1999) View citations (1) (1999)

2000

5. A Pricing Model for American Options with Gaussian Interest Rates
   Annals of Operations Research, 2000, 100, (1), 211-226 View citations (7)
6. Options and earnings announcements: an empirical study of volatility, trading volume, open interest and liquidity
   European Financial Management, 2000, 6, (2), 149-171 View citations (20)

1999

7. Average Interest Rate Caps
   Computational Economics, 1999, 14, (3), 183-96 View citations (1)

1998

8. A threshold error-correction model for intraday futures and index returns
   Journal of Applied Econometrics, 1998, 13, (3), 245-263 View citations (74)
   See also Working Paper A Threshold Error Correction Model for Intraday Futures and Index Returns, Monash Econometrics and Business Statistics Working Papers (1995) View citations (2) (1995)

1997

9. Currency lookback options and observation frequency: A binomial approach
   Journal of International Money and Finance, 1997, 16, (2), 173-187 View citations (12)
10. Pricing American interest rate claims with humped volatility models
    Journal of Banking & Finance, 1997, 21, (8), 1131-1157 View citations (22)

1996

11. Mixtures of tails in clustered automobile collision claims
    Insurance: Mathematics and Economics, 1996, 18, (2), 89-107 View citations (4)
12. Option pricing with hedging at fixed trading dates
    Applied Mathematical Finance, 1996, 3, (2), 135-158 View citations (7)
13. Options and earnings announcements: an empirical study for the European Options Exchange
    Statistica Neerlandica, 1996, 50, (1), 52-68
14. The impact of firm specific news on implied volatilities
    Journal of Banking & Finance, 1996, 20, (9), 1447-1461 View citations (42)
15. Transaction costs and efficiency of portfolio strategies
    European Journal of Operational Research, 1996, 91, (2), 250-263 View citations (5)

1994

16. Analysis of the Term Structure of Implied Volatilities
    Journal of Financial and Quantitative Analysis, 1994, 29, (1), 31-56 View citations (78)

1992

17. Option Replication in Discrete Time with Transaction Costs
    Journal of Finance, 1992, 47, (1), 271-93 View citations (123)
18. Prices and hedge ratios of average exchange rate options
    International Review of Financial Analysis, 1992, 1, (3), 179-193 View citations (39)

1991

19. Shake-and-Bake Algorithms for Generating Uniform Points on the Boundary of Bounded Polyhedra
    Operations Research, 1991, 39, (6), 945-954 View citations (4)

1990

20. A pricing method for options based on average asset values
    Journal of Banking & Finance, 1990, 14, (1), 113-129 View citations (166)

1987

21. Optimal housing maintenance under uncertainty
    Journal of Urban Economics, 1987, 21, (2), 209-227 View citations (5)
    See also Working Paper OPTIMAL HOUSING MAINTENANCE UNDER UNCERTAINTY, Econometric Institute Archives (1984) (1984)

1986

22. The relation between the rent and selling price of a building under optimal maintenance with uncertainty
    Journal of Economic Dynamics and Control, 1986, 10, (1-2), 315-320 View citations (1)

1985

23. A Stochastic Version of the Urban Retail Model
    Environment and Planning A, 1985, 17, (12), 1569-1580 View citations (3)

1984

24. The Cusp Catastrophe in the Urban Retail Model
    Environment and Planning A, 1984, 16, (7), 851-862 View citations (2)
    See also Working Paper THE CUSP CATASTROPHE IN THE URBAN RETAIL MODEL, Econometric Institute Archives (1983) (1983)

1983

25. Equilibrium points in an urban retail model and their connection with dynamical systems
    Regional Science and Urban Economics, 1983, 13, (3), 383-399 View citations (7)
26. On the Uniqueness and Existence of Equilibrium Points in an Urban Retail Model
    Environment and Planning A, 1983, 15, (4), 475-482 View citations (1)

Chapters

2001

1. Options on Dividend Paying Stocks
   Chapter 17 in Recent Developments In Mathematical Finance, 2001, pp 204-217 View citations (5)