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Details about Ton Vorst

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Workplace:School of Business and Economics, Vrije Universiteit Amsterdam (VU University Amsterdam), (more information at EDIRC)
Tinbergen Instituut (Tinbergen Institute), (more information at EDIRC)

Access statistics for papers by Ton Vorst.

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

Short-id: pvo117


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

2002

  1. 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 Downloads View citations (10)
    Also in Finance, University Library of Munich, Germany (2001) Downloads View citations (16)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2002) Downloads View citations (4)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2002) Downloads View citations (10)
  2. Is Liquidity Reflected in Bond Yields? Evidence from the Euro Corporate Bond Market
    Finance, University Library of Munich, Germany Downloads View citations (3)

1999

  1. 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 in Journal of Economic Dynamics and Control (2003)

1998

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

1996

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

1995

  1. 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 in Journal of Applied Econometrics (1998)
  2. Mixtures of Tails in Clustered Automobile Claims
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

1988

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

1986

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

1984

  1. OPTIMAL HOUSING MAINTENANCE UNDER UNCERTAINTY
    Econometric Institute Archives, Erasmus University Rotterdam Downloads
    See also Journal Article in Journal of Urban Economics (1987)

1983

  1. THE CUSP CATASTROPHE IN THE URBAN RETAIL MODEL
    Econometric Institute Archives, Erasmus University Rotterdam Downloads
    See also Journal Article in Environment and Planning A (1984)

1980

  1. ON THE SNAPPER, LIEBLER — VITALE, LAM THEOREM ON PERMUTATION REPRESENTATIONS OF THE SYMMETRIC GROUP
    Econometric Institute Archives, Erasmus University Rotterdam Downloads
  2. THE GENERAL LINEAR GROUP OF POLYNOMIAL RINGS OVER REGULAR RINGS
    Econometric Institute Archives, Erasmus University Rotterdam Downloads

Journal Articles

2005

  1. Comparing possible proxies of corporate bond liquidity
    Journal of Banking & Finance, 2005, 29, (6), 1331-1358 Downloads View citations (75)
    See also Working Paper (2003)
  2. Pricing default swaps: Empirical evidence
    Journal of International Money and Finance, 2005, 24, (8), 1200-1225 Downloads View citations (95)
    See also Working Paper (2003)

2003

  1. Book Review
    Review of Finance, 2003, 7, (2), 323-324 Downloads
  2. Hedging options under transaction costs and stochastic volatility
    Journal of Economic Dynamics and Control, 2003, 27, (6), 1045-1068 Downloads View citations (7)
    See also Working Paper (1999)

2000

  1. A Pricing Model for American Options with Gaussian Interest Rates
    Annals of Operations Research, 2000, 100, (1), 211-226 Downloads View citations (1)
  2. Options and earnings announcements: an empirical study of volatility, trading volume, open interest and liquidity
    European Financial Management, 2000, 6, (2), 149-171 Downloads View citations (10)

1999

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

1998

  1. A threshold error-correction model for intraday futures and index returns
    Journal of Applied Econometrics, 1998, 13, (3), 245-263 Downloads View citations (62)
    See also Working Paper (1995)

1997

  1. Currency lookback options and observation frequency: A binomial approach
    Journal of International Money and Finance, 1997, 16, (2), 173-187 Downloads View citations (7)
  2. Pricing American interest rate claims with humped volatility models
    Journal of Banking & Finance, 1997, 21, (8), 1131-1157 Downloads View citations (21)

1996

  1. Mixtures of tails in clustered automobile collision claims
    Insurance: Mathematics and Economics, 1996, 18, (2), 89-107 Downloads View citations (4)
  2. Option pricing with hedging at fixed trading dates
    Applied Mathematical Finance, 1996, 3, (2), 135-158 Downloads View citations (7)
  3. Options and earnings announcements: an empirical study for the European Options Exchange
    Statistica Neerlandica, 1996, 50, (1), 52-68 Downloads
  4. The impact of firm specific news on implied volatilities
    Journal of Banking & Finance, 1996, 20, (9), 1447-1461 Downloads View citations (28)
  5. Transaction costs and efficiency of portfolio strategies
    European Journal of Operational Research, 1996, 91, (2), 250-263 Downloads View citations (5)

1994

  1. Analysis of the Term Structure of Implied Volatilities
    Journal of Financial and Quantitative Analysis, 1994, 29, (1), 31-56 Downloads View citations (68)

1992

  1. Option Replication in Discrete Time with Transaction Costs
    Journal of Finance, 1992, 47, (1), 271-93 Downloads View citations (95)
  2. Prices and hedge ratios of average exchange rate options
    International Review of Financial Analysis, 1992, 1, (3), 179-193 Downloads View citations (30)

1991

  1. Shake-and-Bake Algorithms for Generating Uniform Points on the Boundary of Bounded Polyhedra
    Operations Research, 1991, 39, (6), 945-954 Downloads View citations (2)

1990

  1. A pricing method for options based on average asset values
    Journal of Banking & Finance, 1990, 14, (1), 113-129 Downloads View citations (104)

1987

  1. Optimal housing maintenance under uncertainty
    Journal of Urban Economics, 1987, 21, (2), 209-227 Downloads View citations (4)
    See also Working Paper (1984)

1986

  1. 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 Downloads View citations (1)

1985

  1. A Stochastic Version of the Urban Retail Model
    Environment and Planning A, 1985, 17, (12), 1569-1580 Downloads View citations (2)
    Also in Environment and Planning A, 1985, 17, (12), 1569-1580 (1985) Downloads View citations (2)

1984

  1. The Cusp Catastrophe in the Urban Retail Model
    Environment and Planning A, 1984, 16, (7), 851-862 Downloads View citations (1)
    Also in Environment and Planning A, 1984, 16, (7), 851-862 (1984) Downloads View citations (1)

    See also Working Paper (1983)

1983

  1. Equilibrium points in an urban retail model and their connection with dynamical systems
    Regional Science and Urban Economics, 1983, 13, (3), 383-399 Downloads View citations (2)
  2. On the Uniqueness and Existence of Equilibrium Points in an Urban Retail Model
    Environment and Planning A, 1983, 15, (4), 475-482 Downloads
    Also in Environment and Planning A, 1983, 15, (4), 475-482 (1983) Downloads View citations (1)

Chapters

2001

  1. Options on Dividend Paying Stocks
    Chapter 17 in Recent Developments In Mathematical Finance, 2001, pp 204-217 Downloads
 
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