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Information about:
Ton Vorst

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First Name: Ton
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Last Name: Vorst
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RePEc Short-ID: pvo117

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This author is among the top 5% authors according to these criteria:
  1. Number of Downloads through RePEc Services over the past 12 months
  2. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Patrick Houweling & Albert Mentink & Ton Vorst, 2003. "Valuing Euro Rating-Triggered Step-Up Telecom Bonds," Tinbergen Institute Discussion Papers 03-028/2, Tinbergen Institute. [Downloadable!]
    Other versions:

  2. Houweling, P. & Vorst, A.C.F., 2003. "Pricing default swaps: empirical evidence," Econometric Institute Report EI 2003-51 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Published as:

  3. Patrick Houweling & Albert Mentink & Ton Vorst, 2003. "How to measure Corporate Bond Liquidity?," Tinbergen Institute Discussion Papers 03-030/2, Tinbergen Institute. [Downloadable!]

  4. Houweling, P. & Mentink, A.A. & Vorst, A.C.F., 2003. "Comparing possible proxies of corporate bond liquidity," Econometric Institute Report EI 2003-49 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Published as:

  5. Patrick Houweling & Albert Mentink & Ton Vorst, 2002. "Is Liquidity Reflected in Bond Yields? Evidence from the Euro Corporate Bond Market," Finance 0206001, EconWPA. [Downloadable!]

  6. Patrick Houweling & Ton Vorst, 2002. "An Empirical Comparison of Default Swap Pricing Models," Tinbergen Institute Discussion Papers 02-004/2, Tinbergen Institute. [Downloadable!]
    Other versions:

  7. Roy Kouwenberg & Jacek Gondzio & Ton Vorst, 1999. "Hedging Options under Transaction Costs and Stochastic Volatility," Computing in Economics and Finance 1999 911, Society for Computational Economics.
    Published as:

  8. Bert Menkveld & Ton Vorst, 1998. "A Pricing Model for American Options with Stochastic Interest Rates," Tinbergen Institute Discussion Papers 98-028/2, Tinbergen Institute. [Downloadable!]

  9. Juan M. Moraleda & Ton Vorst, 1996. "The Valuation of Interest Rate Derivatives: Empirical Evidence from the Spanish Market," Tinbergen Institute Discussion Papers 96-170/2, Tinbergen Institute. [Downloadable!]

  10. Kalb, G.R.J. & Kofman, P. & Vorst, T.C.F., 1995. "Mixtures of Tails in Clustered Automobile Claims," Monash Econometrics and Business Statistics Working Papers 11/95, Monash University, Department of Econometrics and Business Statistics.

  11. Martens, M. & Kofman, P. & Vorst, T.C.F., 1995. "A Threshold Error Correction Model for Intraday Futures and Index Returns," Monash Econometrics and Business Statistics Working Papers 14/95, Monash University, Department of Econometrics and Business Statistics.
    Published as:

  12. Kalb, G.R.J. & Kofman, P. & Vorst, C.F., 1995. "Mixtures of Tail in Clustered Automobile Collusion Claims," Papers 9506/a, Erasmus University of Rotterdam - Econometric Institute.
    Published as:

  13. Cheuk, T.H.F. & Vorst, T.C.F., 1994. "Binominal Models for Some Path-Dependent Options," Papers 9422-a, Erasmus University of Rotterdam - Econometric Institute.

  14. Pelsser, A. & Vorst, T., 1994. "Transaction Costs and Efficiency of Portfolio Strategies," Papers 9423-a, Erasmus University of Rotterdam - Econometric Institute.
    Published as:

Articles

  1. Houweling, Patrick & Mentink, Albert & Vorst, Ton, 2005. "Comparing possible proxies of corporate bond liquidity," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1331-1358, June. [Downloadable!] (restricted)
    Other versions:

  2. Houweling, Patrick & Vorst, Ton, 2005. "Pricing default swaps: Empirical evidence," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1200-1225, December. [Downloadable!] (restricted)
    Other versions:

  3. Gondzio, Jacek & Kouwenberg, Roy & Vorst, Ton, 2003. "Hedging options under transaction costs and stochastic volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1045-1068, April. [Downloadable!] (restricted)
    Other versions:

  4. Monique, W.M. Donders & Roy Kouwenberg & Ton, C. F. Vorst, 2000. "Options and earnings announcements: an empirical study of volatility, trading volume, open interest and liquidity," European Financial Management, Blackwell Publishing Ltd, vol. 6(2), pages 149-171. [Downloadable!] (restricted)

  5. Cheuk, Terry H F & Vorst, Ton C F, 1999. "Average Interest Rate Caps," Computational Economics, Springer, vol. 14(3), pages 183-96, December. [Downloadable!]

  6. Martin Martens & Paul Kofman & Ton C. F. Vorst, 1998. "A threshold error-correction model for intraday futures and index returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(3), pages 245-263. [Downloadable!]
    Other versions:

  7. Moraleda, Juan M. & Vorst, Ton C. F., 1997. "Pricing American interest rate claims with humped volatility models," Journal of Banking & Finance, Elsevier, vol. 21(8), pages 1131-1157, August. [Downloadable!] (restricted)

  8. Cheuk, Terry H. F. & Vorst, Ton C. F., 1997. "Currency lookback options and observation frequency: A binomial approach," Journal of International Money and Finance, Elsevier, vol. 16(2), pages 173-187, April. [Downloadable!] (restricted)

  9. Donders, Monique W. M. & Vorst, Ton C. F., 1996. "The impact of firm specific news on implied volatilities," Journal of Banking & Finance, Elsevier, vol. 20(9), pages 1447-1461, November. [Downloadable!] (restricted)

  10. Kalb, Guyonne R. J. & Kofman, Paul & Vorst, Ton C. F., 1996. "Mixtures of tails in clustered automobile collision claims," Insurance: Mathematics and Economics, Elsevier, vol. 18(2), pages 89-107, July. [Downloadable!] (restricted)
    Other versions:

  11. Pelsser, Antoon & Vorst, Ton, 1996. "Transaction costs and efficiency of portfolio strategies," European Journal of Operational Research, Elsevier, vol. 91(2), pages 250-263, June. [Downloadable!] (restricted)
    Other versions:

  12. Heynen, Ronald & Kemna, Angelien & Vorst, Ton, 1994. "Analysis of the Term Structure of Implied Volatilities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(01), pages 31-56, March. [Downloadable!]

  13. Boyle, Phelim P & Vorst, Ton, 1992. " Option Replication in Discrete Time with Transaction Costs," Journal of Finance, American Finance Association, vol. 47(1), pages 271-93, March. [Downloadable!] (restricted)

  14. Vorst, Ton, 1992. "Prices and hedge ratios of average exchange rate options," International Review of Financial Analysis, Elsevier, vol. 1(3), pages 179-193. [Downloadable!] (restricted)

  15. Kemna, A. G. Z. & Vorst, A. C. F., 1990. "A pricing method for options based on average asset values," Journal of Banking & Finance, Elsevier, vol. 14(1), pages 113-129, March. [Downloadable!] (restricted)

  16. Vorst, A. C. F., 1987. "Optimal housing maintenance under uncertainty," Journal of Urban Economics, Elsevier, vol. 21(2), pages 209-227, March. [Downloadable!] (restricted)

  17. Vorst, Ton, 1986. "The relation between the rent and selling price of a building under optimal maintenance with uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 10(1-2), pages 315-320, June. [Downloadable!] (restricted)

  18. A C F Vorst, 1985. "A stochastic version of the urban retail model," Environment and Planning A, Pion Ltd, London, vol. 17(12), pages 1569-1580, December. [Downloadable!] (restricted)

  19. J F Kaashoek & A C F Vorst, 1984. "The cusp catastrophe in the urban retail model," Environment and Planning A, Pion Ltd, London, vol. 16(7), pages 851-862, July. [Downloadable!] (restricted)

  20. F J A Rijk & A C F Vorst, 1983. "On the uniqueness and existence of equilibrium points in an urban retail model," Environment and Planning A, Pion Ltd, London, vol. 15(4), pages 475-482, April. [Downloadable!] (restricted)

  21. Rijk, F. J. A. & Vorst, A. C. F., 1983. "Equilibrium points in an urban retail model and their connection with dynamical systems," Regional Science and Urban Economics, Elsevier, vol. 13(3), pages 383-399, August. [Downloadable!] (restricted)

NEP Fields

7 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (2) 2003-04-27 2003-04-27 Author is listed
  2. NEP-EEC: European Economics (2) 2002-07-31 2003-04-27 Author is listed
  3. NEP-FIN: Finance (3) 2002-06-13 2002-07-31 2003-04-27 Author is listed
  4. NEP-FMK: Financial Markets (5) 2001-12-26 2002-03-14 2002-06-13 2002-07-31 2003-04-27 Author is listed
  5. NEP-IFN: International Finance (1) 2003-04-27
  6. NEP-RMG: Risk Management (2) 2003-04-27 2003-04-27 Author is listed
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This page was last updated on 2009-12-1.

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