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Ton Vorst

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This is information that was supplied by Ton Vorst in registering through RePEc. If you are Ton Vorst , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

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

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Affiliation

(50%) Faculteit der Economische Wetenschappen en Bedrijfskunde
Vrije Universiteit
Location: Amsterdam, Netherlands
Homepage: http://www.feweb.vu.nl/
Email:
Phone:
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Postal:
Handle: RePEc:edi:fewvunl (more details at EDIRC)
(50%) Tinbergen Instituut
Location: Amsterdam, Netherlands
Homepage: http://www.tinbergen.nl/
Email:
Phone: +31 (0)20 525 1600
Fax: +31 (0)20 551 3555
Postal: Gustav Mahlerplein 117, 1082 MS Amsterdam
Handle: RePEc:edi:tinbenl (more details at EDIRC)

Works

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Working papers

  1. Patrick Houweling & Albert Mentink & Ton Vorst, 2003. "How to measure Corporate Bond Liquidity?," Tinbergen Institute Discussion Papers 03-030/2, Tinbergen Institute.
  2. Houweling, P. & Vorst, A.C.F., 2003. "Pricing default swaps: empirical evidence," Econometric Institute Research Papers EI 2003-51, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  3. Houweling, P. & Mentink, A.A. & Vorst, A.C.F., 2003. "Comparing possible proxies of corporate bond liquidity," Econometric Institute Research Papers EI 2003-49, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  4. Patrick Houweling & Albert Mentink & Ton Vorst, 2003. "Valuing Euro Rating-Triggered Step-Up Telecom Bonds," Tinbergen Institute Discussion Papers 03-028/2, Tinbergen Institute.
  5. Patrick Houweling & Albert Mentink & Ton Vorst, 2002. "Is Liquidity Reflected in Bond Yields? Evidence from the Euro Corporate Bond Market," Finance 0206001, EconWPA.
  6. Patrick Houweling & Ton Vorst, 2002. "An Empirical Comparison of Default Swap Pricing Models," Tinbergen Institute Discussion Papers 02-004/2, Tinbergen Institute.
  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.
  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.
  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.
  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.

Articles

  1. Houweling, Patrick & Vorst, Ton, 2005. "Pricing default swaps: Empirical evidence," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1200-1225, December.
  2. 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.
  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.
  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, European Financial Management Association, vol. 6(2), pages 149-171.
  5. Cheuk, Terry H F & Vorst, Ton C F, 1999. "Average Interest Rate Caps," Computational Economics, Society for Computational Economics, vol. 14(3), pages 183-96, December.
  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.
  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.
  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.
  9. 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.
  10. 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.
  11. Fabio Mercurio & Ton Vorst, 1996. "Option pricing with hedging at fixed trading dates," Applied Mathematical Finance, Taylor & Francis Journals, vol. 3(2), pages 135-158.
  12. 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.
  13. 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.
  14. 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.
  15. Vorst, Ton, 1992. "Prices and hedge ratios of average exchange rate options," International Review of Financial Analysis, Elsevier, vol. 1(3), pages 179-193.
  16. 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.
  17. Vorst, A. C. F., 1987. "Optimal housing maintenance under uncertainty," Journal of Urban Economics, Elsevier, vol. 21(2), pages 209-227, March.
  18. 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.
  19. 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.
  20. 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.
  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.
  22. 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.

NEP Fields

5 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 (4) 2001-12-26 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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