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Ton Vorst

Personal Details

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

Affiliation

(50%) School of Business and Economics
Vrije Universiteit Amsterdam

Amsterdam, Netherlands
http://sbe.vu.nl/
RePEc:edi:fewvunl (more details at EDIRC)

(50%) Tinbergen Instituut

Amsterdam, Netherlands
http://www.tinbergen.nl/
RePEc:edi:tinbenl (more details at EDIRC)

Research output

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Jump to: Working papers Articles Chapters

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. "Valuing Euro rating-triggered step-up telecom bonds," Econometric Institute Research Papers EI 2003-50, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  4. 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.
  5. Patrick Houweling & Albert Mentink & Ton Vorst, 2002. "Is Liquidity Reflected in Bond Yields? Evidence from the Euro Corporate Bond Market," Finance 0206001, University Library of Munich, Germany.
  6. Patrick Houweling & Ton Vorst, 2001. "An Empirical Comparison of Default Swap Pricing Models," Finance 0112003, University Library of Munich, Germany.
  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. 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.
  11. 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.
  12. Vorst, A. C. F., 1988. "Option Pricing And Stochastic Processes," Econometric Institute Archives 272366, Erasmus University Rotterdam.
  13. Kemna, A. G. Z. & Vorst, A. C. F., 1986. "The Value Of An Option Based On An Average Security Value," Econometric Institute Archives 272350, Erasmus University Rotterdam.
  14. Vorst, A. C. F., 1984. "Optimal Housing Maintenance Under Uncertainty," Econometric Institute Archives 272286, Erasmus University Rotterdam.
  15. Kaashoek, J. F. & Vorst, A. C. F., 1983. "The Cusp Catastrophe In The Urban Retail Model," Econometric Institute Archives 272276, Erasmus University Rotterdam.
  16. Vorst, A. C. F., 1980. "The General Linear Group Of Polynomial Rings Over Regular Rings," Econometric Institute Archives 272201, Erasmus University Rotterdam.
  17. Hazewinkel, M. & Vorst, T., 1980. "On The Snapper, Liebler — Vitale, Lam Theorem On Permutation Representations Of The Symmetric Group," Econometric Institute Archives 272267, Erasmus University Rotterdam.

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.
  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.
  3. Ton Vorst, 2003. "Book Review," Review of Finance, European Finance Association, vol. 7(2), pages 323-324.
  4. 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.
  5. Albert Menkveld & Ton Vorst, 2000. "A Pricing Model for American Options with Gaussian Interest Rates," Annals of Operations Research, Springer, vol. 100(1), pages 211-226, December.
  6. 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, June.
  7. Cheuk, Terry H F & Vorst, Ton C F, 1999. "Average Interest Rate Caps," Computational Economics, Springer;Society for Computational Economics, vol. 14(3), pages 183-196, December.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  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. M. W. M. Donders & A. C. F. Vorst, 1996. "Options and earnings announcements: an empirical study for the European Options Exchange," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 50(1), pages 52-68, March.
  14. 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.
  15. 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.
  16. 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(1), pages 31-56, March.
  17. Boyle, Phelim P & Vorst, Ton, 1992. "Option Replication in Discrete Time with Transaction Costs," Journal of Finance, American Finance Association, vol. 47(1), pages 271-293, March.
  18. Vorst, Ton, 1992. "Prices and hedge ratios of average exchange rate options," International Review of Financial Analysis, Elsevier, vol. 1(3), pages 179-193.
  19. C. G. E. Boender & R. J. Caron & J. F. McDonald & A. H. G. Rinnooy Kan & H. E. Romeijn & R. L. Smith & J. Telgen & A. C. F. Vorst, 1991. "Shake-and-Bake Algorithms for Generating Uniform Points on the Boundary of Bounded Polyhedra," Operations Research, INFORMS, vol. 39(6), pages 945-954, December.
  20. 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.
  21. Vorst, A. C. F., 1987. "Optimal housing maintenance under uncertainty," Journal of Urban Economics, Elsevier, vol. 21(2), pages 209-227, March.
  22. 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.
  23. A C F Vorst, 1985. "A Stochastic Version of the Urban Retail Model," Environment and Planning A, , vol. 17(12), pages 1569-1580, December.
  24. J F Kaashoek & A C F Vorst, 1984. "The Cusp Catastrophe in the Urban Retail Model," Environment and Planning A, , vol. 16(7), pages 851-862, July.
  25. 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, , vol. 15(4), pages 475-482, April.
  26. 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.

Chapters

  1. Reimer Beneder & Ton Vorst, 2001. "Options on Dividend Paying Stocks," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 17, pages 204-217, World Scientific Publishing Co. Pte. Ltd..

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This author is among the top 5% authors according to these criteria:
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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-EEC: European Economics (2) 2002-07-31 2003-04-27
  2. NEP-FIN: Finance (2) 2002-06-13 2002-07-31
  3. NEP-FMK: Financial Markets (2) 2001-12-26 2002-07-31
  4. NEP-CFN: Corporate Finance (1) 2003-04-27
  5. NEP-RMG: Risk Management (1) 2003-04-27

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