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Home | People | Ton Vorst
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Ton Vorst

Research Fellow

University
Vrije Universiteit Amsterdam
Research field
TI Finance
Interests
Finance, Risk Management

List of publications

Patrick Houweling and A.C.F. Vorst. 2005. Pricing default swaps: Empirical evidence. Journal of International Money and Finance, 24, 1200--1225, 0261-5606

A.C.F. Vorst and Patrick Houweling. 2005. Comparing possible proxies of corporate bond liquidity. Journal of Banking and Finance, 29, 1331--1358, 0378-4266

P. Boyle and M. Hardy and A.C.F. Vorst. 2005. Life after VaR. Journal of Derivatives, 13, 48--55

Patrick Houweling and A. Mentink and A.C.F. Vorst. 2004. Valuing Euro Rating-Triggered Step-Up Telecom Bonds. Journal of Derivatives, 11, 63--80

J. Gondzio and J.H.M. Kouwenberg and A.C.F. Vorst. 2003. Hedging Options under Transaction Costs and Stochastic Volatility. Journal of Economic Dynamics and Control, 27, 1045--1068, 0165-1889

M. Donders and R. Kouwenberg and A.C.F. Vorst. 2000. Options and Earnings Announcements: An Empirical Study of Volatility,Trading Volume, Open Interest and Liquidity. European Financial Management, 6, 149--171, 1468-036X

T.H.F. Cheuk and A.C.F. Vorst. 1999. Average Interest Rate Caps. Computational Economics, 14, 183--196, 0927-7099

M. Martens and P. Kofman and A.C.F. Vorst. 1998. A Threshold Error Correction Model for Intraday Futures and Index Returns. Journal of Applied Econometrics, 13, 245--263, 0883-7252

T. Cheuk and A.C.F. Vorst. 1997. Currency Lookback Options and the Observation Frequency: A Binomial Approach. Journal of International Money and Finance, 16, 173--187, 0261-5606

J.M. Moraleda and A.C.F. Vorst. 1997. Pricing American Interest Rate Claims with Humped Volatility Models. Journal of Banking and Finance, 21, 1131--1157, 0378-4266

M.W.M. Donders and A.C.F. Vorst. 1996. The Impact of Firm Specific News on Implied Volatilities. Journal of Banking and Finance, 20, 1447--1461, 0378-4266

A. Pelsser and A.C.F. Vorst. 1996. Transaction Costs and Efficiency of Portfolio Strategies. European Journal of Operational Research, 91, 250--263, 0377-2217

T.H.F. Cheuk and A.C.F. Vorst. 1996. Complex Barrier Options. Journal of Derivatives, 4, 8--22

A.G.Z. Kemna and R. Heijnen and A.C.F. Vorst. 1994. Analysis of the Term Structure of Implied Volatilities. Journal of Financial and Quantitative Analysis, 29, 31--51, 0022-1090

A Pelsser and A.C.F. Vorst. 1994. The Binomial Model and the Greeks. Journal of Derivatives, 1, 45--49

P.P. Boyle and A.C.F. Vorst. 1992. Option Replication in Discrete Time with Transaction Costs. The Journal of Finance, 47, 271--293, 0022-1082

A.C.F. Vorst. 1992. Prices and Hedge Ratios of Average Exchange Rate Options. International Review of Financial Analysis, 1, 179--193, 1057-5219

A.G.Z. Kemna and A.C.F. Vorst. 1990. A Pricing Method for Options Based on Average Asset Values. Journal of Banking and Finance, 14, 113--129, 0378-4266

A.C.F. Vorst. 1987. Optimal Housing Maintenance under Uncertainty. Journal of Urban Economics, 21, 209--227, 0094-1190

A.C.F. Vorst. 1986. The Relation Between the Rent and Selling Price of a Building Under Optimal Maintenance with Uncertainty. Journal of Economic Dynamics and Control, 10, 315--320, 0165-1889

F.J.A. Rijk and A.C.F. Vorst. 1983. Equilibrium Points in an Urban Retail Model and their Connection with Dynamical Systems. Regional Science and Urban Economics, 13, 383--399, 0166-0462