12
H index
13
i10 index
903
Citations
Ton Vorst : Citation Profile
Vrije Universiteit Amsterdam (50% share) | RESEARCH PRODUCTION: 26 Articles 21 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
25 years (1980 - 2005). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Ton Vorst. | Is cited by:
| Cites to:
|
Main data
Where Ton Vorst has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Banking & Finance | 4 |
| Environment and Planning A | 3 |
| Journal of Economic Dynamics and Control | 2 |
| Journal of International Money and Finance | 2 |
Recent works citing Ton Vorst (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Probability of Default modelling with L\evy-driven Ornstein-Uhlenbeck processes and applications in credit risk under the IFRS 9. (2023). Yannacopoulos, Athanasios N ; Georgiou, Kyriakos. In: Papers. RePEc:arx:papers:2309.12384. Full description at Econpapers || Download paper |
| 2023 | Liquidity bu?ers and open-end investment funds: containing out?ows and reducing ?re sales. (2023). Wedow, Michael ; Weistroffer, Christian ; Vivar, Luis Molestina ; Dekker, Lennart. In: Working Paper Series. RePEc:ecb:ecbwps:20232825. Full description at Econpapers || Download paper |
| 2023 | Stock illiquidity and option returns. (2023). Uhrig-Homburg, Marliese ; Korn, Olaf ; Kanne, Stefan. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000556. Full description at Econpapers || Download paper |
| 2023 | Fair-washing in the market for structured retail products? Voluntary self-regulation versus government regulation. (2023). Tallau, Christian ; Shkel, David ; Munchhalfen, Patrick ; Baule, Rainer. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003296. Full description at Econpapers || Download paper |
| 2023 | Price discovery in equity markets: A state-dependent analysis of spot and futures markets. (2023). Schweikert, Karsten ; Kuck, Konstantin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s037842662300033x. Full description at Econpapers || Download paper |
| 2023 | An imprecise pricing model for Asian options based on Nonparametric predictive inference. (2023). He, Ting. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x23000070. Full description at Econpapers || Download paper |
| 2023 | Corporate bond liquidity and yield spreads: A review. (2023). Namin, Elmira Shekari ; Goldstein, Michael A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s027553192300051x. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | The bond agio premium. (2023). Güntner, Jochen ; Karner, Benjamin ; Gntner, Jochen. In: Economics working papers. RePEc:jku:econwp:2023-13. Full description at Econpapers || Download paper |
| 2023 | Investor Diversity and Liquidity in The Secondary Loan Market. (2023). Shao, Pei. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:63:y:2023:i:3:d:10.1007_s10693-022-00377-0. Full description at Econpapers || Download paper |
| 2023 | Pricing vulnerable basket spread options with liquidity risk. (2023). Wang, Xingchun ; Tang, Dan ; Dong, Ziming. In: Review of Derivatives Research. RePEc:kap:revdev:v:26:y:2023:i:1:d:10.1007_s11147-022-09192-0. Full description at Econpapers || Download paper |
| 2023 | Investment disputes and their explicit role in option market uncertainty and overall risk instability. (2023). Vitali, Sebastiano ; Peta, Michal ; MacIak, Matu ; Kopa, Milo ; Drabek, Zdenk. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00447-1. Full description at Econpapers || Download paper |
| 2023 | The effect of macroeconomic news announcements on the implied volatility of commodities: The role of survey releases. (2023). Lopez, Raquel ; Fernandezperez, Adrian. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1499-1530. Full description at Econpapers || Download paper |
| 2023 | Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach. (2023). Yang, Xiao Guang ; Cui, Zhenyu ; Ding, Kailin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:2:p:217-241. Full description at Econpapers || Download paper |
| 2023 | A topic modeling perspective on investor uncertainty. (2023). Seifert, Oleg ; Schnaubelt, Matthias ; Ortiz, Daniel Perico. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:042023. Full description at Econpapers || Download paper |
Works by Ton Vorst:
| Year | Title | Type | Cited |
|---|---|---|---|
| 1980 | THE GENERAL LINEAR GROUP OF POLYNOMIAL RINGS OVER REGULAR RINGS In: Econometric Institute Archives. [Full Text][Citation analysis] | paper | 2 |
| 1980 | ON THE SNAPPER, LIEBLER — VITALE, LAM THEOREM ON PERMUTATION REPRESENTATIONS OF THE SYMMETRIC GROUP In: Econometric Institute Archives. [Full Text][Citation analysis] | paper | 0 |
| 1983 | THE CUSP CATASTROPHE IN THE URBAN RETAIL MODEL In: Econometric Institute Archives. [Full Text][Citation analysis] | paper | 2 |
| 1984 | The Cusp Catastrophe in the Urban Retail Model.(1984) In: Environment and Planning A. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 1984 | OPTIMAL HOUSING MAINTENANCE UNDER UNCERTAINTY In: Econometric Institute Archives. [Full Text][Citation analysis] | paper | 5 |
| 1987 | Optimal housing maintenance under uncertainty.(1987) In: Journal of Urban Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 1986 | THE VALUE OF AN OPTION BASED ON AN AVERAGE SECURITY VALUE In: Econometric Institute Archives. [Full Text][Citation analysis] | paper | 0 |
| 1988 | OPTION PRICING AND STOCHASTIC PROCESSES In: Econometric Institute Archives. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Options and earnings announcements: an empirical study of volatility, trading volume, open interest and liquidity In: European Financial Management. [Full Text][Citation analysis] | article | 20 |
| 1992 | Option Replication in Discrete Time with Transaction Costs. In: Journal of Finance. [Full Text][Citation analysis] | article | 116 |
| 1996 | Options and earnings announcements: an empirical study for the European Options Exchange In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 0 |
| 1994 | Analysis of the Term Structure of Implied Volatilities In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 76 |
| 1986 | The relation between the rent and selling price of a building under optimal maintenance with uncertainty In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 1 |
| 2003 | Hedging options under transaction costs and stochastic volatility In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 13 |
| 1999 | Hedging Options under Transaction Costs and Stochastic Volatility.(1999) In: Computing in Economics and Finance 1999. [Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 1996 | Transaction costs and efficiency of portfolio strategies In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 5 |
| 1992 | Prices and hedge ratios of average exchange rate options In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 37 |
| 1996 | Mixtures of tails in clustered automobile collision claims In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 4 |
| 1990 | A pricing method for options based on average asset values In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 160 |
| 1996 | The impact of firm specific news on implied volatilities In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 40 |
| 1997 | Pricing American interest rate claims with humped volatility models In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 22 |
| 2005 | Comparing possible proxies of corporate bond liquidity In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 111 |
| 2003 | Comparing possible proxies of corporate bond liquidity.(2003) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 111 | paper | |
| 1997 | Currency lookback options and observation frequency: A binomial approach In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 12 |
| 2005 | Pricing default swaps: Empirical evidence In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 121 |
| 2003 | Pricing default swaps: empirical evidence.(2003) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 121 | paper | |
| 1983 | Equilibrium points in an urban retail model and their connection with dynamical systems In: Regional Science and Urban Economics. [Full Text][Citation analysis] | article | 6 |
| 2003 | Valuing Euro rating-triggered step-up telecom bonds In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2003 | Valuing Euro Rating-Triggered Step-Up Telecom Bonds.(2003) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2002 | An Empirical Comparison of Default Swap Pricing Models In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 26 |
| 2002 | An Empirical Comparison of Default Swap Pricing Models.(2002) In: ERIM Report Series Research in Management. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
| 2002 | An Empirical Comparison of Default Swap Pricing Models.(2002) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
| 2001 | An Empirical Comparison of Default Swap Pricing Models.(2001) In: Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
| 1991 | Shake-and-Bake Algorithms for Generating Uniform Points on the Boundary of Bounded Polyhedra In: Operations Research. [Full Text][Citation analysis] | article | 4 |
| 1998 | A threshold error-correction model for intraday futures and index returns In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 76 |
| 1995 | A Threshold Error Correction Model for Intraday Futures and Index Returns..(1995) In: Monash Econometrics and Business Statistics Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 76 | paper | |
| 1999 | Average Interest Rate Caps. In: Computational Economics. [Full Text][Citation analysis] | article | 1 |
| 1995 | Mixtures of Tails in Clustered Automobile Claims. In: Monash Econometrics and Business Statistics Working Papers. [Citation analysis] | paper | 1 |
| 2003 | Book Review In: Review of Finance. [Full Text][Citation analysis] | article | 0 |
| 1983 | On the Uniqueness and Existence of Equilibrium Points in an Urban Retail Model In: Environment and Planning A. [Full Text][Citation analysis] | article | 1 |
| 1985 | A Stochastic Version of the Urban Retail Model In: Environment and Planning A. [Full Text][Citation analysis] | article | 3 |
| 2000 | A Pricing Model for American Options with Gaussian Interest Rates In: Annals of Operations Research. [Full Text][Citation analysis] | article | 7 |
| 1996 | Option pricing with hedging at fixed trading dates In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 8 |
| 1996 | The Valuation of Interest Rate Derivatives: Empirical Evidence from the Spanish Market In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 1998 | A Pricing Model for American Options with Stochastic Interest Rates In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2003 | How to measure Corporate Bond Liquidity? In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
| 2002 | Is Liquidity Reflected in Bond Yields? Evidence from the Euro Corporate Bond Market In: Finance. [Full Text][Citation analysis] | paper | 6 |
| 2001 | Options on Dividend Paying Stocks In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 5 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team