Ton Vorst : Citation Profile


Are you Ton Vorst?

Vrije Universiteit Amsterdam (50% share)
Tinbergen Instituut (50% share)

11

H index

11

i10 index

704

Citations

RESEARCH PRODUCTION:

29

Articles

21

Papers

1

Chapters

RESEARCH ACTIVITY:

   25 years (1980 - 2005). See details.
   Cites by year: 28
   Journals where Ton Vorst has often published
   Relations with other researchers
   Recent citing documents: 116.    Total self citations: 2 (0.28 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pvo117
   Updated: 2020-08-01    RAS profile: 2019-10-18    
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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:

Tsekrekos, Andrianos (10)

Benhamou, Eric (8)

Navas, Javier (7)

Lo, Andrew (7)

Norden, Lars (7)

Moreno, Manuel (7)

Avino, Davide (6)

Sandmann, Klaus (6)

Anagnostopoulou, Seraina (6)

Taylor, Nick (5)

Scholes, Myron (5)

Cites to:

Scholes, Myron (6)

merton, robert (5)

Dybvig, Phillip (5)

White, Alan (5)

Dybvig, Philip (5)

Jarrow, Robert (4)

Bollerslev, Tim (4)

Duffie, Darrell (4)

Chen, Zhiwu (3)

Brennan, Michael (3)

Cao, Charles (3)

Main data


Where Ton Vorst has published?


Journals with more than one article published# docs
Journal of Banking & Finance4
Environment and Planning A3
Journal of Economic Dynamics and Control2
Journal of International Money and Finance2

Working Papers Series with more than one paper published# docs
Econometric Institute Archives / Erasmus University Rotterdam6
Tinbergen Institute Discussion Papers / Tinbergen Institute5
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute4
Finance / University Library of Munich, Germany2
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics2

Recent works citing Ton Vorst (2018 and 2017)


YearTitle of citing document
2017Impact of Index Options on Emerging Market Volatility: The Case of the Malaysian Equity Market. (2017). Mohibul, MD ; Islam, Anisul M. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2017:p:157--172.

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2019Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274.

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2019Option pricing in exponential L\evy models with transaction costs. (2018). Grossinho, Maria ; Cantarutti, Nicola ; Do, Maria ; Guerra, Manuel. In: Papers. RePEc:arx:papers:1611.00389.

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2018On a pricing problem for a multi-asset option with general transaction costs. (2018). Mogni, Andres P ; Amster, Pablo . In: Papers. RePEc:arx:papers:1704.02036.

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2018Most-likely-path in Asian option pricing under local volatility models. (2018). Wang, Tai-Ho ; Liu, Nien-Lin ; Arguin, Louis-Pierre . In: Papers. RePEc:arx:papers:1706.02408.

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2017Asymptotics for the Discrete-Time Average of the Geometric Brownian Motion and Asian Options. (2017). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:1706.09659.

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2017Option Pricing with Delayed Information. (2017). Mousavi, Seyyed Mostafa ; Ichiba, Tomoyuki . In: Papers. RePEc:arx:papers:1707.01600.

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2020Implied volatility smile dynamics in the presence of jumps. (2017). Kanniainen, Juho ; Barholm, Perttu ; Magris, Martin. In: Papers. RePEc:arx:papers:1711.02925.

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2018Asian Option Pricing with Orthogonal Polynomials. (2018). Willems, Sander. In: Papers. RePEc:arx:papers:1802.01307.

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2019Volatility options in rough volatility models. (2019). Tankov, Peter ; Jacquier, Antoine ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1802.01641.

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2018General multilevel Monte Carlo methods for pricing discretely monitored Asian options. (2018). Kahale, Nabil . In: Papers. RePEc:arx:papers:1805.09427.

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2020Scalar multivariate risk measures with a single eligible asset. (2019). Rudloff, Birgit ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1807.10694.

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2018Predicting the Stock Price of Frontier Markets Using Modified Black-Scholes Option Pricing Model and Machine Learning. (2018). al Quaderi, Golam Dastegir ; Alam, Tanisha Nourin ; M. R. C. Mahdy, ; Chowdhury, Reaz. In: Papers. RePEc:arx:papers:1812.10619.

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2019Closed-End Formula for options linked to Target Volatility Strategies. (2019). Wallbaum, Kai ; Prezioso, Luca ; di Persio, Luca. In: Papers. RePEc:arx:papers:1902.08821.

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2019Stacked Monte Carlo for option pricing. (2019). Oumgari, Mugad ; Malone, Emma R ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:1903.10795.

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2020Correlators of Polynomial Processes. (2019). Lavagnini, Silvia ; Benth, Fred Espen. In: Papers. RePEc:arx:papers:1906.11320.

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2019Computational method for probability distribution on recursive relationships in financial applications. (2019). Lee, Kyungsub ; Park, Jong Jun. In: Papers. RePEc:arx:papers:1908.04959.

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2019Pricing of the Geometric Asian Options Under a Multifactor Stochastic Volatility Model. (2019). Taneja, H C ; Srivastava, R ; Malhotra, Gifty. In: Papers. RePEc:arx:papers:1912.10640.

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2020Hedging problems for Asian options with transactions costs. (2020). Shishkova, Alena ; Pergamenchtchikov, Serguei. In: Papers. RePEc:arx:papers:2001.01443.

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2020Optimal hedging of a perpetual American put with a single trade. (2020). Palczewski, Jan ; de Angelis, Tiziano ; Cai, Cheng. In: Papers. RePEc:arx:papers:2003.06249.

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2018Alternative Futures for Government of Canada Debt Management. (2018). Walton, Adrian ; Rivadeneyra, Francisco ; Garriott, Corey ; Nolin, Guillaume ; Lefebvre, Sophie. In: Discussion Papers. RePEc:bca:bocadp:18-15.

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2017Systemic Financial Sector and Sovereign Risks. (2017). Nadal De Simone, Francisco ; Jin, Xisong. In: BCL working papers. RePEc:bcl:bclwop:bclwp109.

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2020The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets. (2020). Mitzel, Norbert W ; Gronde, Ingo. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:635.

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2018Noise Momentum Around the World. (2018). Cai, Charlie X ; Shin, Yongcheol ; Faff, Robert. In: Abacus. RePEc:bla:abacus:v:54:y:2018:i:1:p:79-104.

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2017Risk factors in Australian bond returns. (2017). Roca, Eduardo ; Drew, Michael ; Whittaker, Timothy ; Bianchi, Robert J. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:2:p:373-400.

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2017Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective. (2017). Kelani, Abdou ; Quittard-Pinon, Franois. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:1:p:209-238.

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2017The Impact of Default on Tax Shield Valuation. (2017). Alexander, Lahmann ; Philipp, Gmehling ; Sven, Arnold . In: Journal of Business Valuation and Economic Loss Analysis. RePEc:bpj:jbvela:v:12:y:2017:i:1:p:41-62:n:6.

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2018Effects of Brexit on Corporate Yield Spreads: Evidence from UK and Eurozone Corporate Bond Markets. (2018). Kadiric, Samir ; Korus, Arthur. In: EIIW Discussion paper. RePEc:bwu:eiiwdp:disbei251.

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2018Option Prices and Costly Short-Selling. (2018). Basak, Suleyman ; Atmaz, Adem. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13029.

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2019The Financial Development of London in the 17th Century Revisited: A View from the Accounts of the Corporation of London. (2019). Sussman, Nathan. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13920.

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2019Valoración de opciones call asiáticas Promedio Aritmético usando Taylor Estocástico 1.5.. (2019). Giron, Luis Eduardo ; Baixauli, Samuel ; Diez, Susana Alvarez. In: Working Papers. RePEc:ddt:wpaper:44.

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2019Valoración de Opciones Call Asiáticas Promedio Aritmético bajo Movimiento Browniano Logístico. (2019). Giron, Luis Eduardo ; Baixauli, Samuel ; Diez, Susana Alvarez. In: Working Papers. RePEc:ddt:wpaper:46.

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2019It only takes a few moments to hedge options. (2019). Santucci de Magistris, Paolo ; Sloth, David ; Barletta, Andrea. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:251-269.

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2018Time-varying efficiency in food and energy markets: Evidence and implications. (2018). Roubaud, David ; Jebabli, Ikram . In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:97-114.

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2020Volatility transmission to the fine wine market. (2020). ben Ameur, Hachmi ; le Fur, Eric ; Lefur, Eric . In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:307-316.

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2019Efficient control variate methods with applications to exotic options pricing under subordinated Brownian motion models. (2019). Li, Lin ; Zhang, Shuhua ; Lai, Yongzeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:602-621.

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2020An effective hybrid variance reduction method for pricing the Asian options and its variants. (2020). Lee, Yi-Hsi ; Hsieh, Ming-Hua ; Liang, Chiung-Ju ; Lu, King-Jeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818305825.

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2017Liquidity commonality in the secondary corporate loan market. (2017). Anthony, John ; Shamsuddin, Abul ; Lee, Doowon ; Docherty, Paul. In: Economics Letters. RePEc:eee:ecolet:v:161:y:2017:i:c:p:10-14.

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2019A two-stage estimator for heterogeneous panel models with common factors. (2019). Castagnetti, Carolina ; Trapani, Lorenzo ; Rossi, Eduardo. In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:63-82.

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2018Risk management of time varying floors for dynamic portfolio insurance. (2018). Prigent, Jean-Luc ; Prigent, J.-L., ; ben Ameur, H. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:1:p:363-381.

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2019Integrated structural approach to Credit Value Adjustment. (2019). Ballotta, Laura ; Marazzina, Daniele ; Fusai, Gianluca. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:3:p:1143-1157.

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2017A causal link between bond liquidity and stock returns. (2017). Anderson, Mike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:190-208.

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2018Forecasting the term structure of option implied volatility: The power of an adaptive method. (2018). Niu, Linlin ; Han, Qian ; Chen, Ying. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:157-177.

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2019Limits to arbitrage and CDS–bond dynamics around the financial crisis. (2019). Chalamandaris, George ; Pagratis, Spyros. In: Journal of Empirical Finance. RePEc:eee:empfin:v:54:y:2019:i:c:p:213-235.

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2019The EIA WPSR release, OVX and crude oil internet interest. (2019). Nikkinen, Jussi ; Rothovius, Timo . In: Energy. RePEc:eee:energy:v:166:y:2019:i:c:p:131-141.

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2017Liquidity measures throughout the lifetime of the U.S. Treasury bond. (2017). Diaz, Antonio ; Escribano, Ana . In: Journal of Financial Markets. RePEc:eee:finmar:v:33:y:2017:i:c:p:42-74.

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2020Estimating unknown arbitrage costs: Evidence from a 3-regime threshold vector error correction model. (2020). Urban, Jorg ; Ters, Kristyna. In: Journal of Financial Markets. RePEc:eee:finmar:v:47:y:2020:i:c:s1386418119300084.

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2017An international forensic perspective of the determinants of bank CDS spreads. (2017). Sousa, Ricardo ; Mallick, Sushanta ; Benbouzid, Nadia. In: Journal of Financial Stability. RePEc:eee:finsta:v:33:y:2017:i:c:p:60-70.

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2018Financial stress and equilibrium dynamics in term interbank funding markets. (2018). Yoldas, Emre ; Senyuz, Zeynep. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:136-149.

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2017Do country-level financial structures explain bank-level CDS spreads?. (2017). Sousa, Ricardo ; Mallick, Sushanta ; Benbouzid, Nadia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:135-145.

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2019Threshold cointegration in international exchange rates:A Bayesian approach. (2019). Zoerner, Thomas ; Huber, Florian ; Zorner, Thomas O. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:458-473.

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2019Implied volatility term structure and exchange rate predictability. (2019). ORNELAS, JOSE ; Mauad, Roberto Baltieri ; Haas, Jose Renato. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1800-1813.

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2020The surface of implied firm’s asset volatility. (2020). Silaghi, Florina ; Lovreta, Lidija. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302789.

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2017Organizational structure, risk-based capital requirements, and the sales of downgraded bonds. (2017). Ma, Qingzhong ; Lu, Erin P ; Lai, Gene C. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:74:y:2017:i:c:p:51-68.

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2017Information in CDS spreads. (2017). Norden, Lars. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:75:y:2017:i:c:p:118-135.

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2017Momentum spillover from stocks to corporate bonds. (2017). Houweling, Patrick ; van Zundert, Jeroen ; Haesen, Daniel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:79:y:2017:i:c:p:28-41.

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2018The impacts of asymmetric information and short sales on the illiquidity risk premium in the stock option market. (2018). Lin, Zih-Ying ; Wang, Yaw-Huei ; Chang, Chuang-Chang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:94:y:2018:i:c:p:152-165.

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2018Unobservable systematic risk, economic activity and stock market. (2018). De Santis, Roberto A. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:51-69.

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2019The effect of pro-environmental preferences on bond prices: Evidence from green bonds. (2019). Zerbib, Olivier David. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:98:y:2019:i:c:p:39-60.

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2019Risk mitigation by institutional participants in the secondary market: Evidence from foreign Rule 144A debt market. (2019). Ramchand, Latha ; Nayak, Subhankar ; Kalimipalli, Madhu ; Huang, Alan G. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:202-221.

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2019Option prices and costly short-selling. (2019). Basak, Suleyman ; Atmaz, Adem. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:1:p:1-28.

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2017Evaluating the information in the federal reserve stress tests. (2017). Kovner, Anna ; Hirtle, Beverly ; Flannery, Mark. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:29:y:2017:i:c:p:1-18.

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2018Unobservable country bond premia and fragmentation. (2018). De Santis, Roberto A. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:82:y:2018:i:c:p:1-25.

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2019Measuring the liquidity impact on catastrophe bond spreads. (2019). Yu, Min-Teh ; Zhao, Yang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:56:y:2019:i:c:p:197-210.

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2019Valuation and analysis on complex equity indexed annuities. (2019). Tsai, Chenghsien ; Hsieh, Ming-Hua ; Chiu, Yu-Fen. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x19301039.

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2018Analytical valuation for geometric Asian options in illiquid markets. (2018). Li, Zhe ; Liu, Yong-Jun ; Zhang, Wei-Guo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:175-191.

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2019Critical value-based Asian option pricing model for uncertain financial markets. (2019). Li, BO ; Zhu, Yuanguo ; Lu, Ziqiang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:694-703.

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2017Liquidity basis between credit default swaps and corporate bonds markets. (2017). Kim, Kwanho. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:98-115.

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2017Accounting quality, information risk and the term structure of implied volatility around earnings announcements. (2017). Tsekrekos, Andrianos ; Anagnostopoulou, Seraina. In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:445-460.

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2018The housing market and the credit default swap premium in the UK banking sector: A VAR approach. (2018). Benbouzid, Nadia ; Pilbeam, Keith ; Mallick, Sushanta. In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:1-15.

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2019Implied volatility and the cross section of stock returns in the UK. (2019). Agarwal, Vineet ; Chandorkar, Pankaj ; Poshakwale, Sunil S. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:271-286.

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2020Measuring the multi-faceted dimension of liquidity in financial markets: A literature review. (2020). Diaz, Antonio ; Escribano, Ana. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918311024.

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2017Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives. (2017). VISVIKIS, ILIAS ; Alexandridis, G ; Sahoo, S. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:98:y:2017:i:c:p:82-104.

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2017Rating Migration and Bond Valuation: Decomposing Rating Migration Matrices from Market Data via Default Probability Term Structures. (2017). Barnard, Brian. In: Expert Journal of Finance. RePEc:exp:finnce:v:5:y:2017:i:1:p:49-72.

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2017Rating Migration and Bond Valuation: Decomposing Rating Migration Matrices from Market Data via Default Probability Term Structures. (2017). Barnard, Brian. In: Expert Journal of Finance. RePEc:exp:finnce:v:5:y:2017:i::p:49-72.

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2018Rating Migration and Bond Valuation: Ahistorical Interest Rate and Default Probability Term Structures. (2018). Barnard, Brian. In: Expert Journal of Finance. RePEc:exp:finnce:v:6:y:2018:i:1:p:16-30.

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2017Estimating Loss Given Default from CDS under Weak Identification. (2017). Liu, Lily. In: Supervisory Research and Analysis Working Papers. RePEc:fip:fedbqu:rpa17-1.

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2017Global Hedging through Post-Decision State Variables. (2017). BRETON, Michel E ; Godin, Frederic. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:3:p:16-:d:107638.

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2020A Discrete-Time Approach to Evaluate Path-Dependent Derivatives in a Regime-Switching Risk Model. (2020). Russo, Emilio. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:9-:d:314174.

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2019Sustainable Local Currency Debt: An Analysis of Foreigners’ Korea Treasury Bonds Investments Using a LA-VARX Model. (2019). Atukeren, Erdal ; Jang, Jae Young. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:13:p:3603-:d:244413.

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2020Estimation of the number of factors in a multi-factorial Heath-Jarrow-Morton model in electricity markets. (2020). Gruet, Pierre ; Feron, Olivier. In: Working Papers. RePEc:hal:wpaper:hal-02880824.

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2017The Term Structure of Systematic and Idiosyncratic Risk. (2017). Prokopczuk, Marcel ; Simen, Chardin Wese ; Hollstein, Fabian. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-618.

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2018A simpler algorithm to price American Lookback options in a discrete stochastic volatility model. (2018). Ramprasath, L. In: Working papers. RePEc:iik:wpaper:294.

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2017A simple efficient approximation to price basket stock options with volatility smile. (2017). Wu, Ping ; Elliott, Robert J. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:1:d:10.1007_s10436-017-0292-1.

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2019Demystifying Yield Spread on Corporate Bonds Trades in India. (2019). Mukherjee, Kedar nath . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:26:y:2019:i:2:d:10.1007_s10690-018-09266-w.

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2020International Assets Allocation with Risk Management via Multi-Stage Stochastic Programming. (2020). Han, Liyan ; Yin, Libo. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:2:d:10.1007_s10614-013-9365-z.

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2019The effects of Brexit on credit spreads: Evidence from UK and Eurozone corporate bond markets. (2019). Korus, Arthur ; Kadiric, Samir. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:16:y:2019:i:1:d:10.1007_s10368-018-00424-z.

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2018The Options Market Reaction to Bank Loan Announcements. (2018). Tsekrekos, Andrianos ; Anagnostopoulou, Seraina ; Tsaousis, Panagiotis A ; Ferentinou, Aikaterini C. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:53:y:2018:i:1:d:10.1007_s10693-016-0243-4.

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2017Rainbow trend options: valuation and applications. (2017). Wang, Jr-Yan ; Hung, Mao-Wei ; Ko, Yi-Chen . In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:2:d:10.1007_s11147-016-9125-z.

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2017A unified approach for the pricing of options relating to averages. (2017). Funahashi, Hideharu ; Kijima, Masaaki. In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:3:d:10.1007_s11147-017-9128-4.

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2020Mortgage-related bank penalties and systemic risk among U.S. banks. (2020). Kočenda, Evžen ; Broza, Vaclav ; Kocenda, Evzen . In: KIER Working Papers. RePEc:kyo:wpaper:1024.

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2018Credit Risk Research: Review and Agenda. (2018). Zamore, Stephen ; Hobdari, Bersant ; Alon, Ilan ; Djan, Kwame Ohene. In: Emerging Markets Finance and Trade. RePEc:mes:emfitr:v:54:y:2018:i:4:p:811-835.

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2017Currency risk in corporate bond spreads in the eurozone. (2017). Bleaney, Michael ; Veleanu, Veronica. In: Discussion Papers. RePEc:not:notcfc:17/07.

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2018Illiquidity Premia in the Equity Options Market. (2018). Christoffersen, Peter ; Karoui, Mehdi ; Jacobs, Kris ; Goyenko, Ruslan . In: Review of Financial Studies. RePEc:oup:rfinst:v:31:y:2018:i:3:p:811-851..

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2018Dissecting the ‘doom loop’: the bank-sovereign credit risk nexus during the US debt ceiling crisis. (2018). Gori, Filippo. In: MPRA Paper. RePEc:pra:mprapa:87994.

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2018Modelling credit spreads with time volatility, skewness, and kurtosis. (2018). Clark, Ephraim ; Baccar, Selima. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-015-1975-5.

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2018Intraday price information flows between the CSI300 and futures market: an application of wavelet analysis. (2018). Xu, Xiaojie. In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:3:d:10.1007_s00181-017-1245-2.

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2017A bootstrap-based comparison of portfolio insurance strategies. (2017). Dichtl, Hubert ; Wambach, Martin ; Drobetz, Wolfgang. In: The European Journal of Finance. RePEc:taf:eurjfi:v:23:y:2017:i:1:p:31-59.

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2018Empirical studies on the cross-section of corporate bond and stock markets. (2018). van Zundert, Jeroen . In: Other publications TiSEM. RePEc:tiu:tiutis:338205fc-a031-4e06-a636-966b7596ad1c.

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More than 100 citations found, this list is not complete...

Works by Ton Vorst:


YearTitleTypeCited
1980THE GENERAL LINEAR GROUP OF POLYNOMIAL RINGS OVER REGULAR RINGS In: Econometric Institute Archives.
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1980ON THE SNAPPER, LIEBLER — VITALE, LAM THEOREM ON PERMUTATION REPRESENTATIONS OF THE SYMMETRIC GROUP In: Econometric Institute Archives.
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1983THE CUSP CATASTROPHE IN THE URBAN RETAIL MODEL In: Econometric Institute Archives.
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paper1
1984The cusp catastrophe in the urban retail model.(1984) In: Environment and Planning A.
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.() In: .
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This paper has another version. Agregated cites: 1
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1984OPTIMAL HOUSING MAINTENANCE UNDER UNCERTAINTY In: Econometric Institute Archives.
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paper4
1987Optimal housing maintenance under uncertainty.(1987) In: Journal of Urban Economics.
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1986THE VALUE OF AN OPTION BASED ON AN AVERAGE SECURITY VALUE In: Econometric Institute Archives.
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1988OPTION PRICING AND STOCHASTIC PROCESSES In: Econometric Institute Archives.
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2000Options and earnings announcements: an empirical study of volatility, trading volume, open interest and liquidity In: European Financial Management.
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1992 Option Replication in Discrete Time with Transaction Costs. In: Journal of Finance.
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article95
1996Options and earnings announcements: an empirical study for the European Options Exchange In: Statistica Neerlandica.
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1994Analysis of the Term Structure of Implied Volatilities In: Journal of Financial and Quantitative Analysis.
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article71
1986The relation between the rent and selling price of a building under optimal maintenance with uncertainty In: Journal of Economic Dynamics and Control.
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article1
2003Hedging options under transaction costs and stochastic volatility In: Journal of Economic Dynamics and Control.
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article9
1999Hedging Options under Transaction Costs and Stochastic Volatility.(1999) In: Computing in Economics and Finance 1999.
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paper
1996Transaction costs and efficiency of portfolio strategies In: European Journal of Operational Research.
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article5
1992Prices and hedge ratios of average exchange rate options In: International Review of Financial Analysis.
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article32
1996Mixtures of tails in clustered automobile collision claims In: Insurance: Mathematics and Economics.
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article4
1990A pricing method for options based on average asset values In: Journal of Banking & Finance.
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article111
1996The impact of firm specific news on implied volatilities In: Journal of Banking & Finance.
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article29
1997Pricing American interest rate claims with humped volatility models In: Journal of Banking & Finance.
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article21
2005Comparing possible proxies of corporate bond liquidity In: Journal of Banking & Finance.
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article83
2003Comparing possible proxies of corporate bond liquidity.(2003) In: Econometric Institute Research Papers.
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This paper has another version. Agregated cites: 83
paper
1997Currency lookback options and observation frequency: A binomial approach In: Journal of International Money and Finance.
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article8
2005Pricing default swaps: Empirical evidence In: Journal of International Money and Finance.
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article102
2003Pricing default swaps: empirical evidence.(2003) In: Econometric Institute Research Papers.
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This paper has another version. Agregated cites: 102
paper
1983Equilibrium points in an urban retail model and their connection with dynamical systems In: Regional Science and Urban Economics.
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article2
2003Valuing Euro rating-triggered step-up telecom bonds In: Econometric Institute Research Papers.
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paper3
2003Valuing Euro Rating-Triggered Step-Up Telecom Bonds.(2003) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 3
paper
2002An Empirical Comparison of Default Swap Pricing Models In: Econometric Institute Research Papers.
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paper26
2002An Empirical Comparison of Default Swap Pricing Models.(2002) In: ERIM Report Series Research in Management.
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This paper has another version. Agregated cites: 26
paper
2002An Empirical Comparison of Default Swap Pricing Models.(2002) In: Tinbergen Institute Discussion Papers.
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paper
2001An Empirical Comparison of Default Swap Pricing Models.(2001) In: Finance.
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This paper has another version. Agregated cites: 26
paper
1991Shake-and-Bake Algorithms for Generating Uniform Points on the Boundary of Bounded Polyhedra In: Operations Research.
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article2
1998A threshold error-correction model for intraday futures and index returns In: Journal of Applied Econometrics.
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article66
1995A Threshold Error Correction Model for Intraday Futures and Index Returns..(1995) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 66
paper
1999Average Interest Rate Caps. In: Computational Economics.
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1995Mixtures of Tails in Clustered Automobile Claims. In: Monash Econometrics and Business Statistics Working Papers.
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paper0
2003Book Review In: Review of Finance.
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article0
1983On the uniqueness and existence of equilibrium points in an urban retail model In: Environment and Planning A.
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article1
.() In: .
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This paper has another version. Agregated cites: 1
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1985A stochastic version of the urban retail model In: Environment and Planning A.
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article2
.() In: .
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This paper has another version. Agregated cites: 2
article
2000A Pricing Model for American Options with Gaussian Interest Rates In: Annals of Operations Research.
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article1
1996Option pricing with hedging at fixed trading dates In: Applied Mathematical Finance.
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article8
1996The Valuation of Interest Rate Derivatives: Empirical Evidence from the Spanish Market In: Tinbergen Institute Discussion Papers.
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paper0
1998A Pricing Model for American Options with Stochastic Interest Rates In: Tinbergen Institute Discussion Papers.
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paper1
2003How to measure Corporate Bond Liquidity? In: Tinbergen Institute Discussion Papers.
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paper1
2002Is Liquidity Reflected in Bond Yields? Evidence from the Euro Corporate Bond Market In: Finance.
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paper3
2001Options on Dividend Paying Stocks In: World Scientific Book Chapters.
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