Ton Vorst : Citation Profile


Are you Ton Vorst?

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

12

H index

13

i10 index

914

Citations

RESEARCH PRODUCTION:

26

Articles

21

Papers

1

Chapters

RESEARCH ACTIVITY:

   25 years (1980 - 2005). See details.
   Cites by year: 36
   Journals where Ton Vorst has often published
   Relations with other researchers
   Recent citing documents: 30.    Total self citations: 3 (0.33 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pvo117
   Updated: 2024-07-05    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)

Lo, Andrew (8)

Sandmann, Klaus (8)

Zhou, Hao (7)

Moreno, Manuel (7)

Norden, Lars (7)

Navas, Javier (7)

Avino, Davide (6)

Anagnostopoulou, Seraina (6)

Wedow, Michael (6)

Cites to:

Scholes, Myron (6)

Dybvig, Phillip (5)

Dybvig, Philip (5)

Duffie, Darrell (5)

White, Alan (5)

Bollerslev, Tim (5)

merton, robert (5)

Jarrow, Robert (4)

Engle, Robert (3)

Singleton, Kenneth (3)

Fleming, Michael (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 (2024 and 2023)


YearTitle of citing document
2023What Drives Credit Spreads of Oil Companies? Evidence from the Upstream, Integrated and Downstream Industries. (2023). Ha, Quan Tran ; Yihong, Simon Cottrell. In: The Energy Journal. RePEc:aen:journl:ej44-5-delpachitra.

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2024The American put with finite-time maturity and stochastic interest rate. (2021). Cai, Cheng ; Palczewski, Jan ; de Angelis, Tiziano. In: Papers. RePEc:arx:papers:2104.08502.

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2024On Pricing of Discrete Asian and Lookback Options under the Heston Model. (2022). Grzelak, Lech A ; Perotti, Leonardo. In: Papers. RePEc:arx:papers:2211.03638.

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2023Probability 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.

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2024Stochastic expansion for the pricing of Asian and basket options. (2024). le Floc, Fabien. In: Papers. RePEc:arx:papers:2402.17684.

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2024Liquidity on Eurozone stock markets: A non-linear approach. (2024). Seyte, Franoise ; Souiki, Boumediene. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-01064.

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2023Liquidity 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.

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2023Stock 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.

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2023European option pricing with market frictions, regime switches and model uncertainty. (2023). Siu, Tak Kuen. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:233-250.

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2024Liquidity buffers and open-end investment funds: Containing outflows or reducing fire sales?. (2024). Wedow, Michael ; Weistroffer, Christian ; Vivar, Luis Molestina ; Dekker, Lennart. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001774.

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2023Fair-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.

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2023Price 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.

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2023An 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.

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2024A finite element approach to the numerical solutions of Leland’s model. (2024). Zhumakhanova, Gulzat ; Erlangga, Yogi Ahmad ; Wei, Dongming. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:582-593.

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2023Corporate 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.

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2023.

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2024Quantitative Easing, Bond Risk Premia and the Exchange Rate in a Small Open Economy. (2024). Zhang, Xin. In: Working Paper Series. RePEc:hhs:rbnkwp:0434.

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2023The bond agio premium. (2023). Güntner, Jochen ; Karner, Benjamin ; Gntner, Jochen. In: Economics working papers. RePEc:jku:econwp:2023-13.

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2023Investor 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.

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2023Pricing 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.

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2023Investment 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.

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2023A transform-based method for pricing Asian options under general two-dimensional models. (2023). Zeng, Pingping ; Zhang, Weinan. In: Quantitative Finance. RePEc:taf:quantf:v:23:y:2023:i:11:p:1677-1697.

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2024Essays on asset liquidity and investment funds. (2024). Dekker, Lennart. In: Other publications TiSEM. RePEc:tiu:tiutis:5fc9bf77-84e7-4a36-9e3a-1798e435d435.

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2023The 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.

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2023Pricing 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.

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2023A topic modeling perspective on investor uncertainty. (2023). Seifert, Oleg ; Schnaubelt, Matthias ; Ortiz, Daniel Perico. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:042023.

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2023.

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Works by Ton Vorst:


YearTitleTypeCited
1980THE GENERAL LINEAR GROUP OF POLYNOMIAL RINGS OVER REGULAR RINGS In: Econometric Institute Archives.
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paper2
1980ON THE SNAPPER, LIEBLER — VITALE, LAM THEOREM ON PERMUTATION REPRESENTATIONS OF THE SYMMETRIC GROUP In: Econometric Institute Archives.
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paper0
1983THE CUSP CATASTROPHE IN THE URBAN RETAIL MODEL In: Econometric Institute Archives.
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paper2
1984The Cusp Catastrophe in the Urban Retail Model.(1984) In: Environment and Planning A.
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This paper has nother version. Agregated cites: 2
article
1984OPTIMAL HOUSING MAINTENANCE UNDER UNCERTAINTY In: Econometric Institute Archives.
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paper5
1987Optimal housing maintenance under uncertainty.(1987) In: Journal of Urban Economics.
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This paper has nother version. Agregated cites: 5
article
1986THE VALUE OF AN OPTION BASED ON AN AVERAGE SECURITY VALUE In: Econometric Institute Archives.
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paper0
1988OPTION PRICING AND STOCHASTIC PROCESSES In: Econometric Institute Archives.
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paper0
2000Options and earnings announcements: an empirical study of volatility, trading volume, open interest and liquidity In: European Financial Management.
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article20
1992 Option Replication in Discrete Time with Transaction Costs. In: Journal of Finance.
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article118
1996Options and earnings announcements: an empirical study for the European Options Exchange In: Statistica Neerlandica.
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article0
1994Analysis of the Term Structure of Implied Volatilities In: Journal of Financial and Quantitative Analysis.
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article77
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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article13
1999Hedging 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
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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article38
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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article161
1996The impact of firm specific news on implied volatilities In: Journal of Banking & Finance.
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article40
1997Pricing American interest rate claims with humped volatility models In: Journal of Banking & Finance.
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article22
2005Comparing possible proxies of corporate bond liquidity In: Journal of Banking & Finance.
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article115
2003Comparing possible proxies of corporate bond liquidity.(2003) In: Econometric Institute Research Papers.
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This paper has nother version. Agregated cites: 115
paper
1997Currency lookback options and observation frequency: A binomial approach In: Journal of International Money and Finance.
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article12
2005Pricing default swaps: Empirical evidence In: Journal of International Money and Finance.
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article124
2003Pricing default swaps: empirical evidence.(2003) In: Econometric Institute Research Papers.
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This paper has nother version. Agregated cites: 124
paper
1983Equilibrium points in an urban retail model and their connection with dynamical systems In: Regional Science and Urban Economics.
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article6
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 nother 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 nother version. Agregated cites: 26
paper
2002An Empirical Comparison of Default Swap Pricing Models.(2002) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 26
paper
2001An Empirical Comparison of Default Swap Pricing Models.(2001) In: Finance.
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This paper has nother 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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article4
1998A threshold error-correction model for intraday futures and index returns In: Journal of Applied Econometrics.
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article75
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 nother version. Agregated cites: 75
paper
1999Average Interest Rate Caps. In: Computational Economics.
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article1
1995Mixtures of Tails in Clustered Automobile Claims. In: Monash Econometrics and Business Statistics Working Papers.
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paper1
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
1985A Stochastic Version of the Urban Retail Model In: Environment and Planning A.
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article3
2000A Pricing Model for American Options with Gaussian Interest Rates In: Annals of Operations Research.
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article7
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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paper8
2002Is Liquidity Reflected in Bond Yields? Evidence from the Euro Corporate Bond Market In: Finance.
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paper6
2001Options on Dividend Paying Stocks In: World Scientific Book Chapters.
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chapter5

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