Concepedia

Ton Vorst

TV

29

Publications

2.4K

Citations

20

H-Index

1979

Active since

Affiliations

Erasmus University Rotterdam(Current)

Tinbergen Institute

Aegon (Netherlands)

Ton Vorst is an author at Erasmus University Rotterdam specializing in business, finance, and asset pricing.

Top concepts

BusinessFinanceAsset PricingFinancial EconomicsEconomicsOption PricingVolatility ModelingEmpirical FinanceEngineeringFinancial Engineering

Publications per year

1979–2005

29

Publications

29

Option Replication in Discrete Time with Transaction Costs

Phelim P. Boyle, Ton Vorst · The Journal of Finance · 1992 · 400 citations

Engineering, Market Design, Financial Mathematics +16

Comparing possible proxies of corporate bond liquidity

Patrick Houweling, Albert Mentink, Ton Vorst · Journal of Banking & Finance · 2004 · 320 citations

Empirical Finance, Financial Economics, Liquidity +5

Pricing default swaps: Empirical evidence

Patrick Houweling, Ton Vorst · Journal of International Money and Finance · 2005 · 289 citations

Economics, Dynamic Pricing, Financial Economics +8

Analysis of the Term Structure of Implied Volatilities

Ronald C. Heynen, A. G. Z. Kemna, Ton Vorst · Journal of Financial and Quantitative Analysis · 1994 · 190 citations

Option Pricing, Volatility Modeling, Financial Economics +11

A threshold error-correction model for intraday futures and index returns

Martin Martens, Paul Kofman, Ton Vorst · Journal of Applied Econometrics · 1998 · 166 citations

Empirical Finance, Volatility Modeling, Engineering +16

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