WorldCat Identities

Vorst, Ton

Overview
Works: 105 works in 178 publications in 2 languages and 365 library holdings
Genres: Conference papers and proceedings 
Roles: Author, Editor, Collector, Honoree, Other
Classifications: HG6024.3, 332.645
Publication Timeline
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Most widely held works by Ton Vorst
Mathematical finance--Bachelier Congress, 2000 : selected papers from the First World Congress of the Bachelier Finance Society, Paris, June 29-July 1, 2000 by Bachelier Finance Society( )

5 editions published between 2001 and 2013 in English and held by 106 WorldCat member libraries worldwide

The Bachelier Society for Mathematical Finance, founded in 1996, held its 1st World Congress in Paris on June 28 to July 1, 2000, thus coinciding in time with the centenary of the thesis defence of Louis Bachelier. In his thesis Bachelier introduced Brownian motion as a tool for the analysis of financial markets as well as the exact definition of options, and this is widely considered the keystone for the emergence of mathematical finance as a scientific discipline. The prestigious list of plenary speakers in Paris included 2 Nobel laureates, Paul Samuelson and Robert Merton. Over 130 further selected talks were given in 3 parallel sessions, all well attended by the over 500 participants who registered from all continents
Kn-regular curves by Ton Vorst( Book )

5 editions published in 1978 in English and Undetermined and held by 20 WorldCat member libraries worldwide

An empirical comparison of default swap pricing models by Patrick Houweling( Book )

10 editions published between 2001 and 2002 in English and held by 13 WorldCat member libraries worldwide

In this paper we compare market prices of credit default swaps with model prices. We showthat a simple reduced form model with a constant recovery rate outperforms the market practice ofdirectly comparing bonds' credit spreads to default swap premiums. We find that the model workswell for investment grade credit default swaps, but only if we use swap or repo rates as proxy fordefault-free interest rates. This indicates that the government curve is no longer seen as thereference default-free curve. We also show that the model is insensitive to the value of theassumed recovery rate
Economie, onzekerheid en wiskunde by Ton Vorst( Book )

2 editions published in 1989 in Dutch and held by 9 WorldCat member libraries worldwide

A pricing model for American options with stochastic interest rates by Albert J Menkveld( Book )

6 editions published in 1998 in English and held by 9 WorldCat member libraries worldwide

Valuing euro rating-triggered step-up telecom bonds by Patrick Houweling( Book )

5 editions published in 2003 in English and held by 8 WorldCat member libraries worldwide

How to measure corporate bond liquidity? by Patrick Houweling( Book )

5 editions published in 2003 in English and held by 8 WorldCat member libraries worldwide

We consider eight different measures (issued amount, coupon, listed, age, missingprices, price volatility, number of contributors and yield dispersion) to approximate corporatebond liquidity and use a five-variable model to control for maturity, credit and currencydifferences between bonds. The null hypothesis that liquidity risk is not priced in our dataset of euro corporate bonds is rejected for seven out of eight liquidity measures. We findsignificant liquidity premia, ranging from 9 to 24 basis points. A comparison test betweenliquidity measures shows that some ways to measure liquidity are better than others
The valuation of interest rate derivatives : empirical evidence from the Spanish market by Juan M Moraleda( Book )

3 editions published in 1996 in English and held by 6 WorldCat member libraries worldwide

Lookback options and the observation frequency : a binomial approach by Terry H. F Cheuk( Book )

4 editions published between 1994 and 1995 in English and Undetermined and held by 6 WorldCat member libraries worldwide

The impact of firm specific news on implied volatilities by Monique W. M Donders( Book )

3 editions published between 1994 and 1996 in English and held by 5 WorldCat member libraries worldwide

Transaction costs and efficiency of portfolio strategies by Antoon Pelsser( Book )

3 editions published in 1994 in English and held by 5 WorldCat member libraries worldwide

Pricing American interest rate claims with humped volatility models by Juan M Moraleda( Book )

3 editions published in 1996 in English and held by 4 WorldCat member libraries worldwide

The value of an option based on an average security value by Angelien G Kemna( Book )

2 editions published in 1986 in English and held by 4 WorldCat member libraries worldwide

Optimal housing maintenance under uncertainty by Ton Vorst( Book )

2 editions published in 1984 in English and held by 4 WorldCat member libraries worldwide

Analysis of the term structure of implied volatilities by Ronald C Heynen( Book )

2 editions published between 1991 and 1993 in English and held by 4 WorldCat member libraries worldwide

On the snapper, liebler-vitale, lam theorem on permutation representations of the symmetric group by Michiel Hazewinkel( Book )

2 editions published in 1980 in English and held by 4 WorldCat member libraries worldwide

Binomial models for some path-dependent options by Terry H. F Cheuk( Book )

2 editions published in 1994 in English and held by 4 WorldCat member libraries worldwide

On Walras' model of general economic equilibrium by J. van Daal( Book )

2 editions published in 1984 in Dutch and English and held by 3 WorldCat member libraries worldwide

Equilibrium points in an urban retail model and their connection with dynamical systems by F.J.A Rijk( Book )

2 editions published in 1982 in English and held by 3 WorldCat member libraries worldwide

 
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Audience level: 0.78 (from 0.71 for Mathematic ... to 0.94 for Mathematic ...)

Mathematical finance--Bachelier Congress, 2000 : selected papers from the First World Congress of the Bachelier Finance Society, Paris, June 29-July 1, 2000
Covers
Alternative Names
Ton Vorst Dutch economist

Ton Vorst economista neerlandés

Ton Vorst économiste néerlandais

Ton Vorst ekonomist holandez

Ton Vorst Nederlands econoom

Vorst, A. C.

Vorst, A. C. F.

Vorst, Antonius Cornelis Franciscus

Vorst, T. C. F.

Vorst, Ton 1952-

Vorst, Ton C.

Vorst, Ton C. F.

تون ڤورست

Languages
English (64)

Dutch (3)