View Author
model erqgv ghidxow option udwlqj price value pdunhw prgho fuhglw proxy liquidity default whohfrp interest oltxlglw wdeoh market ydoxh frxsrq suhplxp volatility table -2001 curve klvwrulfdo pricing credit maturity sulfh premium suhplxpv interest rates portfolio sodlq paper ydqlood ehwzhhq process structure term structure sulflqj pdwxulw fxuyh number wkhlu function phdvxuh wkuhh qxpehu udwhv sample section ydoxhv uhfryhu sulfhv default swap premiums wkhvh currency phwkrgv journal result phdvxuhv prghov parameter sruwirolr observation xvlqj error american lookback 0iuhh method rwkhu rating vhfwlrq interest rate process ydoxdwlrq lvvxhu dyhudjh
10 Most Recent Publications
|
Comparing possible proxies of corporate bond liquidity
(Research Paper)
Houweling, P. Mentink, A.A. Vorst, A.C.F. |
2003-08-07
|
|
Valuing Euro rating-triggered step-up telecom bonds
(Research Paper)
Houweling, P. Mentink, A.A. Vorst, A.C.F. |
2003-08-07
|
|
Pricing default swaps: empirical evidence
(Research Paper)
Houweling, P. Vorst, A.C.F. |
2003-08-07
|
|
How to measure Corporate Bond Liquidity?
(Research Paper)
Houweling, P. Mentink, A.A. Vorst, A.C.F. |
2003-02-13
|
|
Valuing Euro Rating-Triggered Step-Up Telecom Bonds
(Research Paper)
Houweling, P. Mentink, A.A. Vorst, A.C.F. |
2003-02-06
|
|
An Empirical Comparison of Default Swap Pricing Models
(Research Paper)
Houweling, P. Vorst, A.C.F. |
2002-02-27
|
|
A Pricing Model for American Options with Stochastic Interest Rates
(Research Paper)
Menkveld, A.J. Vorst, A.C.F. |
1998-04-20
|
|
Currency lookback options and observation frequency: A binomial approach
(Article)
Cheuk, T.H.F. Vorst, A.C.F. |
1997-01-01
|
|
The Valuation of Interest Rate Derivatives: Empirical Evidence from the Spanish Market
(Research Paper)
Moraleda, J.M. Vorst, A.C.F. |
1996-10-28
|
|
Vijf jaar voor econometrie
(Article)
Franses, Ph.H.B.F. Vorst, A.C.F. |
1996-05-22
|
