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Ton Vorst

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Antonius Cornelis Franciscus (Ton) Vorst (born 1952) is a Dutch financial engineer and mathematician, Professor at the department of Finance of the Vrije Universiteit in Amsterdam, and Director of the VU Amsterdam School of Finance and Risk Management.

Biography

Vorst received his PhD in Mathematics in 1978 from the University of Utrecht for the thesis "Kn-regular curves" under supervision of Jan Rustom Strooker and Wilberd van der Kallen.[1]

Early 1980s Vorst started his academic career as researcher at the Econometric Institute of the Erasmus University Rotterdam, where he was appointed Professor in Finance in 1989. With Harm Bart he was Co-Director of the Econometric Institute from 1992 to 1998 as successor of Teun Kloek, and they were succeeded by Herman K. van Dijk. From 2000 to end 2009 he was Executive Vice President of ABN AMRO. partly sold to The Royal Bank of Scotland Group in 2007. In 2006 he was also appointed Professor at the department of Finance at VU University Amsterdam. He is head of the VU Amsterdam School of Finance and Risk Management, and is Director of Graduate Studies for Finance at the Tinbergen Institute.[2]

Publications

Vorst has authored numerous articles on business finance, financial markets, risk management and derivatives.[3] A selection:

  • Vorst, Ton. "Prices and hedge ratios of average exchange rate options." International Review of Financial Analysis 1.3 (1992): 179-193.
  • Boyle, Phelim P., and Ton Vorst. "Option replication in discrete time with transaction costs." The Journal of Finance 47.1 (1992): 271-293.
  • Heynen, Ronald, Angelien Kemna, and Ton Vorst. "Analysis of the term structure of implied volatilities." Journal of Financial and Quantitative Analysis 29.1 (1994).
  • Martens, Martin, Paul Kofman, and Ton CF Vorst. "A threshold error-correction model for intraday futures and index returns." Journal of Applied Econometrics 13.3 (1998): 245-263.
  • Houweling, Patrick, and Ton Vorst. "Pricing default swaps: Empirical evidence." Journal of International Money and Finance 24.8 (2005): 1200-1225.

References

  1. ^ Ton Vorst at the Mathematics Genealogy Project
  2. ^ prof. dr. A.C.F. Vorst at vu.nl. Accessed September 11, 2013.
  3. ^ Ton Vorst Google Scholar
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