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Vorst, Ton
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Tinbergen Institute
Tinbergen Instituut
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
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Valuing Euro Rating-Triggered Step-Up Telecom Bonds
Houweling, Patrick
;
Mentink, Albert
;
Vorst, Ton
-
Tinbergen Institute
-
2003
We value rating-triggered step-up bonds with three methods: (i) the Jarrow, Lando and
Persistent link: https://www.econbiz.de/10005209470
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2
How to measure Corporate Bond Liquidity?
Houweling, Patrick
;
Mentink, Albert
;
Vorst, Ton
-
Tinbergen Institute
-
2003
We consider eight different measures (issued amount, coupon, listed, age, missing
Persistent link: https://www.econbiz.de/10005209522
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3
An Empirical Comparison of Default Swap Pricing Models
Houweling, Patrick
;
Vorst, Ton
-
Tinbergen Institute
-
2002
In this paper we compare market prices of credit default swaps with model prices. We show
Persistent link: https://www.econbiz.de/10005209518
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4
A Pricing Model for American Options with Stochastic Interest Rates
Menkveld, Bert
;
Vorst, Ton
-
Tinbergen Institute
-
1998
In this paper we introduce a new methodology to price American put options under stochastic interest
Persistent link: https://www.econbiz.de/10005209485
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5
The Valuation of Interest Rate Derivatives: Empirical Evidence from the Spanish Market
Moraleda, Juan M.
;
Vorst, Ton
-
Tinbergen Institute
-
1996
This paper studies empirical issues of one-factor yield curve models. We focus on the models by Ho
Persistent link: https://www.econbiz.de/10005504902
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