| A pricing method for options based on average asset values AGZ Kemna, ACF Vorst Journal of Banking & Finance 14 (1), 113-129, 1990 | 972 | 1990 |
| Option replication in discrete time with transaction costs PP Boyle, T Vorst The Journal of Finance 47 (1), 271-293, 1992 | 655 | 1992 |
| Comparing possible proxies of corporate bond liquidity P Houweling, A Mentink, T Vorst Journal of Banking & Finance 29 (6), 1331-1358, 2005 | 494 | 2005 |
| Pricing default swaps: Empirical evidence P Houweling, T Vorst Journal of international Money and Finance 24 (8), 1200-1225, 2005 | 408 | 2005 |
| Analysis of the term structure of implied volatilities R Heynen, A Kemna, T Vorst Journal of Financial and Quantitative Analysis 29 (1), 31-56, 1994 | 302 | 1994 |
| A threshold error‐correction model for intraday futures and index returns M Martens, P Kofman, TCF Vorst Journal of Applied Econometrics 13 (3), 245-263, 1998 | 233 | 1998 |
| Complex barrier options THF Cheuk, T Vorst J. OF DERIVATIVES, Fall, 1996 | 179 | 1996 |
| Prices and hedge ratios of average exchange rate options T Vorst International Review of Financial Analysis 1 (3), 179-193, 1992 | 174 | 1992 |
| The impact of firm specific news on implied volatilities MWM Donders, TCF Vorst Journal of Banking & Finance 20 (9), 1447-1461, 1996 | 152 | 1996 |
| An empirical comparison of default swap pricing models P Houweling, T Vorst ERIM Report Series Reference No. ERS-2002-23-F&A, 2002 | 117 | 2002 |
| The binomial model and the Greeks A Pelsser, TCF Vorst The Journal of Derivatives 1 (3), 45-49, 1994 | 107 | 1994 |
| Options and earnings announcements: an empirical study of volatility, trading volume, open interest and liquidity MWM Donders, R Kouwenberg, TCF Vorst European Financial Management 6 (2), 149-171, 2000 | 102 | 2000 |
| The general linear group of polynomial rings over regular rings T Vorst Communications in Algebra 9 (5), 499-509, 1981 | 86 | 1981 |
| Currency lookback options and observation frequency: a binomial approach THF Cheuk, TCF Vorst Journal of International Money and Finance 16 (2), 173-187, 1997 | 81 | 1997 |
| Localization of theK-theory of polynomial extensions T Vorst Mathematische Annalen 244, 33-53, 1979 | 78 | 1979 |
| Hedging options under transaction costs and stochastic volatility J Gondzio, R Kouwenberg, T Vorst Journal of Economic Dynamics and Control 27 (6), 1045-1068, 2003 | 61 | 2003 |
| Pricing American interest rate claims with humped volatility models JM Moraleda, TCF Vorst Journal of Banking & Finance 21 (8), 1131-1157, 1997 | 61 | 1997 |
| How to measure corporate bond liquidity? P Houweling, AA Mentink, T Vorst | 53 | 2003 |
| Options on dividend paying stocks R Beneder, T Vorst Recent developments in mathematical finance, 204-217, 2002 | 52 | 2002 |
| Shake-and-bake algorithms for generating uniform points on the boundary of bounded polyhedra CGE Boender, RJ Caron, JF McDonald, AHGR Kan, HE Romeijn, ... Operations research 39 (6), 945-954, 1991 | 51 | 1991 |
Patrick HouwelingHead Quant Fixed Income at Robeco InvestmentsVerified email at robeco.nl
