Life after VaR

Autor: Boyle, P, Hardy, M, Vorst, ACF (Ton)

Publikováno v: The Journal of Derivatives, 11(3), 48-55. Portfolio Management Research

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=narcis______::32008c56df433b060bc93041e1deb6a7
https://pure.eur.nl/en/publications/ac1a0782-9c2d-4ec4-8f9d-fe4d2b384305

Pricing default swaps: empirical evidence

Autor: Houweling, P (Patrick), Vorst, ACF (Ton)

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::7dd0b46e30bae10d317125f2fc2350b8
https://pure.eur.nl/en/publications/05171b7e-e2df-4e45-a108-7b3d0dba6b99

Comparing possible proxies of corporate bond liquidity

Autor: Houweling, P (Patrick), Mentink, AA (Albert), Vorst, ACF (Ton)

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::8e30b99925fe8ac73965b06a2c252a9b
https://pure.eur.nl/en/publications/413d8c6c-940f-4678-8368-97a6a1b9aace

Options on Dividends Paying Stocks

Autor: Vorst, ACF (Ton), Beneder, RP, Yong, J.

Publikováno v: Recent Developments in Mathematical Finance, 204-217
STARTPAGE=204;ENDPAGE=217;TITLE=Recent Developments in Mathematical Finance
Recent developments in mathematical finance, 204-217
STARTPAGE=204;ENDPAGE=217;TITLE=Recent developments in mathematical finance

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::074457b2987066334064d408b2c68740
https://research.vu.nl/en/publications/02f566fe-5f32-49cc-ab03-b34f2e0b7e03

Optimal Portfolios under a Value at Risk Constraint

Autor: Vorst, ACF (Ton), Casacuberta, C., Miró-Roig, R.M., Verdera, J., Xambó-Descamps, S.

Publikováno v: Progress in Mathematics, 391-397
STARTPAGE=391;ENDPAGE=397;TITLE=Progress in Mathematics
Progress in Mathematics; Proceedings of the European Congress of Mathematics, 391-397
STARTPAGE=391;ENDPAGE=397;TITLE=Progress in Mathematics; Proceedings of the European Congress of Mathematics

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::1a84e59ee6c82e27c9e3ced6e1c22ff0
https://research.vu.nl/en/publications/60b1d70a-95e0-457b-ae0b-ae7e263e3c66