Antonius Cornelis Franciscus (Ton) Vorst (born 1952,
Utrecht
Utrecht ( ; ; ) is the List of cities in the Netherlands by province, fourth-largest city of the Netherlands, as well as the capital and the most populous city of the Provinces of the Netherlands, province of Utrecht (province), Utrecht. The ...
) is a Dutch
financial engineer and
mathematician
A mathematician is someone who uses an extensive knowledge of mathematics in their work, typically to solve mathematical problems. Mathematicians are concerned with numbers, data, quantity, mathematical structure, structure, space, Mathematica ...
, 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
Mathematics is a field of study that discovers and organizes methods, Mathematical theory, theories and theorems that are developed and Mathematical proof, proved for the needs of empirical sciences and mathematics itself. There are many ar ...
in 1978 from the
University of Utrecht
Utrecht University (UU; , formerly ''Rijksuniversiteit Utrecht'') is a public research university in Utrecht, Netherlands. Established , it is one of the oldest universities in the Netherlands. In 2023, it had an enrollment of 39,769 students, a ...
for the thesis "Kn-regular curves" under the supervision of Jan Rustom Strooker and Wilberd van der Kallen.
In the early 1980s, Vorst started his academic career as a 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 2009, he was executive vice president of
ABN AMRO, which was 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 also the director of Graduate Studies for Finance at the
Tinbergen Institute.
Publications
Vorst has authored numerous articles on business finance, financial markets, risk management and derivatives.
Ton Vorst
Google Scholar 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
External links
prof. dr. A.C.F. Vorst
at vu.nl
{{DEFAULTSORT:Vorst, Ton
1952 births
Living people
Dutch economists
Utrecht University alumni
Academic staff of Erasmus University Rotterdam
Academic staff of Vrije Universiteit Amsterdam
Scientists from Utrecht (city)
NatWest Group people