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Prof. dr. F.C.J.M. (Frank) de Jong

Faculty of Economics and Business
Sectie Finance
Photographer: Jeroen Oerlemans

Visiting address
  • Plantage Muidergracht 12
Postal address
  • Postbus 15953
    1001 NL Amsterdam
Contact details
  • Publications

    2021

    2020

    2018

    2017

    2016

    2013

    2011

    2010

    • De Jong, F., & Pelsser, A. (2010). Risk and portfolio choices in individual and collective pension plans: Comments. In Ageing, Health and Pensions in Europe: An Economic and Social Policy Perspective (pp. 64-66). Palgrave Macmillan. https://doi.org/10.1057/9780230307346

    2007

    2005

    2004

    2003

    • de Jong, F. C. J. M., & Wielhouwer, J. (2003). The Valuation and Hedging of Variable Rate Savings Accounts. ASTIN Bulletin, 33(2), 383-397. [details]

    2002

    2001

    • Driessen, J. J. A. G., de Jong, F. C. J. M., & Pelsser, A. (2001). Libor Market Models versus Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis. European Finance Review, 5(3), 201-237. [details]
    • de Jong, F. C. J. M., Werker, B. J. M., & Drost, F. C. (2001). A Jump-Diffusion Model for Exchange Rates in a Target Zone. Statistica Neerlandica, 55(3), 269-299. [details]

    2000

    • de Jong, F. C. J. M. (2000). Time Series and Cross Section Information in Affine Term Structure Models. Journal of Business & Economic Statistics, 18(3), 300-314. https://doi.org/10.2307/1392263 [details]

    1999

    • de Jong, F. C. J. M., & Santa-Clara, P. (1999). The Dynamics of the Forward Interest Curve: A Formulation with State Variables. Journal of Financial and Quantitative Analysis, 34(1), 131-157. https://doi.org/10.2307/2676249 [details]

    1998

    • de Jong, F. C. J. M., & Donders, M. (1998). Intraday Lead-lag Relationships between the Futures- Options and Stock Market. European Finance Review, 1(3), 337-359. [details]
    • de Jong, F. C. J. M., Mahieu, R., & Schotman, P. (1998). Price Discovery in the Foreign Exchange Market: An Empirical Analysis of the YenDmark Rate. Journal of international Money and Finance, 17(1), 5-27. https://doi.org/10.1016/S0261-5606(97)00058-2 [details]

    2003

    • de Jong, F. C. J. M. (2003). Pension Fund Investments and the Valuation of Liabilities under Conditional Indexation. In Proceedings International AFIR Colloquium 2003 (pp. 1-24). Woerden: Actuarieel Genootschap. [details]
    • van der Ploeg, A. P. C., Boswijk, H. P., & de Jong, F. (2003). A state space approach to the estimation of multi-factor affine stochastic volatility option pricing models. (UvA-econometrics working paper; No. 13). Amsterdam: UvA. [details]

    2001

    • de Jong, F. C. J. M., Driessen, J. J. A. G., & Pelsser, A. (2001). Libor and Swaprate Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis. CENTER Discussion paper, 35. [details]

    2000

    • de Jong, F. C. J. M., Driessen, J. J. A. G., & Pelsser, A. (2000). Libor and swap market models for the pricing of interest rate derivatives: An emperical analysis. CENTER Discussion paper, 0035. [details]

    1999

    • de Jong, F. C. J. M. (1999). Time Series and Cross Section Information in Affine Term Structure Models. CEPR Discussion Paper Series, (2065). [details]

    2011

    • Perotti, E., Danielsson, J., de Jong, F., Laux, C., Laeven, R., & Wüthrich, M. (2011). A prudential regulatory issue at the heart of Solvency II. VOX : Research-based Policy Analysis and Commentary from leading Economists, 2011(31 March). [details]

    2003

    • de Jong, F. (2003). Is mijn pensioen nog wel veilig? Over sparen en beleggen voor later. (Oratiereeks). Amsterdam: Vossiuspers UvA. [details]
    • de Jong, F. C. J. M. (2003). Geïndexeerde obligaties bieden meer zekerheid. Economisch-Statistische Berichten, 88(22 feb), 80. [details]

    2001

    • de Jong, F. C. J. M. (2001). De verhandeling van kleine en middelgrote fondsen op de Amsterdamse effectenbeurs: De voorstellen van Euronext in perspectief. VEUO. [details]

    2000

    • de Jong, F. C. J. M., Koster, H. A. J., & van Leijenhorst, A. (2000). De rol van derivaten. Economisch-Statistische Berichten, 85, 497-499. [details]
    • de Jong, F. C. J. M., Koster, H. A. J., & van Leijenhorst, A. (2000). Derivaten in consumenten-producten. Economisch-Statistische Berichten, 85, 589-591. [details]

    2019

    2014

    • Beetsma, R., de Jong, F., Giuliodori, M., & Widijanto, D. (2014). The impact of news ans the SMP on realized (co)variances in the Eurozone sovereign debt market. (ECB Working Paper Series; No. 1629). Frankfurt am Main: ECB. [details]

    2013

    • Beetsma, R., de Jong, F., Giuliodori, M., & Widijanto, D. (2013). Price effects of sovereign debt auctions in the Euro-zone: the role of the crisis. (CEPR Discussion Papers; No. DP9659). London: Centre for Economic Policy Research (CEPR). [details]

    2011

    • Danielsson, J., de Jong, F., Laux, C., Laeven, R., Perotti, E., & Wüthrich, M. (2011). A prudential regulatory issue at the heart of Solvency II. (DSF policy briefs; No. 2). Amsterdam: Duisenberg School of Finance. [details]

    2009

    • Bongaerts, D. G. J., Driessen, J. J. A. G., & de Jong, F. C. J. M. (2009). Derivative pricing with liquidity risk: Theory and evidence from the credit default swap market. Faculteit Economie en Bedrijfskunde.
    • Cui, J., de Jong, F., & Ponds, E. (2009). Intergenerational risk sharing within funded pension schemes. Amsterdam: Faculteit Economie en Bedrijfskunde [etc.]. [details]

    2008

    • Bongaerts, D., de Jong, F., & Driessen, J. (2008). Derivative pricing with liquidity risk: Theory and evidence from the credit default swap market. (EFA 2007 Ljubljana meetings paper). Ljubljana: EFA 2007 Ljubljana Meeting. [details]
    • de Jong, F., Driessen, J., & van Hemert, O. (2008). Hedging house price risk: Portfolio choice with housing futures. Amsterdam: Faculteit Economie en Bedrijfskunde. [details]

    2007

    • de Jong, F., Driessen, J. J. A. G., & van Hemert, O. A. C. (2007). Hedging House Price Risk. (Working Paper). Amsterdam: Faculteit Economie en Bedrijfskunde.

    2006

    • de Jong, F. C. J. M., & Driessen, J. J. A. G. (2006). Liquidity risk premia in corporate bond markets. (Working Paper Universiteit van Amsterdam). Amsterdam: Faculteit Economie en Bedrijfskunde.
    • van Hemert, O. A. C., de Jong, F. C. J. M., & Driessen, J. J. A. G. (2006). Dynamic portfolio choice under inflation in the presence of an owner-occupied house. Amsterdam: Faculteit Economie en Bedrijfskunde.

    2005

    • Driessen, J. J. A. G., & de Jong, F. C. J. M. (2005). Liquidity Risk Premia in Corporate Bond and Equity Markets. onbekend: Afdeling Business Studies.
    • Driessen, J. J. A. G., van Hemert, O. A. C., & de Jong, F. C. J. M. (2005). Dynamic Portfolio Choice under Inflation in the presence of an Owner-occupied House. onbekend: Afdeling Business Studies.
    • Driessen, J. J. A. G., van Hemert, O. A. C., & de Jong, F. C. J. M. (2005). Dynamic Portfolio Choice under Inflation in the presence of an Owner-occupied House. onbekend: Afdeling Business Studies.

    2003

    • van der Ploeg, A. P. C., Boswijk, H. P., & de Jong, F. (2003). A state space approach to the estimation of multi-factor affine stochastic volatility option pricing models. (Quantitative Economics Discussion Paper; No. 2003/13). Amsterdam: University of Amsterdam. [details]

    2001

    • Driessen, J. J. A. G., de Jong, F. C. J. M., & Pelsser, A. (2001). On the Information in the Interest Rate Term Structure and Option Prices. working paper. [details]
    • de Jong, F. C. J. M. (2001). Measures of contributions to price discovery: A comparison. (Tinbergen Institute Discussion Paper; No. TI2001-114/2). Amsterdam: Tinbergen Institute. [details]
    • de Jong, F. C. J. M., & Wielhouwer, J. (2001). The valuation and hedging of variable rate savings accounts. (Tinbergen Institute Discussion Paper; No. TI2001-112/2). Amsterdam: Tinbergen Institute. [details]
    • de Jong, F. C. J. M., & de Roon, F. (2001). Time-varying market integration and expected returns in emerging mrkets. (Tinbergen Institute Discussion Paper; No. TI2001-113/2). Amsterdam: Tinbergen Institute. [details]

    1999

    • de Jong, F. C. J. M., Mahieu, R., Schotman, P., & Leeuwen, I. (1999). Price dscovery in the foreign exchange markets with dfferentially informed traders. (Tinbergen Institute Discussion Paper; No. TI 1999-032/2). Amsterdam / Rotterdam: Tinbergen Institute Discussion Paper. [details]
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  • Ancillary activities
    No known ancillary activities