ntahani


Nabil Tahani

Photo of Nabil Tahani

School of Administrative Studies

Associate Professor

Office: Atkinson College, 203A
Phone: 416-736-2100 Ext: 22901
Email: ntahani@yorku.ca
Primary website: http://www.yorku.ca/ntahani/


Professor Nabil Tahani received his PhD in Finance from HEC Montréal. He also has an Engineering degree in Applied Mathematics and Computer Science from the École Nationale des Ponts et Chaussées, Paris, a MSc in Probability and Finance from Pierre and Marie Curie University, Paris, and a MSc in Mathematical Modeling in Economics from La Sorbonne, Paris.

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In his doctoral dissertation, Professor Tahani investigated topics in credit risk and credit derivatives. He proposed continuous- and discrete-time stochastic volatility frameworks for pricing derivative products on mean-reverting assets, with applications to credit spread options. His current research interests include derivatives pricing, credit risk and more generally financial engineering problems, as well as personal finance and retirement planning. He has published in the Journal of Futures Markets (lead article), the Journal of Derivatives, the Multinational Finance Journal and the Financial Services Review. He has recently won the CFP Board Outstanding Financial Planning Paper Award at the Academy of Financial Services 2007 conference in Orlando (for a joint paper with prof. Chris Robinson). He has presented his work at several conferences and university seminars in Australia, Canada, the Czech Republic, France, Greece, Italy, Japan, Spain, the UK and the United States.

Professor Tahani has taught several courses in different business departments, such as derivative securities, corporate finance, financial mathematics, probability, statistics, optimization and linear algebra. He is the recipient of the 2007-08 Atkinson Dean's Award for Excellence in Teaching, and the 2009-10 School of Administrative Studies Teaching Award.

Degrees

PhD, HEC Montréal
DEA in Probability and Finance, Pierre and Marie Curie University, Paris
DEA in Mathematical Modeling in Economics, La Sorbonne, Paris
Engineer, École Nationale des Ponts et Chaussées, Paris

Research Interests

, Derivatives Pricing, Credit Risk, Stochastic Calculus, Personal Finance and Retirement Planning, Finance

Current Research Projects


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    Funders:
    Junior Faculty Fund

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    Funders:
    Minor Research Grant

    See more
    Funders:
    Junior Faculty Fund

    See more
    Funders:
    ATK Fellowship
Journal Articles

Publication
Year

Dionne, Georges, Geneviève Gauthier, Nadia Ouertani and Nabil Tahani, “Heterogeneous Basket Options Pricing Using Analytical Approximations,” Multinational Finance Journal, 2011, Vol. 15, Iss. 1/2, pp 47-85.

2011

Tahani, Nabil and Xiaofei Li, "Pricing Interest Rate Derivatives under Stochastic Volatility," Managerial Finance, 2011, Vol. 37, Iss. 1, pp 72-91.

2011

Tahani, Nabil and Chris Robinson, "Freedom at 55 or Drudgery till 70?" Financial Services Review, 2010, Vol. 19, Iss. 4, pp 275-284

2010

Robinson, Chris and Nabil Tahani, "Sustainable Retirement Income for the Socialite, the Gardener and the Uninsured," Financial Services Review, 2010, Vol. 19, Iss. 3, pp 187-202. LEAD ARTICLE. (CFP Board Outstanding Financial Planning Paper Award, AFS 2007)

2010

Tahani, Nabil, “Credit Spread Option Valuation under GARCH,” The Journal of Derivatives, Fall 2006, Vol. 14, Iss. 1, pp 27-39.

2006

Tahani, Nabil, “Valuing Credit Derivatives Using Gaussian Quadrature: A Stochastic Volatility Framework,” The Journal of Futures Markets, Jan 2004, Vol. 24, Iss. 1, pp 3-35. LEAD ARTICLE.

2004



Upcoming Courses

Term Course Number Section Title Type
Fall 2019 AP/ADMS4504 3.0 A Fixed Income Securities & Risk Managemen LECT
Fall 2019 AP/ADMS4504 3.0 B Fixed Income Securities & Risk Managemen LECT
Fall 2019 AP/ADMS3530 3.0 F Finance LECT


Professor Nabil Tahani received his PhD in Finance from HEC Montréal. He also has an Engineering degree in Applied Mathematics and Computer Science from the École Nationale des Ponts et Chaussées, Paris, a MSc in Probability and Finance from Pierre and Marie Curie University, Paris, and a MSc in Mathematical Modeling in Economics from La Sorbonne, Paris.

In his doctoral dissertation, Professor Tahani investigated topics in credit risk and credit derivatives. He proposed continuous- and discrete-time stochastic volatility frameworks for pricing derivative products on mean-reverting assets, with applications to credit spread options. His current research interests include derivatives pricing, credit risk and more generally financial engineering problems, as well as personal finance and retirement planning. He has published in the Journal of Futures Markets (lead article), the Journal of Derivatives, the Multinational Finance Journal and the Financial Services Review. He has recently won the CFP Board Outstanding Financial Planning Paper Award at the Academy of Financial Services 2007 conference in Orlando (for a joint paper with prof. Chris Robinson). He has presented his work at several conferences and university seminars in Australia, Canada, the Czech Republic, France, Greece, Italy, Japan, Spain, the UK and the United States.

Professor Tahani has taught several courses in different business departments, such as derivative securities, corporate finance, financial mathematics, probability, statistics, optimization and linear algebra. He is the recipient of the 2007-08 Atkinson Dean's Award for Excellence in Teaching, and the 2009-10 School of Administrative Studies Teaching Award.

Degrees

PhD, HEC Montréal
DEA in Probability and Finance, Pierre and Marie Curie University, Paris
DEA in Mathematical Modeling in Economics, La Sorbonne, Paris
Engineer, École Nationale des Ponts et Chaussées, Paris

Research Interests

, Derivatives Pricing, Credit Risk, Stochastic Calculus, Personal Finance and Retirement Planning, Finance

Current Research Projects


    Project Type: Funded
    Funders:
    Junior Faculty Fund

    Project Type: Funded
    Funders:
    Minor Research Grant

    Funders:
    Junior Faculty Fund

    Funders:
    ATK Fellowship

All Publications


Journal Articles

Publication
Year

Dionne, Georges, Geneviève Gauthier, Nadia Ouertani and Nabil Tahani, “Heterogeneous Basket Options Pricing Using Analytical Approximations,” Multinational Finance Journal, 2011, Vol. 15, Iss. 1/2, pp 47-85.

2011

Tahani, Nabil and Xiaofei Li, "Pricing Interest Rate Derivatives under Stochastic Volatility," Managerial Finance, 2011, Vol. 37, Iss. 1, pp 72-91.

2011

Tahani, Nabil and Chris Robinson, "Freedom at 55 or Drudgery till 70?" Financial Services Review, 2010, Vol. 19, Iss. 4, pp 275-284

2010

Robinson, Chris and Nabil Tahani, "Sustainable Retirement Income for the Socialite, the Gardener and the Uninsured," Financial Services Review, 2010, Vol. 19, Iss. 3, pp 187-202. LEAD ARTICLE. (CFP Board Outstanding Financial Planning Paper Award, AFS 2007)

2010

Tahani, Nabil, “Credit Spread Option Valuation under GARCH,” The Journal of Derivatives, Fall 2006, Vol. 14, Iss. 1, pp 27-39.

2006

Tahani, Nabil, “Valuing Credit Derivatives Using Gaussian Quadrature: A Stochastic Volatility Framework,” The Journal of Futures Markets, Jan 2004, Vol. 24, Iss. 1, pp 3-35. LEAD ARTICLE.

2004



Upcoming Courses

Term Course Number Section Title Type
Fall 2019 AP/ADMS4504 3.0 A Fixed Income Securities & Risk Managemen LECT
Fall 2019 AP/ADMS4504 3.0 B Fixed Income Securities & Risk Managemen LECT
Fall 2019 AP/ADMS3530 3.0 F Finance LECT