Nabil Tahani
School of Administrative Studies
Associate Professor
Phone: 416-736-2100 Ext: 22901
Email: ntahani@yorku.ca
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 MontréalDEA 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
Current Research Projects
Junior Faculty Fund
Minor Research Grant
Junior Faculty Fund
ATK Fellowship
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.
Tahani, Nabil and Xiaofei Li, "Pricing Interest Rate Derivatives under Stochastic Volatility," Managerial Finance, 2011, Vol. 37, Iss. 1, pp 72-91.
Tahani, Nabil and Chris Robinson, "Freedom at 55 or Drudgery till 70?" Financial Services Review, 2010, Vol. 19, Iss. 4, pp 275-284
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)
Tahani, Nabil, “Credit Spread Option Valuation under GARCH,” The Journal of Derivatives, Fall 2006, Vol. 14, Iss. 1, pp 27-39.
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.
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 MontréalDEA 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
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
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.
Tahani, Nabil and Xiaofei Li, "Pricing Interest Rate Derivatives under Stochastic Volatility," Managerial Finance, 2011, Vol. 37, Iss. 1, pp 72-91.
Tahani, Nabil and Chris Robinson, "Freedom at 55 or Drudgery till 70?" Financial Services Review, 2010, Vol. 19, Iss. 4, pp 275-284
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)
Tahani, Nabil, “Credit Spread Option Valuation under GARCH,” The Journal of Derivatives, Fall 2006, Vol. 14, Iss. 1, pp 27-39.
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.
