Nabil Tahani, CV 1 Nabil Tahani, Ph.D. Associate Professor of Finance Engineer in Applied Mathematics and Computer Science School of Administrative Studies, Faculty of Liberal Arts and Professional Studies, York University 4700 Keele Street, Toronto, ON, M3J 1P3, Canada Tel: (416) 736-2100 Ext 22901 Email: ntahani@yorku.ca Website: http://www.yorku.ca/ntahani/ 2009/10-2011/14 School of Administrative Studies Teaching Award 2007/08 CFP Board Outstanding Financial Planning Paper Award 2007/08 Atkinson Dean's Award for Excellence in Teaching ACADEMIC EXPERIENCE This CV is current as of November 2014. 2004 Present School of Administrative Studies, York University Toronto, Associate Professor of Finance (with tenure since 2009) Ontario Assistant Professor of Finance (2004-2009) Feb Mar 2012 Amsterdam Business School, University of Amsterdam Visiting Professor (Finance Group) Amsterdam, Netherlands 1999 2004 HEC Montréal Montreal, Lecturer in Finance and Management Science Quebec EDUCATION 1998 2005 HEC Montréal, Department of Finance Montreal, Canada Research Chair in Risk Management Quebec Ph.D. in Finance Ph.D. Thesis Three Essays on Credit Derivatives Pricing. Thesis supervisor: Professor Georges Dionne. 1996 1997 Sorbonne University, Paris I Paris, DEA (M.Sc.) in Mathematical Modeling in Economics France M.Sc. Thesis Volatility Forecast with Neural Networks and Derivatives Pricing. Thesis supervisor: Professor Isabelle Nagot. 1994 1995 Pierre and Marie Curie University, Paris VI Paris, DEA (M.Sc.) in Probability and Finance France M.Sc. Thesis Comparison of Different Options Pricing Models. Thesis supervisor: Professor Nicole El Karoui.
Nabil Tahani, CV 2 1991 1995 École Nationale des Ponts et Chaussées Paris, Top 5 of Grandes Écoles in France France Engineering Degree in Applied Mathematics and Computer Science. 1988 1991 Lycée Mohammed V Casablanca, Preparatory Classes to Grandes Écoles Scientifiques Morocco Concentration in Mathematics. RESEARCH Refereed Publications 7- Tahani, Nabil, Exotic Geometric Average Options Pricing under Stochastic Volatility, Applied Mathematical Finance, 2012, (DOI: 10.1080/1350486X.2012.678735) 6- 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, pp47-85. 5- Tahani, Nabil and Xiaofei Li, Pricing Interest Rate Derivatives under Stochastic Volatility, Managerial Finance, 2011, Vol. 37, Iss. 1, pp72-91. 4- Tahani, Nabil and Chris Robinson, Freedom at 55 or Drudgery till 70? Financial Services Review, 2010, Vol. 19, Iss. 4, pp275-284. LEAD ARTICLE. 3- Robinson, Chris and Nabil Tahani, Sustainable Retirement Income for the Socialite, the Gardener and the Uninsured, Financial Services Review, 2010, Vol. 19, Iss. 3, pp187-202 (CFP Board Outstanding Financial Planning Paper Award, Academy of Financial Services 2007 conference, Orlando). LEAD ARTICLE. 2- Tahani, Nabil, Credit Spread Option Valuation under GARCH, The Journal of Derivatives, Fall 2006, Vol. 14, Iss. 1, pp27-39. 1- Tahani, Nabil, Valuing Credit Derivatives Using Gaussian Quadrature: A Stochastic Volatility Framework, The Journal of Futures Markets, Jan 2004, Vol. 24, Iss. 1, pp3-35. LEAD ARTICLE. Working Papers 1- Tahani, Nabil, (April 2005), Exotic Options Pricing under Stochastic Volatility, Working paper 05-01, Canada Research Chair in Risk Management, ISSN 1206-3304. Work in progress 5- Tahani, Nabil and Xiaofei Li, (September 2014), Pricing Inflation-Linked Securities in a GARCH Framework.
Nabil Tahani, CV 3 4- Tahani, Nabil, (September 2013), Pricing of Life Annuities in a Stochastic Framework. 3- Li, Xiaofei and Nabil Tahani, (January 2011), Pricing Interest Rate Derivatives under Multi-Factor GARCH. 2- Tahani, Nabil, (October 2010), Path-Dependent Options Pricing under Stochastic Volatility. 1- Tahani, Nabil, (March 2010), Guaranteed Annuity Options Pricing under Stochastic Volatility. ACADEMIC GRANTS AND AWARDS 2014 SSHRC Grant for Travel, York University 2013 SSHRC Grant for Travel, York University 2013 Faculty of LA&PS International Conference Travel Fund 2012 SSHRC Grant for Travel, York University 2012 Faculty of LA&PS International Conference Travel Fund 2012 Minor Research Grant from the faculty of LA&PS, York University 2011 SSHRC Grant for Travel, York University 2010 SSHRC Grant for Travel, York University 2008 SSHRC Grant for Travel, York University 2008 Junior Faculty Grant from Atkinson Faculty, York University 2008 Minor Research Grant from Atkinson Faculty, York University 2007 CFP Board Outstanding Financial Planning Paper Award 2007 SSHRC Grant for Travel, York University 2007 2008 Atkinson Research Fellowship 2006 SSHRC Grant for Travel, York University 2006 Junior Faculty Grant from Atkinson Faculty, York University 2005 SSHRC Grant for Travel, York University 2005 Junior Faculty Grant from Atkinson Faculty, York University 2004 Grant for publication, Ph.D. program, HEC Montréal ($6,000) 2003 2004 Grant of excellence, Centre for Research on e-finance, HEC Montréal 2001 2002 SSHRC Doctoral Fellowship ($20,000) 2001 Grant of Excellence of the 21 th century, HEC Montréal 2000 2001 FQRSC Doctoral Fellowship ($20,000) (Quebec Funds for Research) 1998 2003 Grant from Canada Research Chair in Risk Management, HEC Montréal 1991 1995 Scholarship Grant from French government for foreign engineering students CONFERENCES AND SEMINARS 2014 Academy of Financial Services, Nashville, USA, Pricing Inflation-Linked Securities in a GARCH Framework, October 2014 (with Xiaofei Li)
Nabil Tahani, CV 4 2013 Academy of Financial Services, Chicago, USA, Comprehensive Planning for a Stochastic Retirement, October 2013 (with Chris Robinson) Academy of Financial Services, Chicago, USA, Pricing of Life Annuities in a Stochastic Framework, October 2013 ASAC 2013 Conference, Calgary, Canada, Pricing Interest Rate Derivatives under Multi- Factor GARCH, June 2013 (with Xiaofei Li) HEC Montréal, Montreal, Canada, Third Annual Workshop in Mathematical Finance, May 2013 (workshop for Master and Ph.D. students from HEC Montréal, UQAM, Concordia University and McGill University) 2012 Multinational Finance Society, Krakow, Poland, Pricing Interest Rate Derivatives under Multi-Factor GARCH, June 2012 (with Xiaofei Li) HEC Montréal, Montreal, Canada, Second Annual Workshop in Mathematical Finance, May 2012 (workshop for Master and Ph.D. students from HEC Montréal, UQAM, Concordia University and McGill University) HEC Montréal Seminar, Montreal, Canada, Pricing Interest Rate Derivatives under Multi-Factor GARCH, May 2012 (with Xiaofei Li) University Amsterdam (VU) Seminar, Amsterdam, Netherlands, Exotic Geometric Average Options Pricing under Stochastic Volatility, March 2012 2011 Academy of Financial Services, Las Vegas, USA, Sustainable Retirement Income with Mean Reverting Consumption, October 2011 (with Chris Robinson) Multinational Finance Society, Rome, Italy, Path-Dependent Options Pricing under Stochastic Volatility, June 2011 HEC Montréal, Montreal, Canada, First Annual Workshop in Mathematical Finance, June 2011 (workshop for Master and Ph.D. students from HEC Montréal, UQAM, Concordia University and McGill University) HEC Montréal Seminar, Montreal, Canada, Exotic Geometric Average Options Pricing under Stochastic Volatility, May 2011 2010 Multinational Finance Society, Barcelona, Spain, Exotic Geometric Average Options Pricing under Stochastic Volatility, June 2010
Nabil Tahani, CV 5 2009 IFID Conference on Retirement Income Analytics, Toronto, Canada, Targeting Retirement Odds: Better Approximations with Higher Sustainability November 2009 (with Chris Robinson) Academy of Financial Services, Anaheim, USA, Pricing Interest Rate Derivatives under Stochastic Volatility October 2009 (with Xiaofei Li) 2008 Academy of Financial Services, Boston, USA, Freedom at 55 or Drudgery till 70? October 2008 (with Chris Robinson) Bachelier Finance Society 5 th World Congress, London, UK, Pricing Interest Rate Derivatives under Stochastic Volatility, July 2008 (with Xiaofei Li) European Financial Management Association Conference, Athens, Greece, Pricing Interest Rate Derivatives under Stochastic Volatility, June 2008 (with Xiaofei Li) FMA International, Prague, Czech Republic, Geometric Average Options Pricing under Stochastic Volatility, June 2008 2007 Academy of Financial Services, Orlando, USA, Sustainable Retirement Income for the Socialite, the Gardener and the Uninsured, October 2007 (CFP Board Outstanding Financial Planning Paper Award) (with Chris Robinson) Northern Finance Association Conference, Toronto, Canada, Pricing Interest Rate Derivatives under Stochastic Volatility, September 2007 (with Xiaofei Li) AFFI International Conference, Bordeaux, France, Pricing Interest Rate Derivatives under Stochastic Volatility, June 2007 (with Xiaofei Li) Optimization Days, Montreal, Canada, Pricing Interest Rate Derivatives under Stochastic Volatility, May 2007 (with Xiaofei Li) 2006 Bachelier Finance Society 4 th World Congress, Tokyo, Japan, Exotic Options Pricing under Stochastic Volatility, August 2006 European Financial Management Association Conference, Madrid, Spain, Heterogeneous Basket Options Pricing Using Analytical Approximations, June 2006 Conference of the Swiss Society for Financial Market Research, Zürich, Switzerland, Heterogeneous Basket Options Pricing Using Analytical Approximations, April 2006 2005 Australasian Finance and Banking Conference, Sydney, Australia, Heterogeneous Basket Options Pricing Using Analytical Approximations, December 2005
Nabil Tahani, CV 6 FMA 2005 Annual Meeting, Chicago, USA, Exotic Options Pricing under Stochastic Volatility, October 2005 Northern Finance Association Conference, Vancouver, Canada, Heterogeneous Basket Options Pricing Using Analytical Approximations, September 2005 European Financial Management Association Conference, Milan, Italy, Exotic Options Pricing under Stochastic Volatility, June 2005 ASAC 2005 Conference, Toronto, Canada, Exotic Options Pricing under Stochastic Volatility, May 2005 Schulich School of Business Seminars, Toronto, Canada, Exotic Options Pricing under Stochastic Volatility, February 2005 2004 Northern Finance Association Conference, St. John s NFLD, Canada, Exotic Options Pricing under Stochastic Volatility, September 2004 AFFI International Conference, Cergy-Pontoise, France, Exotic Options Pricing under Stochastic Volatility, June 2004 44 th Société Canadienne de Science Économique Annual Meeting, Quebec, Canada, Exotic Options Pricing under Stochastic Volatility, May 2004 Optimization Days, Montreal, Canada, Exotic Options Pricing under Stochastic Volatility, May 2004 2003 Northern Finance Association Conference, Quebec, Canada, Valuing Credit Derivatives Using Gaussian Quadrature: A Stochastic Volatility Framework, September 2003 AFFI International Conference, Lyon, France, Valuing Credit Derivatives Using Gaussian Quadrature: A Stochastic Volatility Framework, June 2003 43 th Société Canadienne de Science Économique Annual Meeting, Montreal, Canada, Valuing Credit Derivatives Using Gaussian Quadrature: A Stochastic Volatility Framework, May 2003 Optimization Days, Montreal, Canada, Valuing Credit Derivatives Using Gaussian Quadrature: A Stochastic Volatility Framework, May 2003 2002 Quantitative and Mathematical Finance Conference, Sydney, Australia, Valuing Credit Derivatives Using Gaussian Quadrature: A Stochastic Volatility Framework, December 2002 CIRPÉE 2002 Conference, Montreal, Canada, Valuing Credit Derivatives Using Gaussian Quadrature: A Stochastic Volatility Framework, November 2002
Nabil Tahani, CV 7 HEC Montréal Brown Bag Seminar, Montreal, Canada, Valuing Credit Derivatives Using Gaussian Quadrature: A Stochastic Volatility Framework, September 2002 2001 2000 Northern Finance Association Conference, Halifax, Canada, Credit Spread Option Valuation under GARCH, September 2001 40 th Société Canadienne de Science Économique Annual Meeting, Montreal, Canada, Credit Spread Option Valuation under GARCH, May 2000 Optimization Days, Montreal, Canada, Credit Spread Option Valuation under GARCH, May 2000 ACADEMIC SERVICE Graduate Students Supervision - Boyukagha Aghayev, Testing for Turkish Stock Market Integration using Traditional and RegimeSswitching Cointegration Tests, University of Amsterdam, Faculty of Economics and Business, Spring 2012 - Panagiota Bakali, Financial Co-movement in the EMU and Portfolio Diversification Opportunities, University of Amsterdam, Faculty of Economics and Business, Spring 2012 - Anne Rose Dingemans, Dynamic Conditional Correlation Analysis of Financial Contagion: Evidence from European Markets, University of Amsterdam, Faculty of Economics and Business, Spring 2012 - Christopher Haas, Implications for International Asset Allocation by Analyzing the Relative Importance of Industry and Country Factors in Equity Returns, University of Amsterdam, Faculty of Economics and Business, Spring 2012 Theses Committees - Haohan Huang, Theoretical and Computational Analysis of Credit and Liquidity Risk with Multiple Defaults, Department of Mathematics and Statistics, York University, December 2014, Outside examiner - Yun Qiao, Pricing and Hedging Guaranteed Lifetime Withdrawal Benefits, Department of Mathematics and Statistics, York University, April 2012, Outside examiner Ad-Hoc Journal Refereeing - The Journal of Futures Markets - The Financial Analysts Journal - The Journal of Pension Economics and Finance - The Journal of Risk and Insurance
Nabil Tahani, CV 8 Academic Membership - Academy of Financial Services - Financial Management Association - European Financial Management Association - Multinational Finance Society - Northern Finance Association - French Finance Association (AFFI) Session Organizer - Financial Engineering session for Optimization Days, Montreal, Canada, May 2006 - Financial Engineering session for Optimization Days, Montreal, Canada, May 2005 Discussion - Multinational Finance Society, Rome, Italy, June 2011 - Multinational Finance Society, Barcelona, Spain, June 2010 - European Financial Management Association, Athens, Greece, June 2008 - FMA Europe, Prague, Czech Republic, June 2008 - Academy of Financial Services, Orlando, USA, October 2007 - Northern Finance Association, Toronto, Canada, September 2007 - AFFI International Conference, Bordeaux, France, June 2007 - European Financial Management Association, Madrid, Spain, June 2006 - Financial Management Association, Chicago, Illinois, October 2005 - Northern Finance Association, Vancouver, Canada, September 2005 - European Financial Management Association, Milan, Italy, June 2005 - AFFI International Conference, Paris, France, June 2004 Session Chair - European Financial Management Association, Madrid, Spain, June 2006 - FMA Annual Meeting, Chicago, USA, October 2005 - Optimization Days, Montreal, Canada, May 2004 - Quantitative and Mathematical Finance Conference, Sydney, Australia, Dec 2002 University/School Service - Coordinator of the Finance Area, 2013 2015 - Member, Finance Hiring Committee (Tenure Track Position), 2012 2013 - Member, Teaching and Learning Committee, 2008 2010 - Member, Awards Committee, 2008 2010 - Member, Communications and External Relations Committee, 2006 2008 - Member, Master of Wealth Management Program Design Committee, 2005 - Member, Finance Hiring Committee (CLA Position), 2007 2008 - Design and development of the Finance area website, 2006 - Member, Finance Hiring Committee (Tenure Track Position), 2004 2005
Nabil Tahani, CV 9 TEACHING Teaching Awards 2012 2013 School of Administrative Studies Award for Excellence in Teaching 2011 2012 School of Administrative Studies Award for Excellence in Teaching 2009 2010 School of Administrative Studies Award for Excellence in Teaching 2007 2008 Atkinson Faculty Dean s Award for Excellence in Teaching Amsterdam Business School, University of Amsterdam Feb/Mar 2012 Fixed Income Securities and Risk Management (Master) Atkinson School of Administrative Studies, York University 2011 2012 Controls and Risk Management (Master of Financial Accountability) 2010 2012 Fixed Income Securities and Risk Management (Undergraduate) 2004 2014 Derivative Securities (Undergraduate) 2004 2010 Finance (Undergraduate) HEC Montréal 2000 2004 Probability and Statistics (Undergraduate) Modeling and Optimization (Undergraduate) Mathematical Finance (Undergraduate) 1999 2000 Mathematics of Interest Rates (MBA) Basic Corporate Finance (Undergraduate) Investment (Undergraduate) OTHER PROFESSIONAL EXPERIENCE May 1997 Oct 1997 Capital Markets, R&D, Natexis Bank, Paris Mission Volatility forecast with neural networks and derivatives pricing Feb 1997 Apr 1997 Commerz Financial Products, CommerzBank, Paris Mission Implementation of a graphic module for exotic options and automation of an interest rate database update Apr 1995 Sep 1995 Capital Markets, R&D, Crédit Lyonnais Bank, Paris Mission Comparison of different options pricing models Oct 1993 Jun 1994 Financial Engineering, Société Générale Bank, Paris Mission Development of a pricing and risk analysis tool for Quanto-Swaps LANGUAGES, COMPUTER SKILLS and HOBBIES English (fluent), French (bilingual) and Arabic (native)
Nabil Tahani, CV 10 Matlab, Maple, Mathematica, Scientific Workplace, Minitab, Microsoft Office, C/C++ Chess, Soccer, Cinema, Literature, Travel