12 citations · 32 across the 26 of their papers we have counts for
33 papers
Portfolio Optimization under Heavy Tails and Asymmetric Volatility: Evidence from Taiwan-Exposed ETFs
Ting-Jung Lee, Abootaleb Shirvani, Farzana Afroz +2
Taiwan's central role in global semiconductor manufacturing exposes Taiwan-related ETFs to technology concentration, geopolitical uncertainty, and supply-chain disruptions, resulti…
Portfolio Optimization and Tail-Risk Analytics of Actively Managed ETFs
William W. Lamptey, Nicholas Appiah, Abootaleb Shirvani +3
This paper examines portfolio optimization and tail-risk analytics for a heterogeneous universe of actively managed investment funds. Using daily Bloomberg data for 30 funds from 4…
Innovative Extensions to Option Pricing: Asymmetric Brownian Motion and Random Walk Approaches
Jagdish Gnawali, Abootaleb Shirvani, Dilmi C. W. Hettiachchi-Halpe-Kankanamalage +3
Classical option pricing models, such as Bachelier and Black--Scholes--Merton, postulate symmetric Brownian diffusion, which limits their capacity to reflect empirical phenomena in…
Option-Implied Zero-Coupon Yields: Unifying Bond and Equity Markets
Ting-Jung Lee, W. Brent Lindquist, Svetlozar T. Rachev +1
This paper addresses a critical inconsistency in models of the term structure of interest rates (TSIR), where zero-coupon bonds are priced under risk-neutral measures distinct from…
Performance and Risk Analytics of Asian Exchange-Traded Funds
Bhathiya Divelgama, Nancy Asare Nyarko, Naa Sackley Dromo Aryee +2
Investing in Asian markets through exchange-traded funds (ETFs) provides investors with access to rapidly expanding economies and valuable diversification opportunities. This study…
Behavioral Probability Weighting and Portfolio Optimization under Semi-Heavy Tails
Ayush Jha, Abootaleb Shirvani, Ali M. Jaffri +2
This paper develops a unified framework that integrates behavioral distortions into rational portfolio optimization by extracting implied probability weighting functions (PWFs) fro…
Implied Probabilities and Volatility in Credit Risk: A Merton-Based Approach with Binomial Trees
Jagdish Gnawali, Abootaleb Shirvani, Svetlozar T. Rachev
We explore credit risk pricing by modeling equity as a call option and debt as the difference between the firm's asset value and a put option, following the structural framework of…
Winners vs. Losers: Momentum-based Strategies with Intertemporal Choice for ESG Portfolios
Ayush Jha, Abootaleb Shirvani, Ali Jaffri +2
This paper introduces a state-dependent momentum framework that integrates ESG regime switching with tail-risk-aware reward-risk metrics. Using a dynamic programming approach and s…
Multivariate Affine GARCH with Heavy Tails: A Unified Framework for Portfolio Optimization and Option Valuation
Ayush Jha, Abootaleb Shirvani, Ali Jaffri +2
This paper develops and estimates a multivariate affine GARCH(1,1) model with Normal Inverse Gaussian innovations that captures time-varying volatility, heavy tails, and dynamic co…
Advancing Portfolio Optimization: Adaptive Minimum-Variance Portfolios and Minimum Risk Rate Frameworks
Ayush Jha, Abootaleb Shirvani, Ali Jaffri +2
This study presents the Adaptive Minimum-Variance Portfolio (AMVP) framework and the Adaptive Minimum-Risk Rate (AMRR) metric, innovative tools designed to optimize portfolios dyna…
Optimizing Portfolios with Pakistan-Exposed ETFs: Risk and Performance Insight
Ali Jaffri, Abootaleb Shirvani, Ayush Jha +2
This study examines the investment landscape of Pakistan as an emerging and frontier market, focusing on implications for international investors, particularly those in the United…
Risk-Adjusted Performance of Random Forest Models in High-Frequency Trading
Akash Deep, Abootaleb Shirvani, Chris Monico +2
Because of the theoretical challenges posed by the Efficient Market Hypothesis to technical analysis, the effectiveness of technical indicators in high-frequency trading remains in…
Beyond the Traditional VIX: A Novel Approach to Identifying Uncertainty Shocks in Financial Markets
Ayush Jha, Abootaleb Shirvani, Svetlozar T. Rachev +1
We introduce a new identification strategy for uncertainty shocks to explain macroeconomic volatility in financial markets. The Chicago Board Options Exchange Volatility Index (VIX…
Beyond the Bid-Ask: Strategic Insights into Spread Prediction and the Global Mid-Price Phenomenon
Yifan He, Abootaleb Shirvani, Barret Shao +2
This research extends the conventional concepts of the bid--ask spread (BAS) and mid-price to include the total market order book bid--ask spread (TMOBBAS) and the global mid-price…
The Financial Market of Environmental Indices
Thisari K. Mahanama, Abootaleb Shirvani, Svetlozar Rachev +1
This paper introduces the concept of a global financial market for environmental indices, addressing sustainability concerns and aiming to attract institutional investors. Risk mit…
The Financial Market of Indices of Socioeconomic Wellbeing
Thilini V. Mahanama, Abootaleb Shirvani, Svetlozar Rachev
The financial industry should be involved in mitigating the risk of downturns in the financial wellbeing indices around the world by implementing well-developed financial tools suc…
Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes
Abootaleb Shirvani, Stefan Mittnik, W. Brent Lindquist +1
We propose a doubly subordinated Levy process, NDIG, to model the time series properties of the cryptocurrency bitcoin. NDIG captures the skew and fat-tailed properties of bitcoin…
Market Complete Option Valuation using a Jarrow-Rudd Pricing Tree with Skewness and Kurtosis
Yuan Hu, Abootaleb Shirvani, W. Brent Lindquist +2
Applying the Cherny-Shiryaev-Yor invariance principle, we introduce a generalized Jarrow-Rudd (GJR) option pricing model with uncertainty driven by a skew random walk. The GJR pric…
Global Index on Financial Losses due to Crime in the United States
Thilini Mahanama, Abootaleb Shirvani, Svetlozar Rachev
Crime can have a volatile impact on investments. Despite the potential importance of crime rates in investments, there are no indices dedicated to evaluating the financial impact o…
Option Pricing Incorporating Factor Dynamics in Complete Markets
Yuan Hu, Abootaleb Shirvani, W. Brent Lindquist +2
Using the Donsker-Prokhorov invariance principle we extend the Kim-Stoyanov-Rachev-Fabozzi option pricing model to allow for variably-spaced trading instances, an important conside…
A Natural Disasters Index
Thilini V. Mahanama, Abootaleb Shirvani
Natural disasters, such as tornadoes, floods, and wildfire pose risks to life and property, requiring the intervention of insurance corporations. One of the most visible consequenc…
Option Pricing in Markets with Informed Traders
Yuan Hu, Abootaleb Shirvani, Stoyan Stoyanov +3
The objective of this paper is to introduce the theory of option pricing for markets with informed traders within the framework of dynamic asset pricing theory. We introduce new mo…
Rational Finance Approach to Behavioral Option Pricing
Jiexin Dai, Abootaleb Shirvani, Frank J. Fabozzi
When pricing options, there may be different views on the instantaneous mean return of the underlying price process. According to Black (1972), where there exist heterogeneous view…
Choosing the Right Return Distribution and the Excess Volatility Puzzle
Abootaleb Shirvani, Frank J. Fabozzi
Proponents of behavioral finance have identified several "puzzles" in the market that are inconsistent with rational finance theory. One such puzzle is the "excess volatility puzzl…