Abootaleb Shirvani

Texas Tech University - Department of Mathematics and Statistics

Lubbock, TX 79409-1042

United States

SCHOLARLY PAPERS

6

DOWNLOADS

348

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (6)

1.

Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach

Number of pages: 30 Posted: 02 Mar 2020
Texas Tech University, Charles Schwab, Ludwig Maximilian University of Munich (LMU), EDHEC Business School and Texas Tech University - Department of Mathematics and Statistics
Downloads 152 (211,063)

Abstract:

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Behavioral Finance, Rational Finance

2.

Reconciling Behavioral Finance and Rational Finance

Number of pages: 38 Posted: 06 Apr 2020
Abootaleb Shirvani, Frank J. Fabozzi and Borjana Racheva-Iotova
Texas Tech University - Department of Mathematics and Statistics, EDHEC Business School and FactSet Company
Downloads 61 (384,640)
Citation 1

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Rational Dynamic Asset Pricing Theory, Behavioral Finance, Prospect Theory Value Function, Probability Weighting Function, Mixed Subordinated Variance Gamma Process

3.

Equity Premium Puzzle or Faulty Economic Modelling?

Number of pages: 13 Posted: 04 Mar 2020
Texas Tech University - Department of Mathematics and Statistics, Charles Schwab, EDHEC Business School and Texas Tech University
Downloads 55 (404,414)

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Rational Finance, Equity Premium Puzzle, Normal compound inverse Gaussian distribution

4.

A New Set of Financial Instruments

Number of pages: 20 Posted: 26 Nov 2019
Texas Tech University - Department of Mathematics and Statistics, Charles Schwab, Texas Tech University and EDHEC Business School
Downloads 45 (440,736)
Citation 1

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option pricing, hedging, Merton's jump diffusion model, stochastic volatility model, tail-loss ratio risk measure

5.

Multiple Subordinated Modeling of Asset Returns: Implications for Option Pricing

Number of pages: 36 Posted: 09 Apr 2020
Abootaleb Shirvani, Svetlozar T. Rachev and Frank J. Fabozzi
Texas Tech University - Department of Mathematics and Statistics, Texas Tech University and EDHEC Business School
Downloads 29 (513,058)

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Behavioral finance; dynamic asset pricing models; Levy-stable distribution; normal compound inverse Gaussian distribution; variance-gamma-gamma distribution

A Regulated Market Under Sanctions. On Tail Dependence Between Oil, Gold, and Tehran Stock Exchange Index

Journal of Vibration testing and System Dynamic, 3 (3) pp. 297-311 | DOI: 10.5890/JVTSD.2019.09.004, 2019
Number of pages: 18 Posted: 15 Nov 2019
Abootaleb Shirvani and Dimitri Volchenkov
Texas Tech University - Department of Mathematics and Statistics and affiliation not provided to SSRN
Downloads 6 (691,038)
Citation 1

Abstract:

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Financial Econometrics; Tehran Stock Exchange; Regulated markets; Tail Dependence

A Regulated Market Under Sanctions: On Tail Dependence Between Oil, Gold, and Tehran Stock Exchange Index

Journal of Vibration testing and System Dynamic, 3 (3) pp. 297-311 | DOI: 10.5890/JVTSD.2019.09.004.
Posted: 07 Nov 2019
Abootaleb Shirvani and Dimitri Volchenkov
Texas Tech University - Department of Mathematics and Statistics and affiliation not provided to SSRN

Abstract:

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Financial Econometrics; Tehran Stock Exchange; Regulated markets; Tail Dependence