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Personal profile

Biography

I am the Senior Lecturer of Quantitative Finance at the School of Mathematical Sciences at the Monash University. Before, I was a Post-Doctoral researcher at the Swiss Finance Institute at EPFL , EPFL and the European Center for Advanced Research in Economics and Statistics (ECARES), Free University of Brussels, Belgium.

Please visit my personal homepage for detailed informaiton about my research!

Keywords

  • Financial Econometrics
  • Quantitative Finance
  • Tail Risk

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Research Output 2009 2019

Quantile-Based Inference for Tempered Stable Distributions

Fallahgoul, H. A., Veredas, D. & Fabozzi, F. J., Jan 2019, In : Computational Economics. 53, 1, p. 51–83 33 p.

Research output: Contribution to journalArticleResearchpeer-review

Quanto Option Pricing with Lévy Models

Fallahgoul, H., Kim, Y. S., Fabozzi, F. J. & Park, J., Mar 2019, In : Computational Economics. 53, 3, p. 1279–1308 30 p.

Research output: Contribution to journalArticleResearchpeer-review

Fractional Calculus and Fractional Processes with Applications to Financial Economics: Theory and Application

Fallahgoul, H. A., Focardi, S. M. & Fabozzi, F. J., 2017, London UK: Elsevier. 105 p.

Research output: Book/ReportBookResearchpeer-review

Elliptical tempered stable distribution

Fallahgoul, H. A., Kim, Y. S. & Fabozzi, F. J., 2 Jul 2016, In : Quantitative Finance. 16, 7, p. 1069-1087 19 p.

Research output: Contribution to journalArticleResearchpeer-review

Analytical-numeric formulas for the probability density function of multivariate stable and geo-stable distributions

Fallahgoul, H., Hashemiparast, S. M., Fabozzi, F. J. & Klebanov, L., 3 Apr 2014, In : Journal of Statistical Theory and Practice. 8, 2, p. 260-282 23 p.

Research output: Contribution to journalArticleResearchpeer-review