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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!

Research area keywords

  • Financial Econometrics
  • Quantitative Finance
  • Tail Risk

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Research Output 2009 2019

Modelling tail risk with tempered stable distributions: an overview

Fallahgoul, H. & Loeper, G., 1 Jan 2019, (Accepted/In press) In : Annals of Operations Research.

Research output: Contribution to journalArticleResearchpeer-review

2 Citations (Scopus)

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

4 Citations (Scopus)

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

5 Citations (Scopus)

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