Research Output per year
Research Output per year
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
Network
Recent external collaboration on country level. Dive into details by clicking on the dots.
Research Output
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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 journal › Article › Research › peer-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 journal › Article › Research › peer-review
2 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 journal › Article › Research › peer-review
6 Citations (Scopus) -
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/Report › Book › Research › peer-review
25 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 journal › Article › Research › peer-review
7 Citations (Scopus)