Hasan Fallahgoul

Monash University

Clayton Campus

Victoria, 3800

Australia

http://www.hfallahgoul.com

SCHOLARLY PAPERS

8

DOWNLOADS

349

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (8)

1.

Quantile-Based Inference for Tempered Stable Distributions

Number of pages: 25 Posted: 20 Jun 2015 Last Revised: 12 Jul 2016
Hasan Fallahgoul, David Veredas and Frank J. Fabozzi
Monash University, Vlerick Business School and EDHEC Business School
Downloads 131 (219,688)
Citation 1

Abstract:

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heavy tailed distribution, tempered stable distribution, method of simulated quantiles

2.

Model Risk and Disappointment Aversion

Swiss Finance Institute Research Paper No. 18-65, 31st Australasian Finance and Banking Conference 2018
Number of pages: 60 Posted: 30 Jul 2018 Last Revised: 01 Oct 2019
Hasan Fallahgoul, Loriano Mancini and Stoyan V. Stoyanov
Monash University, USI Lugano - Institute of Finance and Stony Brook University
Downloads 102 (263,474)

Abstract:

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model risk, choice under uncertainty, optimal portfolios, generalized disappointment aversion, higher-order moments

3.

Risk Premia and Lévy Jumps: Theory and Evidence

Swiss Finance Institute Research Paper No. 19-49
Number of pages: 57 Posted: 12 Feb 2019 Last Revised: 28 Sep 2019
Hasan Fallahgoul, Julien Hugonnier and Loriano Mancini
Monash University, Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne and USI Lugano - Institute of Finance
Downloads 58 (365,275)

Abstract:

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Lévy jumps, time changes, tempered stable law, time series, option pricing

4.

Correlated Time-Changed Lévy Processes

Number of pages: 43 Posted: 18 Aug 2018 Last Revised: 15 Jun 2019
Hasan Fallahgoul and Kihun Nam
Monash University and Monash University
Downloads 28 (480,807)

Abstract:

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Jumps, Time Changes, Business Time

5.

Time-Changed Lévy Processes and Option Pricing: A Critical Comment

Number of pages: 7 Posted: 20 Jun 2019
Hasan Fallahgoul and Kihun Nam
Monash University and Monash University
Downloads 18 (537,674)

Abstract:

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Lévy process, time changes, asset returns

6.

Modeling Tail Risk with Tempered Stable Distributions: An Overview

Number of pages: 50 Posted: 03 Dec 2018
Hasan Fallahgoul and Gregoire Loeper
Monash University and Monash University - School of Mathematical Sciences
Downloads 12 (574,048)

Abstract:

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tail risk, stable distribution, tempered stable distribution, Lévy processes

7.

Online Appendix to: Quanto Option Pricing with Lévy Models

Posted: 10 Jul 2016 Last Revised: 02 Apr 2018
Hasan Fallahgoul, Young Shin Kim, Frank J. Fabozzi and Jiho Park
Monash University, State University of New York, SUNY at Stony Brook University, College of Business, EDHEC Business School and State University of New York, SUNY at Stony Brook University, College of Business

Abstract:

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Quanto option pricing, L'evy process, stable and tempered stable process, subordinator

8.

Quanto Option Pricing with Lévy Models

Posted: 20 Jun 2016 Last Revised: 02 Apr 2018
Hasan Fallahgoul, Young Shin Kim, Frank J. Fabozzi and Jiho Park
Monash University, State University of New York, SUNY at Stony Brook University, College of Business, EDHEC Business School and State University of New York, SUNY at Stony Brook University, College of Business

Abstract:

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Quanto option pricing, L'evy process, stable and tempered stable process, subordinator