Hasan Fallahgoul

Monash University

Clayton Campus

Victoria, 3800

Australia

http://www.hfallahgoul.com

SCHOLARLY PAPERS

10

DOWNLOADS

754

SSRN CITATIONS

4

CROSSREF CITATIONS

1

Scholarly Papers (10)

1.

Inside the Mind of Investors During the COVID-19 Pandemic: Evidence from the StockTwits Data

Number of pages: 33 Posted: 24 Apr 2020 Last Revised: 26 May 2020
Hasan Fallahgoul
Monash University
Downloads 208 (159,765)

Abstract:

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Sentiment, Disagreement, Stock Market, COVID-19 Pandemic

2.

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 (236,204)
Citation 2

Abstract:

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

3.

Model Risk and Disappointment Aversion

Swiss Finance Institute Research Paper No. 18-65
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 Charles Schwab
Downloads 123 (247,680)
Citation 1

Abstract:

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

4.

Risk Premia and Lévy Jumps: Theory and Evidence

Swiss Finance Institute Research Paper No. 19-49
Number of pages: 44 Posted: 12 Feb 2019 Last Revised: 05 Mar 2020
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 117 (257,134)
Citation 3

Abstract:

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

5.

Towards Explaining Deep Learning: Asymptotic Properties of ReLU FFN Sieve Estimators

Number of pages: 42 Posted: 27 Dec 2019 Last Revised: 07 Mar 2020
Hasan Fallahgoul, Vincentius Franstianto and Gregoire Loeper
Monash University, Monash University and Monash University - School of Mathematical Sciences
Downloads 79 (332,188)
Citation 1

Abstract:

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Deep Learning, Neural Networks, Rectified Linear Unit, Sieve Estimators, Consistency, Rate of Convergence

6.

Correlated Time-Changed Lévy Processes

Number of pages: 47 Posted: 18 Aug 2018 Last Revised: 11 Jan 2020
Hasan Fallahgoul and Kihun Nam
Monash University and Monash University
Downloads 44 (441,700)

Abstract:

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Jumps, Time Changes, Business Time

7.

Towards Explaining Deep Learning: Significance Tests for Multi-Layer Perceptrons

Number of pages: 33 Posted: 03 Apr 2020
Hasan Fallahgoul and Vincentius Franstianto
Monash University and Monash University
Downloads 31 (499,266)

Abstract:

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Neural Networks, Significant Test, Asymptotic Distribution

8.

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 21 (556,797)

Abstract:

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

9.

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

10.

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