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Hasan A. Fallahgoul
Hasan A. Fallahgoul
Verified email at monash.edu - Homepage
Title
Cited by
Cited by
Year
Fractional Calculus and Fractional Processes with Applications to Financial Economics
H Fallahgoul, S Focardi, F Fabozzi
Elsevier, Academic Press, 2016
189*2016
Inside the mind of investors during the COVID-19 pandemic: Evidence from the StockTwits data
H Fallahgoul
arXiv preprint arXiv:2004.11686, 2020
292020
Modelling tail risk with tempered stable distributions: an overview
H Fallahgoul, G Loeper
Annals of Operations Research 299, 1253-1280, 2021
232021
Quanto Option Pricing with Lévy Models
H Fallahgoul, A Kim, FJ Fabozzi, J Park
152016
Elliptical tempered stable distribution
HA Fallahgoul, YS Kim, FJ Fabozzi
Quantitative Finance 16 (7), 1069-1087, 2016
132016
Quantile-based inference for tempered stable distributions
HA Fallahgoul, D Veredas, FJ Fabozzi
Computational Economics 53, 51-83, 2019
11*2019
Risk premia and Lévy jumps: theory and evidence
H Fallahgoul, J Hugonnier, L Mancini
Journal of Financial Econometrics 21 (3), 810-851, 2023
82023
Time-changed\levy processes and option pricing: a critical comment
H Fallahgoul, K Nam
arXiv preprint arXiv:1907.00149, 2019
8*2019
Improving the solution of nonlinear Volterra integral equations using rationalized Haar s-functions
SM Hashemiparast, M Sabzevari, H Fallahgoul
Vietnam Journal of Mathematics 39, 145-157, 2011
72011
Towards Explaining Deep Learning: Asymptotic Properties of ReLU FFN Sieve Estimators
H Fallahgoul, V Franstianto, G Loeper
Available at SSRN, 2019
6*2019
Approximation of Stable and Geometric Stable Distribution
H Fallahgoul, SM Hashemiparast, YS Kim, S Rachev, FJ Fabozzi
Journal of Statistical and Econometric Methods 1 (3), 2012
62012
Towards explaining the ReLU feed-forward network
H Fallahgoul, V Franstianto, G Loeper
Available at SSRN 10, 2019
52019
Fractional partial differential equation and option pricing
HA Fallahgoul, SM Fabozzi, FJ Frank
Fractional Calculus and Fractional Processes with Applications to Financial …, 2017
52017
Multivariate stable distributions and generating densities
H Fallahgoul, SM Hashemiparast, FJ Fabozzi, YS Kim
Applied Mathematics Letters 26 (3), 324-329, 2012
52012
Modified Gauss quadrature for ill-posed integral transform
SM Hashemiparast, H Fallahgoul
International Journal of Mathematics and Computation 13 (D11), 2011
52011
Asset pricing with neural networks: Significance tests
H Fallahgoul, V Franstianto, X Lin
Journal of Econometrics 238 (1), 105574, 2024
42024
Time changes, Lévy jumps, and asset returns
H Fallahgoul, J Hugonnier, L Mancini
CQFIS working paper, 2018
42018
Analytical-numeric formulas for the probability density function of multivariate stable and geo-stable distributions
H Fallahgoul, SM Hashemiparast, FJ Fabozzi, L Klebanov
Journal of Statistical Theory and Practice 8, 260-282, 2014
42014
Approximation of Laplace transform of fractional derivatives via Clenshaw–Curtis integration
SM Hashemiparast, H Fallahgoul
International Journal of Computer Mathematics 88 (6), 1224-1238, 2011
42011
3-fractional Brownian motion
HA Fallahgoul, SM Focardi, FJ Fabozzi
Fractional calculus and fractional processes with applications to financial …, 2017
32017
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Articles 1–20