Dr Hasan Fallahgoul

Research Overview

My research interests encompass a number of fields, but focus on financial risk management. I did my PhD, broadly speaking, on the benefits and costs of several tail risk measures based on stable, geo-stable, and tempered stable processes. I was investigating the incurrence of losses during the crises and financial market distress. The main research question was what is the effects of time-varying extreme event risk in asset markets (see my personal website for more details).

My current research interests are, broadly speaking, in the area of Asset Pricing, Financial Econometrics, Big Data, and Machine Learning. See my CV and working papers on my homepage for more details about the related projects. In October 2020, I joined the advisory board of the Journal of Financial Data Science (JFDS).

Selected Publications

[1] Fallahgoul, Hasan A ; Focardi, Sergio M ; Fabozzi, Frank J. "Fractional Calculus and Fractional Processes with Applications to Financial Economics : Theory and Application". London UK : Elsevier, 2017. 105 p.

[2] Fallahgoul, Hasan ; Loeper, Gregoire. "Modelling tail risk with tempered stable distributions : an overview". In: Annals of Operations Research. 2019. https://doi.org/10.1007/s10479-019-03204-3

[3] Fallahgoul, Hasan ; Kim, Young S ; Fabozzi, Frank J ; Park, Jiho . "Quanto Option Pricing with Lévy Models". In: Computational Economics. 2019 ; Vol. 53, No. 3. pp. 1279–1308. https://doi.org/10.1007/s10614-018-9807-8

[4] Fallahgoul, Hasan A. ; Veredas, David ; Fabozzi, Frank J. "Quantile-Based Inference for Tempered Stable Distributions". In: Computational Economics. 2019 ; Vol. 53, No. 1. pp. 51–83. https://doi.org/10.1007/s10614-017-9718-0

[5] Fallahgoul, Hassan A. ; Kim, Young S. ; Fabozzi, Frank J. "Elliptical tempered stable distribution". In: Quantitative Finance. 2016 ; Vol. 16, No. 7. pp. 1069-1087. https://doi.org/10.1080/14697688.2015.1111522