Author Page for Hélyette Geman

1.

Understanding the Fine Structure of Electricity Prices

Journal of Business, Vol. 79, No. 3, 2006

Number of pages: 74 Posted: 31 Dec 2004

Hélyette Geman and Andrea Roncoroni

University of London - Economics, Mathematics and Statistics and ESSEC Business School

Downloads 2,322 (6,280)

Citation 6

Abstract:

2.

Stochastic Volatility for Levy Processes

EFA 2002 Berlin Meetings Presented Paper

Number of pages: 35 Posted: 04 Jun 2002

Peter Carr, Hélyette Geman, Dilip B. Madan and Marc Yor

New York University Finance and Risk Engineering, University of London - Economics, Mathematics and Statistics, University of Maryland - Robert H. Smith School of Business and Universite Paris

Downloads 2,068 (7,620)

Citation 73

Abstract:

3.

Modelling Electricity Prices with Forward Looking Capacity Constraints

Applied Mathematical Finance, Volume 16, Issue 2, 2009, p 103-122

Number of pages: 36 Posted: 26 Jan 2008 Last Revised: 11 Mar 2013

Álvaro Cartea, Marcelo G. Figueroa and Hélyette Geman

University of Oxford, University of London - Birkbeck College and University of London - Economics, Mathematics and Statistics

Downloads 882 (28,566)

Citation 9

Abstract:

4.

Pricing Options on Realized Variance

EFA 2005 Moscow Meetings Paper

Number of pages: 26 Posted: 11 Mar 2005 Last Revised: 30 Jan 2010

Peter Carr, Hélyette Geman, Dilip B. Madan and Marc Yor

New York University Finance and Risk Engineering, University of London - Economics, Mathematics and Statistics, University of Maryland - Robert H. Smith School of Business and Universite Paris

Downloads 855 (29,807)

Citation 11

Abstract:

5.

On the Lease Rate, Convenience Yield and Speculative Effects in the Gold Futures Market

Swiss Finance Institute Research Paper No. 09-07

Number of pages: 36 Posted: 21 Mar 2009 Last Revised: 06 Sep 2010

Giovanni Barone-Adesi, Hélyette Geman and John Theal

University of Lugano, University of London - Economics, Mathematics and Statistics and Banque Centrale du Luxembourg

Downloads 831 (31,059)

Citation 4

Abstract:

6.

Pure Jump Levy Processes for Asset Price Modelling

EFA 2003 Annual Conference Paper No. 590

Number of pages: 25 Posted: 23 Jul 2003

Hélyette Geman

University of London - Economics, Mathematics and Statistics

Downloads 757 (35,263)

Citation 5

Abstract:

7.

Learning About Risk: Some Lessons from Insurance

Downloads 671 ( 41,508)

2

Learning About Risk: Some Lessons from Insurance

Number of pages: 12 Posted: 28 May 1999

Hélyette Geman

University of London - Economics, Mathematics and Statistics

Downloads 671 (40,915)

Citation 1

Abstract:

Learning About Risk: Some Lessons from Insurance

European Finance Review, Vol. 2, No. 2, 1999

Posted: 01 Jul 1999

Hélyette Geman

University of London - Economics, Mathematics and Statistics

Abstract:

8.

From Local Volatility to Local Levy Models

Quantitative Finance, Vol. 4, No. 5, October 2004

Number of pages: 17 Posted: 15 Jan 2007

Peter Carr, Hélyette Geman, Dilip B. Madan and Marc Yor

New York University Finance and Risk Engineering, University of London - Economics, Mathematics and Statistics, University of Maryland - Robert H. Smith School of Business and Universite Paris

Downloads 557 (52,892)

Citation 2

Abstract:

9.

Options on Realized Variance and Convex Orders

Number of pages: 28 Posted: 28 Jan 2010

Peter Carr, Hélyette Geman, Marc Yor and Dilip B. Madan

New York University Finance and Risk Engineering, University of London - Economics, Mathematics and Statistics, Universite Paris and University of Maryland - Robert H. Smith School of Business

Downloads 302 (109,147)

Citation 2

Abstract:

10.

Bitcoin Futures and Option Markets: Searching for Completeness

Number of pages: 17 Posted: 06 Oct 2019

Hélyette Geman and Henry Price

University of London - Economics, Mathematics and Statistics and University of London, Birkbeck College, Students

Downloads 135 (230,612)

Abstract:

11.

On Pricing Risky Loans and Collateralized Fund Obligations

Robert H. Smith School Research Paper No. RHS 06-145

Number of pages: 19 Posted: 28 Jan 2010 Last Revised: 30 Jan 2011

Ernst Eberlein, Hélyette Geman and Dilip B. Madan

University of Freiburg, University of London - Economics, Mathematics and Statistics and University of Maryland - Robert H. Smith School of Business

Downloads 99 (288,702)

Abstract:

12.

Self-Decomposability and Option Pricing

Mathematical Finance, Vol. 17, No. 1, pp. 31-57, January 2007

Number of pages: 27 Posted: 13 Dec 2006

Peter Carr, Hélyette Geman, Dilip B. Madan and Marc Yor

New York University Finance and Risk Engineering, University of London - Economics, Mathematics and Statistics, University of Maryland - Robert H. Smith School of Business and Universite Paris

Downloads 25 (532,104)

Citation 3

Add to Cart

Abstract:

13.

An Analysis of Intraday Market Response to Crude Oil Inventory Shocks

Journal of Energy Markets, Vol. 11, No. 2, 2018

Number of pages: 36 Posted: 12 Jul 2018

Richard Ziyuan Li and Hélyette Geman

Johns Hopkins University - Department of Applied Mathematics and Statistics and University of London - Economics, Mathematics and Statistics

Downloads 2 (689,476)

Add to Cart

Abstract:

14.

Diamonds and Precious Metals for Reduction of Portfolio Tail Risk

Applied Economics, Vol. 52, pp. 2841-2861, 2020

Posted: 05 Dec 2019 Last Revised: 08 Jun 2020

Massimiliano Barbi, Hélyette Geman and Silvia Romagnoli

University of Bologna - Department of Management, University of London - Economics, Mathematics and Statistics and University of Bologna - Department of Statistics

Abstract:

15.

Mispricing and Trading Profits in ETNs

Journal of Investing, Forthcoming

Posted: 16 Sep 2012 Last Revised: 15 Jul 2015

Dean Diavatopoulos, Hélyette Geman, Lovjit Thukral and Colbrin Wright

Seattle University, University of London - Economics, Mathematics and Statistics, Long Rock Capital and Brigham Young University

Abstract:

16.

A Family of Reduced-Form Models for Electricity Prices

EFMA 2003 Helsinki Meetings

Posted: 14 Jun 2003

Hélyette Geman and Andrea Roncoroni

University of London - Economics, Mathematics and Statistics and ESSEC Business School

Abstract:

17.

The Fine Structure of Asset Returns: An Empirical Investigation

Journal of Business, Vol. 75, No. 2, April 2002

Posted: 03 May 2002

Hélyette Geman, Peter Carr, Dilip B. Madan and Marc Yor

University of London - Economics, Mathematics and Statistics, New York University Finance and Risk Engineering, University of Maryland - Robert H. Smith School of Business and Universite Paris

Abstract:

18.

A Probabilistic Approach to the Valuation of General Floating-Rate Notes with an Application to Interest Rate Swaps

ADVANCES IN FUTURES AND OPTIONS RESEARCH, Volume 7, 1994

Posted: 29 Dec 1998

Hélyette Geman and Nicole El Karoui

University of London - Economics, Mathematics and Statistics and Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees

Abstract:

19.

An Asian Option Approach to the Valuation of Insurance Futures Contracts

WFIC Paper 94-03

Posted: 22 Aug 1998

J David Cummins and Hélyette Geman

Temple University - Risk Management & Insurance & Actuarial Science and University of London - Economics, Mathematics and Statistics

Hélyette Geman

University of London - Economics, Mathematics and Statistics

19

Top 4,626

9,506

Top 5,110

99

133

Scholarly Papers (19)

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Self-Decomposability and Option Pricing

Abstract:

An Analysis of Intraday Market Response to Crude Oil Inventory Shocks

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract: