Hélyette Geman

University of London - Economics, Mathematics and Statistics

Malet Street

London, WC1E 7HX

United Kingdom

  • University of London - Economics, Mathematics and Statistics

SCHOLARLY PAPERS

20

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SSRN CITATIONS
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112

CROSSREF CITATIONS

133

Scholarly Papers (20)

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1.

Understanding the Fine Structure of Electricity Prices

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 2,384 (8,478)
Citation 9

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Electricity prices, jump diffusions, statistical estimation, calibration, simulation, energy price risk

2.

Stochastic Volatility for Levy Processes

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 2,129 (10,194)
Citation 76

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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 913 (36,592)
Citation 9

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capacity constraints, mean reversion, electricity, indicated demand, electricity indicated generation, regime switching model

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 894 (37,690)
Citation 12

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Options on Variance Swaps, Options on Time Changes, Self Decomposability and its Hierarchy

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 889 (37,993)
Citation 4

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gold futures market, convenience yield, gold lease rate, speculative pressure

6.

Pure Jump Levy Processes for Asset Price Modelling

Number of pages: 25 Posted: 23 Jul 2003
Hélyette Geman
University of London - Economics, Mathematics and Statistics
Downloads 782 (45,176)
Citation 6

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7.

Learning About Risk: Some Lessons from Insurance

Downloads 684 ( 54,012)

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 684 (53,305)
Citation 1

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Learning About Risk: Some Lessons from Insurance

Posted: 01 Jul 1999
Hélyette Geman
University of London - Economics, Mathematics and Statistics

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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 586 (65,762)
Citation 3

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Hunt Processes, Persistent Skewness, Convolution Transforms

9.

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 410 (101,215)

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Futures on Bitcoin, Convenience Yield for Bitcoin, Bitcoin smiles and skews, bitcoin market incompleteness

10.

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 326 (130,692)
Citation 2

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reverse martingale, quadratic variation, stochastic volatility

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 110 (340,122)

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first passage times, Merton compound option model, spectrally negative process

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 28 (642,680)
Citation 7

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13.

The Liquefied Natural Gas Spot Market and Valuation of the Rerouting Option

Journal of Energy Markets, Vol. 13, No. 3, 2020
Number of pages: 17 Posted: 21 Oct 2020
Hélyette Geman and Sofia Philippou
University of London - Economics, Mathematics and Statistics and affiliation not provided to SSRN
Downloads 3 (863,237)
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natural gas markets, spot liquefied natural gas (LNG) prices, liquefied natural gas (LNG) tankers, rerouting option transportation costs

14.

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 3 (863,237)
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inventory shock, Energy Intelligence Agency (EIA) report, West Texas Intermediate (WTI) futures, price reversal, prereport trend-following strategies.

15.

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

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Diamonds, Precious metals, Diversification, Copula functions, Tail dependence

16.

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

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exchange-traded notes, leveraged exchange-traded funds, tracking error, mispricing, ETNs, ETN, risk and performance, active management

17.

A Family of Reduced-Form Models for Electricity Prices

Posted: 14 Jun 2003
Hélyette Geman and Andrea Roncoroni
University of London - Economics, Mathematics and Statistics and ESSEC Business School

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18.

The Fine Structure of Asset Returns: An Empirical Investigation

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

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19.

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

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20.

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

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