Hélyette Geman

University of London - Economics, Mathematics and Statistics

Malet Street

London, WC1E 7HX

United Kingdom

SCHOLARLY PAPERS

17

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CITATIONS
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128

Scholarly Papers (17)

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 2,291 (5,634)
Citation 61

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

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 2,023 (6,951)
Citation 140

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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 861 (26,489)
Citation 11

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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 841 (27,391)
Citation 37

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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 811 (28,805)
Citation 3

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

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 735 (32,967)
Citation 11

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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 666 (37,120)
Citation 1

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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

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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 551 (48,363)
Citation 16

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Hunt Processes, Persistent Skewness, Convolution Transforms

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 292 (102,490)
Citation 4

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reverse martingale, quadratic variation, stochastic volatility

10.

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 96 (268,992)

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

11.

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 (487,117)
Citation 51
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12.

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 (631,025)
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inventory shock, Energy Intelligence Agency (EIA) report, West Texas Intermediate (WTI) futures, price reversal, prereport trend-following strategies.

13.

Mispricing and Trading Profits in ETNs

Journal of Investing, Forthcoming
Posted: 16 Sep 2012 Last Revised: 15 Jul 2015
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

14.

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

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15.

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

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16.

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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17.

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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