Hélyette Geman

Picture of Helyette Geman

Academic Vita

Graduate education

  • Ecole Normale Supérieure (Section Mathematics)
  • Master's Degree in Mathematics, Mention Très Bien University Pierre et Marie Curie
  • Master's Degree in Atomic and Nuclear Physics, Mention Très Bien University Pierre et Marie Curie

Doctoral education

  • Agrégation de Mathématiques
  • Doctorate in Mathematics (Probability Theory), Mention Très Honorable avec les Félicitations du Jury, University Pierre et Marie Curie
  • "Contribution à l’Etude des Convergences Stochastiques des Mesures Aléatoires"
  • Doctorate in Finance, Mention Très Honorable avec les Félicitations du Jury Université Panthéon-Sorbonne
  • "Une Approche Probabiliste de la Structure par Termes des Taux d’Intérêt"
  • Habilitation à diriger des Recherches en Finance, University Panthéon-Sorbonne
  • Agrégation des Universités en Sciences de Gestion

Positions held

  • 2006 - present, Professor of Mathematical Finance, Birkbeck, University of London  - Director, Commodity Finance Centre
  • 2011- present, Research Professor at Johns Hopkins University
  • 1996- 2006, Professor of Finance at the University Paris Dauphine - Director of DESS 203
  • 1993 - 1996, Professor of Finance at ESSEC Graduate Business School, Chair of the Finance Department
  • Summer 1993, Visiting Researcher at ETH, Zurich
  • 1988 - 1992, Head of Research, Caisse des Dépôts, Paris

Editorial activities

  • Associate Editor, Journal of Energy Markets
  • Associate Editor, Journal of Financial Services Research
  • Associate Editor, Journal of Alternative Investments
  • Was previously on the editorial board of the Journal of Banking and Finance, Geneva Papers on Insurance, Mathematical Finance, and Applied Mathematical Finance

Books

  • "Agricultural Finance: From Crops to Land, Water and Infrastructure", January 2015, Wiley Finance
  • "Risk Management in Commodity Markets: from Shipping to Agriculturals and Energy", July 2008, Wiley Finance
  • "Commodities and Commodity Derivatives: Pricing and Modeling Agricultural, Metals and Energy", January 2005, Wiley Finance
  • Co-editor of ''Selected Publications from the Bachelier World Congress, Paris 2000'', Springer Verlag, 2001
  • "Weather and Insurance Derivatives" Publisher: RISK Books, 1999

Publications

  • "On Rarity Premium and Ownership Yield in Art" (with T. Velez), 2015, Journal of Alternative Investments
  • "Revisiting Uncertainty and Price Forecast Indicators in Corn and Wheat Markets" (with P. Vergel), 2015, Journal of Agricultural Extension and Rural Development
  • Live Cattle as a New Frontier in Commodity Markets (with P. Vergel), 2015, Journal of Agriculture and Sustainability
  • "Investing in Fertilizer Mining Companies in Times of Food Scarcity" (with P. Vergel), 2014, Resources Policy
  • "On the Lease Rate, Convenience Yield and Speculative Effects in the Gold Futures Market" (with G. Baroneadesi and J. Theal), 2014, International Journal of Financial Engineering and Risk Management
  • "Mispricing and Trading Profits in ETNs" (with L. Thukral et al.),  2014, Journal of Investing
  • "A Daily Trading Strategy in the ETN Space" (with L.Thukral et al.), Summer 2013, Journal of Trading
  • "Theory of Storage, Inventory and Volatility in the LME Base Metals" (with W.O. Smith), 2013, Resources Policy
  • "Are ETNs realizing their potential? An empirical investigation of ETNs vs. other exchange traded products in the precious metals space" (with L. Thukral), 2012, Journal of Index Investing
  • “Commercial Real Estate Inventory and Theory of Storage” (with R. Tunaru), 2012, Journal of Futures Markets
  • "Seasonality in Cocoa Spot and Forward Markets: Empirical Evidence" (with S. Sarfo), 2012, Journal of Agricultural Extension and Rural Development
  • "Shipping Markets and Freight Rates: An Analysis of the Baltic Dry Index" (with W.O. Smith), 2012, Journal of Alternative Investments
  • "Price Volatility in Storable Commodity Markets: Speculation or Scarcity?", 2011, Swiss Derivatives Review
  • "Distortion Risk Measures for Hedge Funds", (with C. Kharoubi), 2011, Journal of Risk Management for Financial Institutions
  • "Commodities and Numéraire" (with Y. Shih), 2010, Encyclopedia of Quantitative Finance, Wiley Publisher.
  • "Realized Variance Options and Convex Orders" (with P. Carr, D. Madan and M. Yor), 2010, Quantitative Finance
  • "On the Lease Rate, Convenience Yield and Speculative Effects in the Gold Futures Market", 2009, Swiss Finance Institute Research Paper
  • "On Pricing Risky Loans and Collateralized Fund Obligations" (with E. Eberlein and D. Madan), 2009, Journal of Credit Risk
  • "Forward Curves, Scarcity and Price Volatility in Oil and Natural Gas Markets" (with S. Ohana), 2009, Energy Economics
  • "Modelling Electricity Prices with Forward Looking Capacity Constraints" (with A. Cartea and M. Figueroa), 2009, Applied Mathematical Finance
  • "Modeling Commodity Prices under the CEV model" (with Y. Shih), Winter 2009, Journal of Alternative Investments
  • "WTI crude oil Futures in portfolio diversification : The time-to-maturity effect" (with C. Kharoubi), 2008, Journal of Banking and Finance
  • "Valuation of default-sensitive claims under imperfect information" (with D. Coculescu and M. Jeanblanc), 2008, Finance and Stochastics
  • "Correlations and the Pricing of Risks" (with M. Atlan, D. Madan and M. Yor), 2008, Annals of Finance
  • "A lattice-based Method for the Pricing of Energy Derivatives in the Threshold Model" (with S. Kourouvakalis), 2008, Applied Mathematical Finance
  • "Seasonal and Stochastic Features in Commodity Forward Curves" (with S. Borovkova), 2008, Review of Derivative Research
  • "Time Consistency in Managing Commodity Portfolio: A Dynamic Risk Measure Approach", (with S. Ohana), 2008, Journal of Banking and Finance
  • "Water as a Next Commodity" (with A. Kanyinda), 2007; Journal of Alternative Investments
  • "Mean Reversion versus Random Walk in Oil and Natural Gas Prices", 2007, Advances in Mathematical Finance, Birkhäuser Boston
  • "Correlations and the Pricing of Risks" (with M. Atlan, D. Madan and M. Yor), 2007, Annals of Finance
  • "Self Decomposition and Option Pricing (with P. Carr, D. Madan and M. Yor), 2007, Mathematical Finance
  • "Analysis and Modelling of Electricity Futures Prices" (with S. Borovkova), 2006, Studies in Nonlinear Dynamics & Econometrics
  • "Stochastic Clock and Financial Markets", 2006, Actes du Colloque de l'Académie des Sciences, février 2005
  • "Understanding the Fine Structure of Electricity Prices" (with A. Roncoroni), 2006, Journal of Business
  • "Risk in Returns: A Pure Jump Perspective" (with D. Madan), 2005, in Exotic Option Pricing and Advanced Lévy Models, Wiley
  • "Energy Commodity Prices: Is Mean-Reversion Dead?", 2005, Journal of Alternative Investments
  • "From Measure Changes to Time Changes in Asset Pricing", 2005, Journal of Banking and Finance
  • "Pricing Options on Realized Variance", (with P. Carr, D. Madan and M. Yor), 2005, Finance and Stochastics
  • "Soybean inventory and forward curves dynamics" (with V. Nguyen), 2005, Management Science
  • "Alternative Approaches to Weather Derivative Valuation" (with M.P Leonardi), 2005, Managerial Finance
  • "From Local Volatility to Local Lévy Models" (with P. Carr, D. Madan and M. Yor), 2004, Quantitative Finance
  • "Pricing in Incomplete Markets: From Absence of Good Deals to Acceptable Risk" (with D. Madan), 2004, in Risk Measures for the 21st Century, Wiley
  • "Hedge Funds: A Copula Approach for Risk Management" (with C. Kharoubi), 2004, in Risk Measures for the 21st Century, Wiley
  • "Stochastic Volatility for Lévy Processes" (with P. Carr, D. Madan and M. Yor), 2003, Mathematical Finance
  • "Hedge Funds Revisited: Distributional Characteristics, Dependence Structure and Diversification" (with C. Kharoubi), 2003, Journal of Risk
  • "Le Financement des Risques Catastrophiques", 2003, Risques
  • "Pure Jump Lévy Processes for Asset Price Modelling", 2002, Journal of Banking and Finance
  • "The Fine Structure of Asset Returns : An Empirical Investigation" (with P. Carr, D. Madan and M. Yor), 2002, Journal of Business
  • "Stochastic Volatility, Jumps and Hidden Time Changes" (with D. Madan and M. Yor), 2002, Finance and Stochastics
  • "Time Changes, Laplace Transforms and Path-Dependent Options", 2001, Computational Economics
  • "Forward and Futures Contracts on Non-Storable Commodities: The Case of Electricity" (with O. Vasicek), 2001, RISK
  • "Les Options à Sous-Jacent Exotique : Le Cas des Dérivés Climatiques", 2001, Banque & Marchés, Juillet-Août
  • "Spot and Derivatives Trading in Deregulated European Electricity Markets ", 2001, Revue Economies et Sociétés
  • "Pricing and Hedging in Incomplete Markets" (with P. Carr and D. Madan), 2001, Journal of Financial Economics
  • "Functionals of Brownian Motion in Finance and Insurance", 2001, Chapter of the book Exponentials of Brownian Motion and Related Processes, Springer,
  • "Time Changes for Lévy Processes" (with D. Madan and M. Yor), 2001, Mathematical Finance
  • "The Bermuda Triangle: Electricity, Weather and Insurance Derivatives", 2000, Journal of Alternative Investments
  • "On the Role of State Variables in Interest Rate Models" (with N. El Karoui and V. Lacoste), 2000, Applied Stochastic Models in Business and Industry
  • "From Bachelier and Lundberg to Insurance and Weather Derivatives", 2000, Mathematical Physics Studies, Kluwer Publishers
  • "Asset Prices are Brownian Motion: only in Business Time" (with D. Madan and M. Yor), 2000, Chapter of the book Quantitative Analysis in Financial Markets, World Scientific Publishing Company
  • "Order Flow, Transaction Clock and Normality of Asset Returns" (with T. Ané), 2000, The Journal of Finance
  • "Fundamentals of Electricity Derivatives", 1999, Chapter of the book "Energy Modelling and the Management of Uncertainty", RISK Books
  • "Stochastic Volatility and Transaction Time: An Activity-Based Volatility Estimator", 1999, The Journal of Risk, Vol. 2, N° 1, (with T. Ané)
  • "Learning about Risk: Some Lessons from Insurance", 1998, European Finance Review
  • "Pricing Power Derivatives", 1998, RISK, October, (with A. Eydeland)
  • "De Bachelier à Black-Scholes-Merton", 1998, Gazette des Mathématiciens (Janurary) and Bulletin Français d'Actuariat, April
  • "On the Behavior of the Long Term Rate in a No Arbitrage Framework", 1998, Review of Derivatives Research, (with N. El Karoui, A. Frachot)
  • "Risques Catastrophiques, Risque d'Assurance et Marchés Financiers", 1997, Annales des Ponts et Chaussées, 84
  • "Stochastic Time Changes and Catastrophe Option Pricing", 1997, Insurance: Mathematics and Economics, 542, (with M. Yor)
  • "Portfolio Optimization and Contingent Claim Pricing With Differential Information", 1997, Stochastics and Stochastics Reports, Vol. 60, (with R. Elliott and B. Korkie)
  • "Some Combinations of Asian, Parisian and Barrier Options", 1997, Mathematics of Derivative Securities, ed. by Dempster and Pliska, Cambridge University Press, (with M. Chesney, M. Jeanblanc, M. Yor)
  • "No Arbitrage Between Economies and Correlation Risk Management", 1997, Computional Economics, 10, (with R. Souveton)
  • "Insurance, Risk Securitization and Derivatives", 1997, Bank of Tokyo, Mitsubishi Risk Directory
  • "Pricing and Hedging Double-Barrier Options: a Probabilistic Approach", 1996, Mathematical Finance, Vol. 6/4, (with M. Yor)
  • Reprinted in the book "Currency Derivatives", editor David DeRosa
  • "Stochastic Subordination", 1996, RISK, September, (with T. Ané)
  • "Insurance Risk Securitization and CAT Insurance Derivatives", 1996, Financial Derivatives and Risk Management, September
  • "Les Instruments Dérivés pour l'Industrie d'Assurance", 1996, Analyse Financière, Mars
  • "La Gestion Actif-Passif dans les Compagnies d'Assurance : l'Exemple de l'Option de Rachat Anticipé", septembre 1995, Transactions of the 25th Annual Colloquium of the International Association of Actuaries, (with M.O. Albizzati, F.M. Durand)
  • "Changes of Numéraire, Changes of Probability Measures and Option Pricing" June 1995, Journal of Applied Probablity. (with N. El Karoui, J.C. Rochet)
  • Reprinted in the book "From Vasicek and Beyond", editor Lane Hughston
  • "Domino Effect: Inverting the Laplace Transform", 1995, RISK, April. (with A. Eydeland)
  • Reprinted in the book "Over the Rainbow", 1995, editor Robert Jarrow
  • "Pricing Catastrophe Futures Contracts and Call Spreads: An Arbitrage Approach", March 1995, Journal of Fixed Income (with D. Cummins)
  • Reprinted in the book "The Strategic Dynamics of the Insurance Industry", 1996, editors E. Altman and I. Vanderhoof
  • "Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies", 1994, Journal of Risk and Insurance. Vol. 13, N°2, (with M.O. Albizzati)
  • "CAT Calls", 1994, RISK, Vol. 7, N°9
  • Reprinted in the book "Over the Rainbow", 1995, editor Robert Jarrow
  • "An Asian Option Approach to the Valuation of Insurance Futures Contracts", 1994, Review of Futures Markets, Vol. 13, N°2. (with D. Cummins)
  • "A Probabilistic Approach to the Valuation of General Floating-Rate Notes with an Application to Interest Rate Swaps", 1994, Advances in Options and Futures Research. (with N. El Karoui)
  • "Valuation of the Roll-Over Option in Guaranted Insurance Contracts", 1994, AFIR Colloquium Proceedings (with M. Vareilles)
  • "Bessel Processes, Asian Options and Perpetuities", 1993, Mathematical Finance, (with M. Yor)
  • "The French Notional Futures Contract in Risk/Return Management", International Review of Financial Analysis, 1993, Vol 23, N°1. (with T. Schneeweis)
  • "Risky Pension Benefits in an Overlapping Generations Model", 1992, with Y. Balasko, University of Geneva Working Paper
  • "La prise en compte de la pratique des marchés dans la modélisation probabiliste en finance", 1992, Journal de la Société Statistique de France, N° 4
  • "Portfolio Insurance and Synthetic Securities", 1992, Applied Stochastic Models and Data Analysis
  • "Processus de Bessel, Options Asiatiques et Fonctions confluentes hypergéométriques", 1992, Note aux Comptes Rendus de l'Académie des Sciences (with M. Yor)
  • "The Effectiveness of the CAC 40 Futures Contract", Chapter of the book "Global Portfolio Diversification", 1991, (with T. Schneeweis)
  • "A Stochastic Approach to the Pricing of Floating Rate Notes", 1991, RISK, Vol.4 (with N. El Karoui)
  • "Trading/Non Trading Time Effects in the French Futures Markets", 1991, Journal of Accounting, Auditing and Finance (with T. Schneeweis)
  • "Une analyse générale du risque de taux : une approche approfondie" décembre, 1990, Analyse Financière n°83. (with T. d'Archimbaud, R. Portait)
  • "Une Analyse par Arbitrage des Instruments à Taux Variable et à Taux Révisable", 1990, AFIR Colloquium Proceedings (with T. d'Archimbaud and R. Portait)
  • "Problèmes conceptuels dans l'évaluation des outils ALM pour les institutions financières", avril 1990, La Synthèse Financière
  • "Une analyse générale du risque de taux : une approche simplifiée", mars 1990, Analyse Financière n° 80. (with T. d'Archimbaud, R. Portait)
  • "A Framework for Interest Risk Analysis and Portfolio Management", 1989, American Stock Exchange Colloquium Proceedings. (with R. Portait)
  • "L'Importance de la Probabilité Forward Neutre dans une Approche Stochastique des Taux d'Intérêt", 1989, ESSEC Working Paper (Univ. Panthéon Sorbonne PhD Dissert)
  • "Interest Rate Risk Management : Beyond Duration and Convexity", 1988, Caisse des Dépôts Technical Report
  • "Modélisation probabiliste de la structure par termes des taux d'intérêt", 1988, Annales de l'Institut Henri Poincaré
  • KEYNOTE SPEAKER IN CONFERENCES
  • Keynote Speaker at the 8th Bachelier Finance Society World Congress, Brussels, June 2014
  • Invited Speaker at Global Derivatives USA, Chicago, November 2013
  • Plenary Speaker at the SIRE, University of Glasgow & St Andrews Conference on "Finance and Commodities", University of St Andrews, July 2013
  • Invited Speaker at UK Mathematical Finance Workshop, King's College London, June 2013
  • Keynote Speaker at Commodities Investment Week Asia 2013, Singapore, March 2013
  • Invited Speaker at Global Derivatives USA, Chicago, November 2012
  • Invited Speaker at the CRU and Simon Fraser Institute Mining Business Risks Summit, Toronto, October 2012
  • Keynote Speaker at the Vale-sponsored Conference on Economics and Econometrics of Commodity Prices, Getulia Vargas Foundation, Rio de Janeiro, August 2012
  • Invited Speaker at the Informa Conference on Price Risk Management in Agricultural Markets, London, July 2012
  • Invited Speaker at the Invivo Conference Agriculture and Finance, Paris, June 2012
  • Invited Speaker at the World Gold Council Summit for Wealth Management, Moderator Gillian Tett, London, June 2012
  • Invited Speaker at the Euromoney Food and Finance Conference, London, May 2012
  • Keynote Speaker at the World Copper Conference, Santiago, Chile, April 2012
  • Invited Speaker at the Global Derivatives Conference, Barcelona, April 2012
  • Invited Speaker at the Conference Global Derivatives USA, Chicago, November 2011
  • Invited Speaker at the World Commodities Week, London, October 2011
  • Distinguished Speaker at the Swiss Financial Market Supervisory Authority Meeting, Interlaken, September 2011
  • Invited Speaker at the Conference New Commodity Markets, Oxford-Man Institute of Quantitative Finance, Oxford, June 2011
  • Invited Speaker at the Family Office Investment Summit, London, May 2011
  • Invited Speaker at the Global Forum on Commodities, United Nations, Geneva, January 2011
  • Keynote Speaker at the Conference on Commodities, Academy of Sciences of Heidelberg, July 2010
  • Keynote Speaker at Energy Risk, Houston, May 2010
  • Invited Speaker at ICBI Global derivatives, Paris, May 2010
  • Invited Speaker at the Conference Current Developments in Valuation and Hedging in Incomplete Markets, Cass Business School, April 2010
  • Guest Speaker at the Industrial - Academic Forum on Commodities, Fields Institute, April 2010
  • Invited Speaker at the Bundesbank Workshop on Regulation, Frankfurt, March 2010
  • Wilmar-International Public Lecture on Commodities, Singapore Management University, January 2010
  • Keynote Speaker on Agricultural Commodities, Palais de la Bourse, October 2009
  • Keynote Speaker at Energy Forum, Rome, May 2009
  • Invited Speaker at a Conference on Financial Engineering, Georgia Tech, Atlanta, April 2009
  • Invited Speaker on Mathematical Finance, Fields Institute, Toronto, March 2009
  • Invited Speaker at Global Derivatives and Risk Management, Paris, May 2008
  • Keynote Speaker of the Association Mining Companies, Santiago de Chile, November 2007
  • Invited Speaker at the Energy Risk Europe Conference, London, October 2007
  • Invited Speaker at the Commodities World Conference, London, October 2007
  • Invited Speaker at the Quant USA Conference, New York, July 2007
  • Keynote Speaker at the Energyforum Conference on "Modelling Energy Price Risk", Lisbon, June 2007
  • Invited Speaker at the Conference "New Directions in Asset Pricing and Risk Management", London School of Economics, June 2006
  • Keynote Speaker at the Conference "Commodity Investment World", Dubai, June 2006
  • Invited Speaker at the Conference "Europlace Finance", Paris, June 2006
  • Invited Speaker, Workshop on New Mathematical methods in Risk Theory in Honor of Hans Buhlmann, Florence, October 2005
  • Keynote Address, EnergyCreditRisk USA 2005, New York, September 2005
  • Opening Lecture at the Third European Energy Economics Association annual meeting, Norwegian School of Economy, Bergen, August 2005
  • Closing Lecture at the Conference on Sochastic Calculus in Honor of Robert Elliott, Calgary, July 2005
  • Invited Speaker, Workshop on Mathématiques Financières, Académie des Sciences, Paris, February 2005
  • Opening Lecture at the Third World Congress of the Bachelier Finance Society, Chicago, July 2004
  • Invited Speaker at the RISK Energy USA 2004, Houston, May 2004
  • Invited Speaker at the Workshop "Risk Management and Model Specifications in Finance", Institute for Mathematics and its Applications, University of Minnosota, April 2004
  • Invited Speaker at the Winter School on Mathematical Finance, Tilburg University & Erasmus University, December 2003
  • Invited Speaker at the Conference on Risk Management, Universita Roma La Sapienza, June 2003
  • Keynote Speaker at the EPRM Conference "Power USA 2003", Houston, May 2003
  • Invited Speaker at the Conference "RISK Europe 2003", Paris, April 2003
  • Invited Speaker at the Conference of the International Energy Agency on Investments in the Power Industry, Paris, March 2003
  • Invited Speaker at the Energyforum Conference "Modelling Energy Price Risk", Francfort, March 2003
  • Keynote Speaker at the EPRM Conference "Power Europe 2003", London, March 2003
  • Invited Speaker at the Conference on "Towards Deregulation of European Energy Markets", Scuola d'Administrazione Publiche, Rome, June 2002
  • Invited Speaker at the RISK Conference on "Quantitative Finance", London, November 2002
  • Invited Speaker at the annual AMASES Meeting (Mathematics for Economics and Finance), University of Verona, September 2002
  • Invited Speaker at the Energy and Power Risk Management Europe Conference, Amsterdam, May 2002
  • Invited Speaker at the Energy and Power Risk Management USA Conference, Houston, May 2002
  • Invited Speaker at the Conference RISK 2002 Europe, Paris, April 2002
  • Invited Speaker at the Energyforum Conference "Derivatives for Hydroelectricity", Oslo, December 2001
  • Invited Speaker at the RISK Conference "Maths Week 2001", London, November 2001
  • Invited Speaker at the Conference "Gas & Power Risk 2001", Paris, November 2001
  • Invited Speaker at the Conference "Financial Mathematics for Electricity Derivatives", New-York, July 2001
  • Invited Speaker at the Conference "European Power 2001", Amsterdam, June 2001
  • Invited Speaker at the GARP Credit and Counterparty Risk Summit, London, May 2001
  • Invited Speaker at the Annual Conference "Power 2001", Houston, May 2001
  • Invited Speaker at the annual ICBI Conference "Global Derivatives", Juan, France, May 2001
  • Invited Speaker at the Annual European Risk Meeting "RISK 2001", Paris, April 2001
  • Invited Speaker at the IIR Conference "Managing Electricity Risk under NETA", London, December 2000
  • Invited Speaker at the Risk Conference "Maths Week 2000", London, November 2000
  • Expert Speaker at the Conference "Power Risk 2000", Paris, October 2000
  • Invited Speaker at the 13th annual Conference of the Financial Options Research Center, University of Warwick, September 2000
  • Invited Speaker at the Conference "Quantitative Risk Management in Finance", Carnegie Mellon University, July 2000
  • Chair of the Symposium on "Mathematical Finance: Theory and Practice", 3rd European Congress of Mathematicians, Barcelona, July 2000
  • Invited speaker at the 3rd International Conference on "Mathematical Geophysics", Villefranche s/mer, June 2000
  • Expert Speaker at the Conference "Power 2000", Houston, May 2000
  • Invited Speaker at the Conference on "Mathematical Finance", Columbia University, New York, November 1999
  • Keynote Speaker at the Conference "Power Risk 99", Francfort, October 1999
  • Invited Speaker at the European Chicago Board of Trade Meeting, Rome, September 1999
  • Expert Academic Speaker at the RISK Conference on "Electricity Derivatives in the Nordic Market", Stockholm, August 1999
  • Invited Speaker at the Risk Conference on "Swing Contracts in the Energy Industry" Houston, March 1999.
  • Feature Speaker at the first Energy and Power Risk Conference on "The New European Energy Market", Brussels, March 1999
  • Invited Speaker at the 3rd annual European RISK Conference on Derivatives, Amsterdam, February 1999
  • Invited Speaker at the Workshop on "Probability in Finance" Fields Institute, Toronto, January 1999
  • Invited Speaker at the Energy and Power Risk Conference "Financial Mathematics for Energy Derivatives", London, September 1998
  • Invited Speaker at the Conference "Financements Alternatifs des Risques", Paris, June 1998
  • Invited Speaker at the Conference Global Derivatives, Paris, April 1998
  • Invited Speaker at the RISK Conference on Securitization of Catastrophic Risk, London, March 1998
  • Invited Speaker at the Colloquium of the Department of Applied Math. Brown University, October 1997
  • Invited Speaker at the Conference "Stochastic Analysis in Finance and Insurance", Oberwolfach Mathematical Institute, September 1997
  • Invited Speaker at the Tenth Annual Conference on Options, Financial Options Research Centre, University of Warwick, June 1997
  • Welcoming Speech in Honor of the Doctorate Honoris Causa of Robert Merton (Nobel Prize 1997), University Paris IX Dauphine, May 1997
  • Invited Speaker at the Conference Global Derivatives, Paris, April 1997
  • Invited Speaker at the Conference "Valuation of Defaultable Bonds", London School of Economics, March 1997
  • Invited Speaker at the 2nd European RISK Conference on Derivatives, Brussels, February 1997
  • Plenary Academic Speaker at the RISK Conferences "Derivatives for the Insurance Industry", London, October 1996, New-York, November 1996
  • Invited Speaker at the Conference "Stochastics, Information and Markets", Humboldt University, Berlin, October 1996
  • Invited Speaker at the International Conference Mathematical Finance I, Aarhus University, Denmark, June 1996
  • Invited Speaker at the Conference "Frontiers in Risk Management", Institute for Advanced Study, Princeton, April 1996
  • Invited Speaker at the American Mathematical Society session on "Stochastic Models in Mathematical Finance", Courant Institute, New York, April 1996
  • Expert Speaker at the annual RISK Conference on Derivatives, Geneva, January 1996
  • Invited Speaker at the RISK Conference on Insurance Derivatives, New York, October 1995
  • Plenary Speaker at the 5th AFIR Symposium, Brussels, September 1995
  • Invited Speaker at the IIR annual Symposium on Options, London, September 1995
  • Plenary Speaker at the annual Meeting of Société Statistique de France, Session on Insurance and Finance, May 1995
  • Invited Speaker at the annual Colloquium of the American Stock Exchange Colloquium, New York, March 1995
  • Invited Speaker at the Conference "Stochastics and Finance", Berlin, September 1994
  • Invited Speaker at the Chicago Board of Trade Catastrophe Insurance Seminar, London, June 1994
  • Guest Academic Speaker at the annual RISK Conference on Correlation, London, June 1994
  • Invited Speaker at the Symposium on Russian, American and Asian Options, Aarhus, April 1994
  • Invited Speaker at the Conference "Recent Advances in Mathematical Finance", Cortona, May 1994
  • Invited Speaker at the annual Meeting of the Chicago Board of Trade, Manchester, September 1993
  • Invited Speaker at the American Stock Exchange Colloquium, New York, March 1993 "Asian Options and Contingent Value Rights"
  • Invited Speaker at the Twentieth European Meeting of Statisticians, Bath (England), September 1992 "Bessel Processes in Finance"
  • Invited Speaker at the Fifth Franco-American (NBER) Economic Meeting on Economics of Aging, Paris, September 1992 "Risky Pension Benefits in an Overlapping Generations Model"
  • Invited Speaker at the Fifth Annual Conference of the Financial Options Research Centre, University of Warwick (England), June 1992, "Bessel Processes and Asian Options"
  • Invited Speaker at the Eurobanking Meeting, Cologne (Germany), May 1991, "Valuation of Interest Rate Swaps"
  • Invited speaker at the Fifth International Symposium on Applied Stochastic Models and Data Analysis, Granada (Spain), April 1991, "Stochastic Modelling of Interest Rates"
  • Plenary Speaker at the annual Meeting of the French Finance Association, Paris, December 1990
  • Invited Speaker at the IBM Europe Institute Conference on "Mathematics and Finance", Lech (Austria), July 1990 "Portfolio Insurance and Program Trading"
  • Invited Speaker at the first AFIR Colloquium, Paris, April 1990
  • Invited Speaker at the Conference "Advances in Option Pricing" New York University, October 1989
  • Invited Speaker at the American Stock Exchange Colloquium, New York, February 1989