Hélyette Geman

Picture of Helyette Geman

Selected Publications

Books

  • "Agricultural Finance: From Crops to Land, Water and Infrastructure", 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

Selected publications

  • "Electricity in Eastern Africa: the Case for Mini-Hydro", 2017, Policy Brief, OCP Policy Center
  • "World Coal Markets: Still Weakly Integrated and Moving East" (with B. Liu), 2017, Journal of Commodity Markets

  • Robert Merton et l'Introduction du Temps Continu dans la Theorie Financiere in 'Les Grands Auteurs en Finance', 2017 - Editions Management et Societe

  • "Ownership Yield and Prime Real Estate in Alpha Cities" (with T. Velez), 2016, Journal of Wealth Management
  • "Intraday Pair Trading Strategies on High Frequency Data: the Case of Oil Companies" (with B. Liu and L. Chang), 2016, Quantitative Finance

  • "Introducing Distances Between Commodity Markets: The Case of  the US and the UK Natural Gas", Spring 2016, in Advanced Modelling in Mathematical Finance - in honor of Ernst Eberlein
  • Tail Risk Constraints and Maximum Entropy" (with D. Geman and N. Taleb), 2015, to Entropy
  • "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
  • "Are World Natural Gas Markets Moving toward Integration? Evidence from the HH and NBP Forward Curves" (with B. Liu), 2014, Journal of Energy Markets
  • "Investing in Fertilizer Mining Companies in Times of Food Scarcity" (with P. Vergel), 2014, Resources Policy
  • "Marc Yor: A beautiful mind has disappeared" (with M. Jeanblanc), 2014, Stochastic Processes and their Applications
  • "Mispricing and Trading Profits in ETNs" (with L. Thukral et al.), 2014, Journal of Investing 
  • "On the Lease Rate, Convenience Yield and Speculative Effects in the Gold Futures Market" (with G. Barone-Adesi and J. Theal), 2014, Journal of International Research and Financial Engineering
  • "A Daily Trading Strategy in the ETN Space" (with L.Thukral et al.),  2013, Journal of Trading
  • "Theory of Storage, Inventory and Volatility in the LME Base Metals" (with W.O. Smith), 2013, Resources Policy 
  • "Some Elements on Agricultural Price Volatility" (With H. Ott), 2013, European Commission Scientific and Policy Reports
  • "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", 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", 2009, Journal of Credit Risk
  • "Forward Curves, Scarcity and Price Volatility in Oil and Natural Gas Markets", 2009, Energy Economics
  • "Modelling Electricity Prices with Forward Looking Capacity Constraints", 2009, Applied Mathematical Finance
  • "Modeling Commodity Prices under the CEV model", Winter 2009, Journal of Alternative Investments
  • "WTI crude oil Futures in portfolio diversification : The time-to-maturity effect", 2008, Journal of Banking and Finance
  • "Valuation of default-sensitive claims under imperfect information", 2008, Finance and Stochastics
  • "Correlations and the Pricing of Risks", 2008, Annals of Finance
  • "A lattice-based Method for the Pricing of Energy Derivatives in the Threshold Model", 2008, Applied Mathematical Finance
  • "Seasonal and Stochastic Features in Commodity Forward Curves", 2008, Review of Derivative Research
  • "Time Consistency in Managing a Commodity Portfolio: A Dynamic Risk Measure Approach", 2008, Journal of Banking and Finance
  • "Water as the Next Commodity", 2007, Journal of Alternative Investments
  • "Mean Reversion versus Random Walk in Oil and Natural Gas Prices", 2007, Advances in Mathematical Finance, Birkhäuser Boston
  • "Self Decomposition and Option Pricing, 2007, Mathematical Finance
  • "Understanding the Fine Structure of Electricity Prices", 2006, Journal of Business
  • "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", 2005, Finance and Stochastics
  • "Soybean inventory and forward curves dynamics", 2005, Management Science
  • "Alternative Approaches to Weather Derivative Valuation", 2005, Managerial Finance
  • "From Local Volatility to Local Lévy Models", 2004, Quantitative Finance
  • "Hedge Funds: A Copula Approach for Risk Management", 2004, in Risk Measures for the 21st Century, Wiley
  • "Stochastic Volatility for Lévy Processes", 2003, Mathematical Finance
  • "Hedge Funds Revisited: Distributional Characteristics, Dependence Structure and Diversification", 2003, Journal of Risk
  • "Pure Jump Lévy Processes for Asset Price Modelling", 2002, Journal of Banking and Finance
  • "The Fine Structure of Asset Returns : An Empirical Investigation", 2002, Journal of Business
  • "Time Changes, Laplace Transforms and Path-Dependent Options", 2001, Computational Economics
  • "Forward and Futures Contracts on Non-Storable Commodities: The Case of Electricity", 2001, RISK
  • "Spot and Derivatives Trading in Deregulated European Electricity Markets ", 2001, Revue Economies et Sociétés
  • "Pricing and Hedging in Incomplete Markets", 2001, Journal of Financial Economics
  • "Time Changes for Lévy Processes", 2001, Mathematical Finance
  • "The Bermuda Triangle: Electricity, Weather and Insurance Derivatives", 2000, Journal of Alternative Investments
  • "From Bachelier and Lundberg to Insurance and Weather Derivatives", 2000, Mathematical Physics Studies, Kluwer Publishers
  • "Order Flow, Transaction Clock and Normality of Asset Returns", 2000, The Journal of Finance
  • "Fundamentals of Electricity Derivatives", 1999, Chapter of the book "Energy Modelling and the Management of Uncertainty", RISK Books
  • "Pricing Power Derivatives", 1998, RISK
  • "On the Behavior of the Long Term Rate in a No Arbitrage Framework", 1998, Review of Derivatives Research
  • "Stochastic Time Changes and Catastrophe Option Pricing", 1997, Insurance: Mathematics and Economics
  • "Portfolio Optimization and Contingent Claim Pricing With Differential Information", 1997, Stochastics and Stochastics Reports
  • "No Arbitrage Between Economies and Correlation Risk Management", 1997, Computational Economics
  • "Pricing and Hedging Double-Barrier Options: a Probabilistic Approach", 1996, Mathematical Finance
  • "Stochastic Subordination", 1996, RISK
  • "Insurance Risk Securitization and CAT Insurance Derivatives", 1996, Financial Derivatives and Risk Management
  • "Changes of Numéraire, Changes of Probability Measures and Option Pricing" 1995, Journal of Applied Probablity
  • "Domino Effect: Inverting the Laplace Transform", 1995, RISK
  • "Pricing Catastrophe Futures Contracts and Call Spreads: An Arbitrage Approach", 1995, Journal of Fixed Income
  • "Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies", 1994, Journal of Risk and Insurance
  • "Catastrophe Calls", 1994, RISK
  • "An Asian Option Approach to the Valuation of Insurance Futures Contracts", 1994, Review of Futures Markets
  • "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
  • "Bessel Processes, Asian Options and Perpetuities", 1993, Mathematical Finance
  • "Risky Pension Benefits in an Overlapping Generations Model", 1992, with Y. Balasko, University of Geneva Working Paper
  • "Processus de Bessel, Options Asiatiques et Fonctions confluentes hypergéométriques", 1992, Note aux Comptes Rendus de l'Académie des Sciences
  • "A Stochastic Approach to the Pricing of Floating Rate Notes", 1991, RISK
  • "Trading/Non Trading Time Effects in the French Futures Markets", 1991, Journal of Accounting, Auditing and Finance
  • "A Framework for Interest Risk Analysis and Portfolio Management", 1989, American Stock Exchange Colloquium Proceedings
  • "L'Importance de la Probabilité Forward Neutre dans une Approche Stochastique des Taux d'Intérêt", 1989, ESSEC Working Paper (Univ. Paris Panthéon Sorbonne PhD Dissert)
  • "Interest Rate Risk Management : Beyond Duration and Convexity", 1988, Caisse des Dépôts Technical Report