BIROn - Birkbeck Institutional Research Online
    Up a level
    Export as [feed] Atom [feed] RSS
    Number of items: 47.

    Article

    Geman, Helyette and Philippou, Sofia (2020) The liquefied natural gas spot market and valuation of the rerouting option. Journal of Energy Markets 13 (3), pp. 97-113. ISSN 1756-3607.

    Geman, Helyette and Price, H. (2019) In the vaults: Bitcoin Futures and storage insurance. The Actuary , ISSN 0960-457X. (In Press)

    Barbi, M. and Geman, Helyette and Romagnoli, S. (2019) Diamonds and precious metals for reduction of Portfolio Tail Risk. Applied Economics , ISSN 0003-6846. (In Press)

    Geman, Helyette and Li, Z. (2018) An analysis of intraday market response to crude oil inventory shocks. Journal of Energy Markets 11 (2), pp. 1-35. ISSN 1756-3607.

    Geman, Helyette and Scheiber, M. (2018) Warehouse monitoring for efficient metals markets. Resources Policy , ISSN 0301-4207. (In Press)

    Geman, Helyette and Scheiber, M. (2017) Recent experiences of copper on the Shanghai futures exchange: Some lessons for warehouse monitoring. Resources Policy 54 , pp. 130-136. ISSN 0301-4207.

    Carr, P. and Geman, Helyette and Madan, D.B. and Yor, M. (2007) Self-decomposition and option pricing. Mathematical Finance 17 (1), pp. 31-57. ISSN 0960-1627.

    Geman, Helyette and Kanyinda, A. (2007) Water as the next commodity. Journal of Alternative Investments 10 (2), pp. 23-30. ISSN 1520-3255.

    Geman, Helyette (2006) Seasonal and stochastic features in commodity forward curves. Review of Derivatives Research 9 , pp. 167-186. ISSN ISSN: 1380-6645.

    Geman, Helyette and Leonardi, M.‐P. (2005) Alternative approaches to weather derivative valuation. Managerial Finance 31 (6), pp. 46-72. ISSN 0307-4358.

    Geman, Helyette (2005) Energy commodity prices: is mean-reversion dead? Journal of Alternative Investments 8 (2), pp. 31-45. ISSN 1520-3255.

    Geman, Helyette (2005) From measure changes to time changes in asset pricing. Journal of Banking & Finance 29 (11), pp. 2701-2722. ISSN 0378-4266.

    Geman, Helyette (2005) Pricing options on realized variance. Finance and Stochastics 9 , pp. 453-475. ISSN 0949-2984.

    Geman, Helyette and Nguyen, Vu-Nhat (2005) Soybean inventory and forward curves dynamics. Management Science 51 (7), pp. 1076-1091. ISSN 0025-1909.

    Geman, Helyette and Carr, P. and Madan, D.P. and Yor, M. (2004) From local volatility to local lévy models. Quantitative Finance 4 (5), pp. 581-588. ISSN 1469-7688.

    Geman, Helyette and Kharoubi, C. (2003) Hedge funds revisited: distributional characteristics, dependence structure and diversification. Journal of Risk 5 (4), pp. 55-73. ISSN 1465-1211.

    Geman, Helyette and Carr, P. and Madan, D.B. and Yor, M. (2003) Stochastic volatility for lévy processes. Mathematical Finance 13 (3), pp. 345-382. ISSN 0960-1627.

    Geman, Helyette (2002) Pure jump lévy processes for asset price modelling. Journal of Banking & Finance 26 (7), pp. 1297-1316. ISSN 0378-4266.

    Geman, Helyette and Vasicek, O. (2001) Forward and futures contracts on non-storable commodities: the case of electricity. Risk 14 (8), pp. 93-97.

    Carr, P. and Geman, Helyette and Madan, D. (2001) Pricing and hedging in incomplete markets. Journal of Financial Economics 62 (1), pp. 131-167. ISSN 0304-405X.

    Geman, Helyette (2001) Time changes for lévy processes. Mathematical Finance 11 (1), pp. 79-96. ISSN 0960-1627.

    Geman, Helyette (2001) Time changes, laplace transforms and path-dependent options. Computational Economics 17 , pp. 81-92. ISSN 0927-7099.

    Geman, Helyette (2000) The Bermuda Triangle: electricity, weather and insurance derivatives. Journal of Alternative Investments 3 (1), pp. 61-69. ISSN 1520-3255.

    Geman, Helyette (2000) From Bachelier and Lundberg to insurance and weather derivatives. Mathematical Physics Studies , ISSN 0921-3767.

    Ané, T. and Geman, Helyette (2000) Order flow, transaction clock and normality of asset returns. The Journal of Finance 55 (5), pp. 2259-2284. ISSN 0022-1082.

    Geman, Helyette (1997) No arbitrage between economies and correlation risk management. Computional Economics 10 , pp. 119-138. ISSN 1572-9974.

    Geman, Helyette and Nicole, El-K. and Frachot, A. (1997) On the behavior of the long term rate in a no arbitrage framework. Review of Derivatives Research 1 , pp. 351-369. ISSN 1380-6645.

    Elliott, R.J. and Geman, Helyette and Korkie, B.M. (1997) Portfolio optimization and contingent claim pricing with differential information. Stochastics and Stochastic Reports 60 (3-4), pp. 185-203. ISSN 1744-2508.

    Geman, Helyette and Yor, M. (1997) Stochastic time changes in catastrophe option pricing. Insurance: Mathematics and Economics 21 (3), pp. 185-193. ISSN 0167-6687.

    Geman, Helyette and Yor, M. (1996) Pricing and hedging double-barrier options: a probabilistic approach. Mathematical Finance 6 (4), pp. 365-378. ISSN 0960-1627.

    Geman, Helyette (1995) Changes of numéraire, changes of probability measure and option pricing. Journal of Applied Probablity 32 (2), pp. 443-458. ISSN 0021-9002.

    Geman, Helyette and Eydeland, A. (1995) Domino effect: inverting the laplace transform. Risk 8 , pp. 65-67.

    Cummins, J.D. and Geman, Helyette (1995) Pricing catastrophe insurance futures and call spreads: an arbitrage approach. Journal of Fixed Income 4 (4), pp. 46-57.

    Geman, Helyette and Albizzati, M.O. (1994) Interest rate risk management and valuation of the surrender option in life insurance policies. Journal of Risk and Insurance 61 (4), pp. 616-637. ISSN 0022-4367.

    Geman, Helyette and El Karoui, N. (1994) A probabilistic approach to the valuation of general floating-rate notes with an application to interest rate swaps. Advances in Futures and Options Research 7 ,

    Geman, Helyette and Yor, M. (1993) Bessel processes, Asian options and perpetuities. Mathematical Finance 3 (4), pp. 349-375. ISSN 0960-1627.

    Geman, Helyette (1992) Processus de Bessel, options Asiatiques et fonctions confluentes hypergéométriques. Note aux Comptes Rendus de l'Académie des Sciences ,

    Book Section

    Geman, Helyette (2007) Mean reversion versus random walk in oil and natural gas prices. In: UNSPECIFIED (ed.) Advances in Mathematical Finance. Applied and Numerical Harmonic Analysis. Birkhäuser Basel: Springer, pp. 219-228. ISBN 9780817645441.

    Geman, Helyette (2004) Hedge funds: a copula approach for risk management. In: Szegö, G. and Kharoubi, C. (eds.) Risk Measures for the 21st Century. Wiley. ISBN 9780470861547.

    Geman, Helyette and Madan, D.B. and Yor, M. (2000) Asset prices are Brownian Motion: only in business time. In: Avellaneda, M. (ed.) Quantitative Analysis in Financial Markets. World Scientific Publishing Company. ISBN 9789810242268.

    Geman, Helyette (1999) Fundamentals of electricity derivatives. In: UNSPECIFIED (ed.) Energy Modelling and the Management of Uncertainty. Risk Books. ISBN 978899332434.

    Monograph

    Barone-Adesi, G. and Geman, Helyette and Theal, J. (2009) On the lease rate, convenience yield and speculative effects in the gold futures market. Working Paper. Swiss Finance Institute, Switzerland.

    Geman, Helyette and Balasko, Y. (1992) Risky pension benefits in an overlapping generations model. Working Paper. University of Geneva.

    Geman, Helyette (1989) L'importance de la probabilité forward neutre dans une approche stochastique des taux d'Intérêt. Working Paper. ESSEC Business School Working papers.

    Geman, Helyette (1988) Interest rate risk management: beyond duration and convexity. Technical Report. Caisse des Dépôts.

    Book

    Geman, Helyette and Madan, D. and Pliska, S. and Vorst, T., eds. (2002) Mathematical finance: Bachelier Congress 2000. Springer Finance. Springer. ISBN 9783662124291.

    Geman, Helyette (1999) Weather and insurance derivatives. Risk Books. ISBN 9781899332571.

    This list was generated on Tue Oct 19 19:57:27 2021 BST.