2008

Beckert, Walter and McFadden, D.L. (2008) Maximum uniform convergence rates in parametric estimation problems. Econometric Theory 26 (2), pp. 469-500. ISSN 0266-4666.

Geman, Hélyette (2008) Introduction. Applied Mathematical Finance 15 (5-6), pp. 403-404. ISSN 1466-4313.

Geman, Hélyette (2008) Stochastic slock and financial markets. In: Yor, M. (ed.) Aspects of Mathematical Finance. Berlin, Germany: Springer, pp. 37-52. ISBN 9783540752585.

Geman, Hélyette and Kharoubi, C. (2008) Correlations and the pricing of risks. Annals of Finance 32 (12), pp. 2553-2559. ISSN 1614-2446.

Geman, Hélyette and Kourouvakalis, S. (2008) A lattice-based method for pricing electricity derivatives under the threshold model. Applied Mathematical Finance 15 (5-6), pp. 531-567. ISSN 1466-4313.

January 2008

Cartea, Alvaro and Figueroa, M.G. and Geman, Hélyette (2008) Modelling electricity prices with forward looking capacity constraints. Working Paper. Birkbeck College, University of London, London, UK.

April 2008

Coculescu, D. and Geman, Hélyette and Jeanblanc, M. (2008) Valuation of default-sensitive claims under imperfect information. Finance and Stochastics 12 (2), pp. 195-218. ISSN 0949-2984.

October 2008

Beckert, Walter and Blundell, R. (2008) Heterogeneity and the non-parametric analysis of consumer choice: conditions for invertibility. Review of Economic Studies 75 (4), pp. 1069-1080. ISSN 0034-6527.

Geman, Hélyette and Ohana, S. (2008) Time-consistency in managing a commodity portfolio: a dynamic risk measure approach. Journal of Banking & Finance 32 (10), pp. 1991-2005. ISSN 0378-4266.

December 2008

Geman, Hélyette (2008) Editorial. Journal of Banking & Finance 32 (12), p. 2501. ISSN 0378-4266.

Geman, Hélyette (2008) Stochastic clock and financial markets. In: Bensoussan, A. and Zhang, Q. (eds.) Mathematical Modellling and Numerical Methods in Finance. Handbook of Numerical Analysis 10.101. Amsterdam, The Netherlands: Elsevier, pp. 649-664. ISBN 9780444518798.

Geman, Hélyette and Kharoubi, C. (2008) WTI crude oil futures in portfolio diversification: the time-to-maturity effect. Journal of Banking & Finance 32 (12), pp. 2553-2559. ISSN 0378-4266.