Browse by Staff

Deveikyte, Justina and Geman, Hélyette and Piccari, Carlo and Provetti, Alessandro (2022) A sentiment analysis approach to the prediction of market volatility. Frontiers in Artificial Intelligence 5 , ISSN 2624-8212.

Geman, Hélyette 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, Hélyette and Price, H. (2020) In the vaults: Bitcoin Futures and storage insurance. The Actuary 2020 (03), ISSN 0960-457X.

Barbi, M. and Geman, Hélyette and Romagnoli, S. (2020) Diamonds and precious metals for reduction of Portfolio Tail Risk. Applied Economics 52 (26), pp. 2841-2861. ISSN 0003-6846.

Geman, Hélyette 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, Hélyette 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.

Liu, B. and Geman, Hélyette (2017) World coal markets: still weakly integrated and moving east. Journal of Commodity Markets 5 , pp. 63-76. ISSN 2405-8513.

Geman, Hélyette (2017) Fertilizers markets: in search of the index of choice. In: Jégourel, Y. (ed.) The Financialization of Commodity Markets: A Short-lived Phenomenon? OCP Policy Center, pp. 17-32. ISBN 9789954971789.

Geman, Hélyette and Liu, B. (2016) Introducing distances between commodity markets: the case of the US and UK natural gas. In: Kallsen, J. and Papapantoleon, A. (eds.) Advanced Modelling in Mathematical Finance: In Honour of Ernst Eberlein. Springer Proceedings in Mathematics & Statistics 189 189. Springer, pp. 93-105. ISBN 9783319458731.

Geman, Hélyette and Chang, L. and Liu, B. (2016) Intraday pair trading strategies on high frequency data: the case of oil companies. Quantitative Finance 17 (1), pp. 87-100. ISSN 1469-7688.

Geman, Hélyette and Velez, Tara (2016) Ownership yield and prime real estate in alpha cities. The Journal of Wealth Management 19 (3), pp. 116-130. ISSN 1520-4154.

Geman, Hélyette and Liu, B. (2015) Are world natural gas markets moving toward integration? Evidence from the HH and NBP forward curves. Journal of Energy Markets 8 (2), pp. 47-65. ISSN 1756-3607.

Geman, Hélyette and Geman, D. and Taleb, N. (2015) Tail risk constraints and maximal entropy. Entropy 17 (6), pp. 3724-3737. ISSN 1099-4300.

Geman, Hélyette and Vergel Eleuterio, Pedro (2015) Revisiting uncertainty and price forecast indicators in corn and wheat markets. Journal of Agricultural Extension and Rural Development 7 (5), pp. 156-169. ISSN 2141-2170.

Geman, Hélyette (2015) Agricultural finance: from crops to land, water and infrastructure. Hoboken, U.S.: Wiley, pp. 39-58. ISBN 9781118827383.

Geman, Hélyette and Vergel Eleuterio, Pedro (2015) Live cattle as a new frontier in commodity markets. Journal of Agriculture and Sustainability 7 (1), pp. 39-71. ISSN 2201-4357.

Geman, Hélyette and Velez, Tara (2015) On rarity premium and ownership yield in art. Journal of Alternative Investments 18 (1), pp. 8-21. ISSN 1520-3255.

Geman, Hélyette and Scheiber, Matthias (2014) Spot price modelling of industrial metals – an heterogeneous agent based model for Copper. Working Paper. Birkbeck College, University of London, London, UK.

Diavatopoulos, D. and Geman, Hélyette and Thukral, Lovjit and Wright, C. (2014) Mispricing and trading profits in exchange-traded notes. Journal of Investing 23 (1), pp. 67-78. ISSN 1068-0896.

Barone-Adesi, G. and Geman, Hélyette and Theal, J. (2014) On the lease rate, convenience yield and speculative effects in the gold futures market. International Journal of Financial Engineering and Risk Management 1 (3), pp. 282-307. ISSN 2049-0917.

Geman, Hélyette and Eleuterio, P.V. (2013) Investing in fertilizer–mining companies in times of food scarcity. Resources Policy 38 (4), pp. 470-480. ISSN 0301-4207.

Geman, Hélyette and Smith, William O. (2013) Theory of storage, inventory and volatility in the LME base metals. Resources Policy 38 (1), pp. 18-28. ISSN 0301-4207.

Thukral, Lovjit and Diavatopoulos, D. and Geman, Hélyette and Wright, C. (2013) A daily trading strategy in the ETN space. The Journal of Trading 8 (3), pp. 57-67. ISSN 1559-3967.

Geman, Hélyette and Tunaru, R. (2012) Commercial Real-Estate Inventory and Theory of Storage. Journal of Futures Markets 33 (7), pp. 675-694. ISSN 0270-7314.

Thukral, Lovjit and Geman, Hélyette and Wright, C. (2012) Are ETNs realizing their potential? An empirical investigation of ETNs vs. other exchange-traded products in the precious metals’ space. Journal of Index Investing 3 (2), pp. 23-33. ISSN 2154-7238.

Sarfo, S. and Geman, Hélyette (2012) Seasonality in cocoa spot and forward markets: empirical evidence. Journal of Agricultural Extension and Rural Development 4 (8), pp. 164-180. ISSN 2141-2170.

Geman, Hélyette and Smith, William O. (2012) Shipping markets and freight rates: an analysis of the Baltic Dry Index. Journal of Alternative Investments 15 (1), pp. 98-109. ISSN 1520-3255.

Geman, Helyette and Kharoubi-Rakotomalala, Cécile (2011) Distortion risk measures for hedge funds. Journal of Risk Management in Financial Institutions 4 (3), ISSN 1752-8887.

Geman, Hélyette (2011) Price volatility in commodity markets: speculation or scarcity? Swiss Derivatives Review 46 , pp. 16-19.

Carr, P. and Geman, Hélyette and Madan, D.B. and Yor, M. (2010) Options on realized variance and convex orders. Quantitative Finance 11 (11), pp. 1685-1694. ISSN 1469-7688.

Geman, Hélyette (2010) Commodities and numéraire. In: Cont, R. (ed.) Encyclopedia of Quantitative Finance. Hoboken, U.S.: Wiley. ISBN 9780470057568.

Geman, Hélyette and Ohana, S. (2009) Forward curves, scarcity and price volatility in oil and natural gas markets. Energy Economics 31 (4), pp. 576-585. ISSN 0140-9883.

Geman, Hélyette, ed. (2009) Risk management in commodity markets: from shipping to agriculturals and energy. Hoboken, U.S.: Wiley. ISBN 9780470694251.

Geman, Hélyette and Shih, Yih-Fong (2009) Modeling commodity prices under the CEV model. Journal of Alternative Investments 11 (3), pp. 65-84. ISSN 1520-3255.

Cartea, Alvaro and Figueroa, M.G. and Geman, Hélyette (2009) Modelling electricity prices with forward looking capacity constraints. Applied Mathematical Finance 16 (2), pp. 103-122. ISSN 1466-4313.

Eberlein, E. and Geman, Hélyette and Madan, D.B. (2009) On pricing risky loans and collateralized fund obligations. Journal of Credit Risk 5 (3), pp. 37-54. ISSN 1744-6619.

Barone-Adesi, G. and Geman, Hélyette 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, 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.

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.

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.

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.

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 (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 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.

Geman, Hélyette (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.

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

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

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

Geman, Hélyette and Roncoroni, A. (2006) Understanding the fine structure of electricity prices. Journal of Business 79 (3), pp. 1225-1261. ISSN 0021-9398.

Geman, Hélyette and Ohana, Steve (2005) Time-consistency in managing a commodity portfolio: a dynamic risk. Working Paper. Birkbeck, University of London, London, UK.

Geman, Hélyette (2005) Commodities and commodity derivatives: modeling and pricing for agriculturals, metals and energy. New York, U.S.: Wiley. ISBN 9780470012185.

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

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

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

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

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

Geman, Hélyette 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, Hélyette (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, Hélyette 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, Hélyette 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.

Carr, P. and Geman, Hélyette and Madan, D.B. and Yor, M. (2002) The fine structure of asset returns: an empirical investigation. Journal of Business 75 (2), pp. 305-332. ISSN 0021-9398.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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