Hélyette Geman

Professor, Finance Department

  Commodities and Commodity Derivatives. Modeling and Pricing for Agriculturals, Metals and Energy. (United Kingdom)  : Wiley Finance, 2005
  Mathematical Finance. Bachelier Congress 2000. (with D. Madam, S. Pliska, T. Vorst). Heidelberg (Allemagne)  : Springer Verlag, 2001
  Insurance and Weather Derivatives: From Exotic Options to Exotic Underlyings.  : Risk Books, 2001


  "Modeling Commodity Pirces under the CEV Model" (H. Geman, Y. Fong Shik), J. of Alternative Investments, Dec. 2008, Vol. winter, Issue -, p. 1‑20
  "Time-consitency in managing a commodity portfolio" (H. Geman, S. Ohana), Journal of Banking and Finance, Oct. 2008, Vol. 32, Issue 10, p. 1991‑2005
  "WTI Crude Oil Futures in Portfolio Diversification" (H. Geman, C. Kharoubi), Journal of Banking Finance and Accounting, Oct. 2008, Vol. 32, Issue -, p. 2553‑2559
  "Valuation of Default Sensitive Claims under Imperfect Information" (H. Geman, D. Coculescu, M. Jeanblanc), Finance and Stochastics
  "Time Consistency in Managing Commodity Portfolio: A DYnamic Risk Measure Approach" (H. Geman, S. Ohana), Journal of Banking and Finance
  "Water as the Next Commodity" (H. Geman, A. Kanyinda), Journal of Alternative Invesments, Oct. 2007, Vol. 10, Issue 2, p. 23‑30
  "Seasonal and Stochastic Effects in Commodity Forward Curves" (S. Borovkova, H. Geman), Review of Derivatives Research, Aug. 2007, Vol. 9, p. 167‑186
  "Mean Reversion versus Random Walk in Oil and Natural Gas Prices" (H. Geman), Advances in Mathematical Finance, Jan. 2007
  "Correlations and the Pricing of Risks" (H. Geman, M. Atlan, D. Madan, M. Yor), Annals of Finance, Jan. 2007
  "Self Decomposition and Option Pricing" (H. Geman, P. Carr, D. Madan, M. Yor), Mathematical Finance, Jan. 2007, p. 31‑57
  "Analysis and Modelling of Electricity Futures Prices" (H. Geman, S. Borovkova), Studies in Nonlinear Dynamics & Econometrics, Oct. 2006
  "Understanding the Fine Structure of Electricity Prices" (A. Roncoroni), Journal of Business, May 2006, Vol. 79, Issue 3
  "Pricing Option on Realized Variance" (H. Geman, P. Carr, D. Madan, M. Yor), Finance & Stochastic, Oct. 2005, Vol. 9, Issue 4, p. 453‑475
  "From Local Volatility to Local Lévy Models" (P. Carr, D. Madan, M. Yor), Quantitative Finance, Oct. 2005, Vol. 4
  "Soybeans Inventory and Forward Curve Dynamics" (V. Nguyen), Management Science, Jul. 2005, Vol. 51, Issue 7
  "Energy Commodity Prices: Is Mean-reversion Dead?" (H. Geman), Journal of Alternative Investments (The), Jan. 2005, Vol. 8, Issue 2
  "Alternative Approaches to Weather Derivatives Pricing" (M. Leonardi), Energy Pricing and Risk Management, Jan. 2005, Vol. 31, Issue 6
  "Hedge Funds Revisited: Distributional Characteristics, Dependence Structure and Diversification" (C. Kharoubi), Journal of Risk (The), Aug. 2003, Vol. 5, Issue 4
  "Stochastic Volatility for Lévy Processes" (H. Geman, P. Carr, D. Madan, M. Yor), Mathematical Finance, Jul. 2003, Vol. 13, Issue 3
  "Le financement des risques catastrophiques" (H. Geman), Risques, Jan. 2003, Issue 53
  "The Fine Structure of Asset Returns" (P. Carr, D. Madan, M. Yor), Journal of Business, May 2002
  "Instruments dérivés à sous-jacent exotique : l'exemple des dérivés climatiques" (H. Geman), Banque et Marché, Jul. 2001, Issue 53
  "Forwards and Futures on Non Storable Commodiites: the Case of Electricity" (O. Vasicek), Risk, Jan. 2001
  "Time changes for Lévy Processes" (D. Madan, M. Yor), Mathematical Finance, Jan. 2001, Vol. 11, Issue 1
  "Time Changes, Laplace Transforms and Path-dependent Options" (H. Geman), Computational Economics, Jan. 2001, Vol. 17
  "Spot and Derivatives Trading in Deregulated European Electricity Markets" (H. Geman), Economies et Sociétés, Jan. 2001
  "Pricing and Hedging in Incomplete Markets" (P. Carr, D. Madan), Journal of Financial Economics, Jan. 2001, Vol. 62, Issue 1
  "Order Flow, Transaction Clock and Normality of Asset Returns" (T. Ane), Journal of Finance, Oct. 2000, Vol. 55, Issue 5
  "The Bermuda Triangle: Weather, Electricity and Insurance Derivatives" (H. Geman), Journal of Alternative Investments (The), Jul. 2000, Vol. 3, Issue 1
  "On the Role of State Variables in Interest Rates Models" (N. El Karoui, V. Lacoste), Applied Stochastic Models and Data Analysis, Jan. 2000, Issue 16
  "Stochastic Volatility and Transaction Time: An Activity-based Volatility Estimator" (T. Ane), Journal of Risk (The), Sept. 1999, Vol. 2, Issue 1
  "Pricing Power Derivatives" (A. Eydeland), Risk, Oct. 1998
  "Learning About Risk: Some Lessons from Insurance" (H. Geman), European Finance Review, June 1998, Vol. 2, Issue 2
  "On the Behavior of Long Zero Coupon Rates in a No Arbitrage Framework" (N. El Karoui, A. Frachot), Review of Derivatives Research, Jan. 1998, Vol. 1
  "Stochastic Time Changes in Catastrophe Option Pricing" (M. Yor), Insurance : Mathematics and Economics, Dec. 1997, Vol. 21, Issue 3, p. 185‑193
  "De Bachelier à Black-Scholes-Merton" (H. Geman), Bulletin Français d'Actuariat ET Gazette des Mathématiciens, Dec. 1997, Vol. 1, Issue 2
  "Risques catastrophiques, risque d'assurance et marchés financiers" (H. Geman), Annales des Ponts et Chaussées, Sept. 1997, Issue 84
  "No Arbitrage Between Economies and Correlation Risk Management" (R. Souveton), Journal of Computational Economics, May 1997, Vol. 10, Issue 2
  "Portfolio Optimization and Contingent Claim Pricing with Differential Information" (R. Elliott, B. Korkie), Stochastics and Stochastics Reports, May 1997, Vol. 60
  "Editeur invité d'un numéro spécial" (H. Geman), Mathematical Finance, Apr. 1997, Vol. 7, Issue 2
  "Insurance, Risk Securitization and Derivatives" (H. Geman), Bank of Tokyo - Mitsubishi RISK Directory, Jan. 1997
  "Pricing and Hedging Double-Barrier Options : A Probabilistic Approach" (M. Yor), Mathematical Finance, Oct. 1996, Vol. 6, Issue 4
  "Insurance-risk Securitisation and CAT Insurance Derivatives" (H. Geman), Financial Derivatives and Risk Management, Sept. 1996, Issue 7
  "Stochastic Subordination" (T. Ane), Risk, Sept. 1996, Vol. 9, Issue 9
  "Instruments dérivés pour l'industrie d'assurance" (H. Geman), Analyse Financière, Mar. 1996, Issue 106
  "Changes of Numeraire, Changes of Probability Measure and Option Pricing" (N. El Karoui, J. Rochet), Journal of Applied Probability, June 1995, Vol. 32
  "Domino Effect" (A. Eydeland), Risk, Apr. 1995, Vol. 8, Issue 4
  "Pricing Catastrophe Insurance Futures Contracts and Call Spreads" (D. Cummins), Journal of Fixed Income (The), Mar. 1995
  "Invited Note on the Paper Option Pricing by Esscher Transforms" (H. Geman), Transactions of the Society of Actuaries, Jan. 1995, Vol. XLVI
  "Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies" (M. Albizzati), Journal of Risk and Insurance, Dec. 1994, Vol. 61, Issue 4
  "A Probabilistic Approach to the Valuation of General Floating-rate Notes with an Application to Interest Rate Swaps" (N. El‑karoui), Advances in Futures and Options Research, Nov. 1994, Vol. 7
  "Cat Calls" (H. Geman), Risk, Sept. 1994, Vol. 7, Issue 9
  "An Asian Option Approach to the Valuation of Insurance Futures Contracts" (D. Cummins), Review of Futures Markets, Sept. 1994, Vol. 13, Issue 2
  "Bessel Processes, Asian Options, and Perpetuities" (M. Yor), Mathematical Finance, Oct. 1993, Vol. 3, Issue 4
  "The French Notional Futures Contract in Risk/Return Management" (T. Schneeweis), International Review of Financial Analysis, Jan. 1993, Vol. 2, Issue 1
  "La représentation des marchés dans la modélisation probabiliste en Finance" (H. Geman), Journal de la Société de Statistique de Paris, Dec. 1992, Vol. 133, Issue 4
  "Portfolio Insurance and Synthetic Securities" (H. Geman), Applied Stochastic Models and Data Analysis, Sept. 1992, Vol. 8, Issue 3
  "Quelques relations entre processus de Bessel, options asiatiques, et fonctions confluentes hypergéométriques" (M. Yor), Comptes Rendus de l'Académie des Sciences, Nov. 1991
  "Trading/Nontrading Effects on the French Futures Markets" (T. Schneeweis), Journal of Accounting, Auditing and Finance, Sept. 1991
  "Problèmes conceptuels dans l'élaboration des outils ALM" (H. Geman), Cahiers Spéciaux de la Synthèse Financière (Les), Mar. 1991, Issue 174
  "A Stochastic Approach to Pricing FRNs" (H. Geman), Risk, Mar. 1991, Vol. 4, Issue 3
  "Une analyse générale du risque de taux - une approche approfondie" (T. Demians D'archimbaud, R. Portait), Analyse Financière, Oct. 1990
  "Une analyse générale du risque de taux - une approche simplifiée" (T. Demians D'archimbaud, R. Portait), Analyse Financière, Jan. 1990, Vol. 50
  "Interest Rate Risk Management: Beyond Duration and Convexity" (H. Geman), Caisse des Dépôts Technical Report, Jan. 1988


  Mean Reversion versus Random Wald in Oil and Natural Gas Prices. In: Advances in Mathematical Finance (with Null). Boston (USA) : Birkhäuser, 2007, p. 219-228
  Risks in Return: A Pure Jump Perspective. In: KYPRIANOU A., SCHOULENTS W., WILMOTT P.. Exotic Option Pricing and Advanced Lévy Models (with D. Madan). Chichester (Great Britain) : John Wiley and Sons, 2005
  Pricing in Incomplete Markets: From Absence of Good Deals to Acceptable Risk. In: SZEGO G.. Risk Measures for the 21st Century (with P. Madan). Chichester (Great Britain) : Wiley, 2004
  Hedge Funds: A Copula Approach for Risk Management. In: SZEGO G.. Risk Measures for the 21st Century (with C. Kharoubi). Chichester (Great Britain) : Wiley, 2004
  Functionals of Brownian Motion in Finance and Insurance. In: YOR M.. Exponential Functionals of Brownian Motion. Heidelberg (Allemagne) : Springer Finance, 2001
  Some Relations between Bessel Processes, Asian Options and Confluent Hypergeometric Functions. In: YOR M.. Exponential Functionals of Brownian Motion (with M. Yor). Heidelberg (Allemagne) : Springer Finance, 2001
  Bessel Processes, Asian Options, and Perpetuities. In: YOR M.. Exponential Functionals of Brownian Motion (with M. Yor). Heidelberg (Allemagne) : Springer Finance, 2001
  From Bachelier and Lundberg to Insurance and Weather Derivatives. In: DITO G., STERNHEIMER D.. Quantization, Deformations and Symmetries, Mathematical Physics Studies 21. Dordrecht (Pays-Bas) : Kluwer Academic Publishers, 2000
  Asset Prices Are Brownian Motion Only in Business Time. In: Quantitative Analysis in Financial Markets. : World Sci. Publishers, 2000
  Fundamentals of Electricity Derivatives. In: Energy Modelling and the Management of Uncertainty (with A. Eydeland). Londres (Angleterre) : Risk Publications, 1999, p. 35-43
  Pricing and Hedging Double-Barrier Options in Currency Markets. In: Currency Derivatives (with M. Yor). New-York (USA) : DeROSA, D.F., 1998, p. 290-302
  Some Combinations of Asian, Parisian and Barrier Options. In: DEMPSTER M., PLISKA S.. Mathematics of Derivative Securities (with M. Yor, M. Chesney, M. Jeanblanc-picque). Cambridge (Grande-Bretagne) : Cambridge University Press, 1997
  Gestion du risque d'assurance et instruments dérivés en assurance. In: SIMON Y.. Encyclopédie des Marchés Financiers. Paris (France) : Economica, 1997
  Pricing Catastrophe Insurance Futures and Call Spreads : An Arbitrage Approach. In: ALTMAN E.I., VANDERHOOF I.T.. The Strategic Dynamics of the Insurance Industry (with D. Cummins). New York (USA) : Irwin Professional, 1997, p. 219-246
  Domino Effect : Inverting the Laplace Transform. In: JARROW R.. Over the Rainbow : Developments in Exotic Options and Complex Swaps (with A. Eydeland). Londres (Grande-Bretagne) : Risk Publications, 1995
  Cat Calls. In: JARROW R.. Over the Rainbow : Developments in Exotic Options and Complex Swaps. Londres (Grande-Bretagne) : Risk Publications, 1995
  Trading/Nontrading Time Effect in French Futures Markets. In: RONEN J.. Accounting and Financial Globalization (with U. Savanayana, T. Schneeweis). New York (USA) : Quorum Books, 1991


  "La représentation des marchés dans la modélisation probabiliste en Finance" (H. Geman). Essec Research Center, DR‑92045 déc. 92.
  "L'importance de la probabilité forward neutre dans une approche stochastique des taux d'intérêt" (H. Geman). Essec Research Center, DR‑90042 avr. 89.


  "Functionals of Brownian Motion in Path-dependent Option Valuation". In : Proceedings of the 3rd European Congress of Mathematics - 3ecm,. Barcelona (Espagne) : Societa Catalana de Mathematiques, 2000
  "La gestion actif passif d'une compagnie d'assurance : l'exemple de l'option de rachat anticipé", With M. Albizzati, F. Durand. In : Transactions du 25e Colloque International des Actuaires,. Bruxelles (Belgique) : International Congress of Actuaries, 1995


  "Deux théoriciens des marchés financiers reçoivent le prix Nobel d'économie". Le Monde, 16 oct. 1997
  "La valorisation de l'option de rachat dans les contrats d'assurance-vie". La Synthèse Financiere, 01 janv. 1994

  Mathematical Finance, Blackwell Publisher
  Applied Mathematical Finance, Rootlegde Publisher
  Journal of Banking and Finance, Elseiver
  Journal of Alternative Investments,
  The Geneva Papers on Risk and Insurance Theory,
  Journal of Energy Market,


  "From Bachelier and Lundberg to Weather Derivatives", Conférence à la mémoire de Mosché Flato, Mathématicien, Fondateur du Conseil Scientifique de l'UAP, Dijon, France, 01 janv. 2001
  "Les différentes approches de la structure par termes des taux d'intérêt", Colloques Mathématiques et Finance, Institut Poincaré, Paris, France, 01 juin 1988