Research on commodities by members of the CFC
Published Papers
- "Shipping Markets and Freight Rates: An Analysis of the Baltic Dry Index", 2012, Journal of Alternative Investments (Helyette Geman and William Smith)
- "Price Volatility in Storable Commodity Markets: Speculation or Scarcity?", 2011, Swiss Derivatives Review (Helyette Geman)
- "Distortion Risk Measures for Hedge Funds", 2011, Journal of Risk Management for Financial Institutions (Helyette Geman and C Kharoubi)
- "Commodities and Numéraire", 2010, Encyclopedia of Quantitative Finance , Wiley Publisher (Helyette Geman)
- "Realized Variance Options and Convex Orders", 2010, Quantitative Finance (Helyette Geman)
- "Forward Curves, Scarcity and Price Volatility in Oil and Natural Gas Markets", 2009, Energy Economics (Helyette Geman)
- "Modelling Electricity Prices with Forward Looking Capacity Constraints", 2009, Applied Mathematical Finance (Helyette Geman)
- "Modeling Commodity Prices under the CEV model", Winter 2009, Journal of Alternative Investments (Helyette Geman and Yih Fong Shih )
- "WTI crude oil Futures in portfolio diversification : The time-to-maturity effect", 2008, Journal of Banking and Finance (Helyette Geman)
- "Valuation of default-sensitive claims under imperfect information", 2008, Finance and Stochastics (Helyette Geman)
- "Correlations and the Pricing of Risks", 2008, Annals of Finance (Helyette Geman)
- "A lattice-based Method for the Pricing of Energy Derivatives in the Threshold Model", 2008, Applied Mathematical Finance (Helyette Geman)
- "Time Consistency in Managing a Commodity Portfolio: A Dynamic Risk Measure Approach", 2008, Journal of Banking and Finance (Helyette Geman)
- "Seasonal and Stochastic Features in Commodity Forward Curves", 2007, Review of Derivatives Research (Helyette Geman)
- "Water as the Next Commodity", 2007; Journal of Alternative Investments (Helyette Geman)
- " Mean Reversion versus Random Walk in Oil and Natural Gas Price s", 2007, Advances in Mathematical Finance, Birkhäuser Boston (Helyette Geman)
- "Self Decomposition and Option Pricing, 2007, Mathematical Finance (Helyette Geman)
- Understanding the Fine Structure of Electricity Prices (Helyette Geman and Andrea Roncoroni)
The Journal of Business , Volume 79,2006.
- "Alternative Approaches to Weather Derivative Valuation", 2005, Managerial Finance , 2005 (Helyette Geman and M.P. Leonardi)
- "Soybean inventory and forward curves dynamics", 2005, Management Science, Fall 2005 (Helyette Geman and V. Nguyen)
- "Forward and Futures Contracts on Non-Storable Commodities : The Case of Electricity", 2001, RISK, August, (Helyette Geman and O. Vasicek )
- "Spot and Derivatives Trading in Deregulated European Electricity Markets ", 2001, Revue Economies et Sociétés (Helyette Geman)
- "The Bermuda Triangle : Electricity, Weather and Insurance Derivatives", 2000, Journal of Alternative Investments, September (Helyette Geman)
- "Fundamentals of Electricity Derivatives", 1999, Chapter of the book "Energy Modelling and the Management of Uncertainty", RISK Books (Helyette Geman)
- "Pricing Power Derivatives", 1998, RISK , October, (Helyette Geman and A. Eydeland)
Working papers
Books