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Hélyette Geman

Director, Commodity Finance Centre
London Graduate School in Mathematical Finance
Personal website

Current research

  • Land Valuation
  • Water as the Next Commodity
  • The Importance of Commodity Spot Markets
  • Forward Curve Dynamics and Theory of Storage
  • Crude Oil and Refined Products, Gas, Electricity
  • Asset Management in Energy and Mining Companies
  • Agricultural Commodities and Seasonality
  • Coal, Shipping and Freight
  • Valuation of Physical Assets in the Commodity Industry
  • Asset Price Modeling with Pure Jump (Levy) Processes
  • High-Frequency Data and Trading Volume in Commodity Markets
  • Hedge Funds Management and Risk Measures
  • Property Derivatives
  • Financial Markets and their Incompleteness : The Examples of Weather Derivatives, Emissions and CO2 markets

Forthcoming and recent talks

  • Keynote Speaker at the 8th Bachelier Finance Society World Congress, Brussels, June 2014
  • Invited Speaker at Global Derivatives USA, Chicago, November 2013
  • Plenary Speaker at the SIRE, University of Glasgow & St Andrews Conference on "Finance and Commodities", University of St Andrews, July 2013
  • Invited Speaker at UK Mathematical Finance Workshop, King's College London, June 2013
  • Keynote Speaker at Commodity Investment World Asia 2013, Singapore, March 2013
  • Invited Speaker at Global Derivatives USA, Chicago, November 2012
  • Invited Speaker at the CRU and Simon Fraser Institute Mining Business Risks Summit, Toronto, October 2012
  • Keynote Speaker at the Vale-sponsored Conference on Economics and Econometrics of Commodity Prices, Getulia Vargas Foundation, Rio de Janeiro, August 2012
  • Invited Speaker at the Informa Conference on Price Risk Management in Agricultural Markets, London, July 2012
  • Invited Speaker at the Invivo Conference Agriculture and Finance, Paris, June 2012
  • Invited Speaker at the World Gold Council Summit for Wealth Management, Moderator Gillian Tett, London, June 2012
  • Invited Speaker at the Euromoney Food and Finance Conference, London, May 2012
  • Keynote Speaker at the World Copper Conference, Santiago, Chile, April 2012
  • Invited Speaker at the Global Derivatives Conference, Barcelona, April 2012
  • Invited Speaker at the Conference Global Derivatives USA, Chicago, November 2011.
  • Invited Speaker at the World Commodities Week, London, October 2011.
  • Distinguished Speaker at the Swiss Financial Market Supervisory Authority Meeting, Interlaken, September 2011.
  • Invited Speaker at the Conference New Commodity Markets, Oxford-Man Institute of Quantitative Finance, Oxford, June 2011.
  • Invited Speaker at the Family Office Investment Summit, London, May 2011.
  • Invited Speaker at the Global Forum on Commodities, United Nations, Geneva, January 2011.
  • Keynote Speaker at the Conference on Commodities, Academy of Sciences of Heidelberg, July 2010
  • Keynote Speaker at Energy Risk, Houston, May 2010
  • Invited Speaker at ICBI Global derivatives, Paris, May 2010
  • Invited Speaker at the Conference Current Developments in Valuation and Hedging in Incomplete Markets, Cass Business School, April 2010
  • Guest Speaker at the Industrial - Academic Forum on Commodities, Fields Institute, April 2010
  • Invited Speaker at the Bundesbank Workshop on Regulation, Frankfurt, March 2010
  • Wilmar-International Public Lecture on Commodities, Singapore Management University, January 2010
  • Keynote Speaker on Agricultural Commodities, Palais de la Bourse, October 2009
  • Keynote Speaker at Energy Forum, Rome, May 2009
  • Invited Speaker at a Conference on Financial Engineering, Georgia Tech, Atlanta, April 2009
  • Invited Speaker on Mathematical Finance, Fields Institute, Toronto, March 2009

PhD Students

  • Current students
    • Oliwia Koslowska : Missing Data in Commodities and Change of Filtrations - The Case of Crude Oil
    • Patrick O’Driscoll: Crude Oil, Refined Products and Refinery Optimization using Stochastic Methods
    • Seth Sarfo : Stochastic Modelling of the Forward Curve - The Case of Cocoa
    • Matthias Scheiber : Impact of Heterogeneous Beliefs on the Copper Market
    • Will Smith : The Working Curve for Metals and Agricultural Commodities
    • Lovjit Thukral : High Frequency Trading in Commodities
    • Pedro Vergel : Agricultural Commodities and Fertilizers. Introducing Subsidies in the Equilibrium
  • Past students
    • Benoit Guilleminot - 2010 : Seasonal and Stochastic Features of Agricultural Commodities
    • Yih-Fong Shih - 2010 : Calibrating Skews and Volatility Surfaces in Metals and Gold markets
    • John Theal - 2009 : Convenience Yield, Lease Rate and Inventories in Gold Markets
    • Stelios Kourouvakalis - 2008 : Optimization of Physical Assets in the Energy Industry
    • Marc Atlan - 2007 : Sato and Bessel Processes For Equity, Interest Rates and Credit
    • Steve Ohana - 2006 : Energy Commodities : Supply Chain Management and Hedging Issues
    • Delia Coculescu - 2005 : Pricing Credit Derivatives under Asymmetric Information
    • Alois Kanyinda - 2005 : Water and Water Risk Management
    • Aymeric Kalife - 2004 : Impact of a large trader on the market microstructure and option pricing
    • Marie-Pascale Leonardi - 2004 : Weather Derivatives : Pricing in Incomplete Markets
    • Vu-Naht Nguyen - 2004 : Commodity Forward Curves Modelling : the Case of Soybeans
    • Cecile Kharoubi - 2003 : Hedge Funds and Extreme Market Moves : the Benefits of Copulas
    • Andrea Roncoroni - 2002 : Electricity Prices Revisited : a Jump-Reverting model
    • Thierry Ane - 2001 : Stochastic Subordination and Empirical Finance
    • Jean-Noel Dordain - 1999 : Valuation of Swing Options in Electricity and Natural Gas Markets
    • Nassim Taleb - 1998 : The Microstructure of Dynamic Hedging
    • Remy Souveton - 1996 : Illiquidity and The Probability of Default of an Exchange
    • Marie-Odile Albizzati - 1995 : The Surrender Option in Life-Insurance Products
    • Jacques Friggit - 1994 : Business Time and Stochastic Volatility in Equity Markets

Recent books

  • Risk Management in Commodity Markets: From Shipping to Agriculturals and Energy, November 2008, Wiley Finance.
  • Commodities and Commodity Derivatives: Modelling and Pricing for Agriculturals, Metals and Energy, January 2005, Wiley Finance
  • Co-editor of ''Selected Publications from the Bachelier World Congress, Paris 2000'', Springer Verlag, 2001
  • "Weather and Insurance Derivatives" Publisher: RISK Books, 1999

Published Papers

  • "Investing in Fertilizer Mining Companies in Times of Food Scarcity" (with P. Vergel), forthcoming 2014, Resources Policy
  • "On the Lease Rate, Convenience Yield and Speculative Effects in the Gold Futures Market" (with G. Baroneadesi and J. Theal), forthcoming 2014, International Journal of Financial Engineering and Risk Management
  • "Mispricing and Trading Profits in ETNs", forthcoming 2014 (with L. Thukral et al.), Journal of Investing
  • "A Daily Trading Strategy in the ETN Space", Summer 2013 (with L.Thukral et al), Journal of Trading
  • "Are ETNs realizing their potential? An empirical investigation of ETNs vs. other exchange traded products in the precious metals space.", 2012 (with L. Thukral), Journal of Index Investing
  • "Theory of Storage, Inventory and Volatility in the LME Base Metals", 2012 (with W.O. Smith), Resources Policy
  • "Commercial Real Estate Inventory and Theory of Storage", 2012 (with R.Tunaru), Journal of Futures Markets
  • Seasonality in Cocoa Spot and Forward Markets: Empirical Evidence", 2012 (with S. Sarfo), Journal of Agricultural Extension and Rural Development
  • "Shipping Markets and Freight Rates: An Analysis of the Baltic Dry Index", 2012 (with W.O. Smith), Journal of Alternative Investments
  • "Price Volatility in Storable Commodity Markets: Speculation or Scarcity?", 2011, Swiss Derivatives Review
  • "Distortion Risk Measures for Hedge Funds", 2011 (with C. Kharoubi), Journal of Risk Management for Financial Institutions
  • "Commodities and Numéraire", 2010, Encyclopedia of Quantitative Finance, Wiley Publisher.
  • "Realized Variance Options and Convex Orders", 2010, Quantitative Finance
  • "On the Lease Rate, Convenience Yield and Speculative Effects in the Gold Futures Market", 2009, Swiss Finance Institute Research Paper
  • "On Pricing Risky Loans and Collateralized Fund Obligations", 2009, Journal of Credit Risk
  • "Forward Curves, Scarcity and Price Volatility in Oil and Natural Gas Markets", 2009, Energy Economics
  • "Modelling Electricity Prices with Forward Looking Capacity Constraints", 2009, Applied Mathematical Finance
  • "Modeling Commodity Prices under the CEV model", Winter 2009, Journal of Alternative Investments
  • "WTI crude oil Futures in portfolio diversification : The time-to-maturity effect", 2008, Journal of Banking and Finance
  • "Valuation of default-sensitive claims under imperfect information", 2008, Finance and Stochastics
  • "Correlations and the Pricing of Risks", 2008, Annals of Finance
  • "A lattice-based Method for the Pricing of Energy Derivatives in the Threshold Model", 2008, Applied Mathematical Finance
  • "Time Consistency in Managing a Commodity Portfolio: A Dynamic Risk Measure Approach", 2008, Journal of Banking and Finance
  • "Seasonal and Stochastic Features in Commodity Forward Curves", 2007, Review of Derivatives Research
  • "Water as the Next Commodity", 2007; Journal of Alternative Investments
  • "Mean Reversion versus Random Walk in Oil and Natural Gas Prices", 2007, Advances in Mathematical Finance, Birkhäuser Boston
  • "Self Decomposition and Option Pricing, 2007, Mathematical Finance
  • "Understanding the Fine Structure of Electricity Prices", 2006, Journal of Business
  • "Energy Commodity Prices: Is Mean-Reversion Dead?", 2005, Journal of Alternative Investments
  • "From Measure Changes to Time Changes in Asset Pricing", 2005, Journal of Banking and Finance
  • "Pricing Options on Realized Variance", 2005, Finance and Stochastics
  • "Soybean inventory and forward curves dynamics", 2005, Management Science
  • "Alternative Approaches to Weather Derivative Valuation", 2005, Managerial Finance
  • "From Local Volatility to Local Lévy Models", 2004, Quantitative Finance
  • "Hedge Funds: A Copula Approach for Risk Management", 2004, in Risk Measures for the 21st Century, Wiley
  • "Stochastic Volatility for Lévy Processes", 2003, Mathematical Finance
  • "Hedge Funds Revisited: Distributional Characteristics, Dependence Structure and Diversification", 2003, Journal of Risk
  • "Pure Jump Lévy Processes for Asset Price Modelling", 2002, Journal of Banking and Finance
  • "The Fine Structure of Asset Returns : An Empirical Investigation", 2002, Journal of Business
  • "Time Changes, Laplace Transforms and Path-Dependent Options", 2001, Computational Economics
  • "Forward and Futures Contracts on Non-Storable Commodities: The Case of Electricity", 2001, RISK, (with O. Vasicek)
  • "Spot and Derivatives Trading in Deregulated European Electricity Markets ", 2001, Revue Economies et Sociétés
  • "Pricing and Hedging in Incomplete Markets", 2001, Journal of Financial Economics
  • "Time Changes for Lévy Processes", 2001, Mathematical Finance
  • "The Bermuda Triangle: Electricity, Weather and Insurance Derivatives", 2000, Journal of Alternative Investments
  • "Asset Prices are Brownian Motion : only in Business Time", 2000, Chapter of the book Quantitative Analysis in Financial Markets, World Scientific Publishing Company
  • "From Bachelier and Lundberg to Insurance and Weather Derivatives", 2000, Mathematical Physics Studies, Kluwer Publishers
  • "Order Flow, Transaction Clock and Normality of Asset Returns", 2000, The Journal of Finance
  • "Fundamentals of Electricity Derivatives", 1999, Chapter of the book "Energy Modelling and the Management of Uncertainty", RISK Books
  • "Pricing Power Derivatives", 1998, RISK
  • "On the Behavior of the Long Term Rate in a No Arbitrage Framework", 1998, Review of Derivatives Research
  • "Stochastic Time Changes and Catastrophe Option Pricing", 1997, Insurance: Mathematics and Economics
  • "Portfolio Optimization and Contingent Claim Pricing With Differential Information", 1997, Stochastics and Stochastic Reports
  • "No Arbitrage Between Economies and Correlation Risk Management", 1997, Computional Economics
  • "Pricing and Hedging Double-Barrier Options: a Probabilistic Approach", 1996, Mathematical Finance
  • "Stochastic Subordination", 1996, RISK
  • "Insurance Risk Securitization and CAT Insurance Derivatives", 1996, Financial Derivatives and Risk Management
  • "Changes of Numéraire, Changes of Probability Measures and Option Pricing" 1995, Journal of Applied Probablity
  • "Domino Effect: Inverting the Laplace Transform", 1995, RISK
  • "Pricing Catastrophe Futures Contracts and Call Spreads: An Arbitrage Approach", 1995, Journal of Fixed Income
  • "Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies", 1994, Journal of Risk and Insurance
  • "Catastrophe Calls", 1994, RISK
  • "An Asian Option Approach to the Valuation of Insurance Futures Contracts", 1994, Review of Futures Markets
  • "A Probabilistic Approach to the Valuation of General Floating-Rate Notes with an Application to Interest Rate Swaps", 1994, Advances in Options and Futures Research
  • "Bessel Processes, Asian Options and Perpetuities", 1993, Mathematical Finance
  • "Risky Pension Benefits in an Overlapping Generations Model", 1992, with Y. Balasko, University of Geneva Working Paper
  • "Processus de Bessel, Options Asiatiques et Fonctions confluentes hypergéométriques", 1992, Note aux Comptes Rendus de l'Académie des Sciences
  • "A Stochastic Approach to the Pricing of Floating Rate Notes", 1991, RISK
  • "Trading/Non Trading Time Effects in the French Futures Markets", 1991, Journal of Accounting, Auditing and Finance
  • "A Framework for Interest Risk Analysis and Portfolio Management", 1989, American Stock Exchange Colloquium Proceedings
  • "L'Importance de la Probabilité Forward Neutre dans une Approche Stochastique des Taux d'Intérêt", 1989, ESSEC Working Paper (Univ. Paris Panthéon Sorbonne PhD Dissert)
  • "Interest Rate Risk Management : Beyond Duration and Convexity", 1988, Caisse des Dépôts Technical Report

Contact details

Phone: +44 (0) 20 7631 6487
Email: h.geman@bbk.ac.uk
Room: 722
Office Hours: email for appointment