Prof Helyette Geman
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Overview
Overview
Biography
See www.helyettegeman.com
Highlights
See Helyette Geman on Wikipedia
Office hours
Tuesday 14h00 to 17h00
Qualifications
- PhD in Probability, Universite Pierre et Marie Curie, 1986
- PhD in Finance, Universite Pantheon Sorbonne, 1988
- MSC in Theoretical Physics, Lab of Ecole Normale Superieure, 1980
Web profiles
Administrative responsibilities
- Representative of Birkbeck in the London Graduate Programme in Mathematical Finance
- Director of the Commodity Finance Center
Visiting posts
- see www.heyettegeman.com, ETH, HEC Lausanne, Universita La Sapienza, University of Geneva,
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Research
Research
Research interests
- Green Finance and Climate Change
- Renewables and Carbon Pricing
- Bitcoins and Bitcoin Derivatives
- Oil, Natural Gas and LNG Markets
- Agriculture and Commodity Derivatives
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Supervision and teaching
Supervision and teaching
Supervision
Current doctoral researchers
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LISETTE ALFAYA FRIAS
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ROLAND AMAGBO FRU
Doctoral alumni since 2013-14
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SOFIA PHILIPPOU
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DENIS MAZIERES
Teaching
Derivatives across Asset Classes
Stochastic Processes and their Applications
Teaching modules
- Derivatives across Asset Classes: Valuation and Hedging (BUEM086H7)
- Energy Transition and Green Finance (Level 6) (BUEM127S6)
- Energy Transition and Green Finance (Level 7) (BUEM128H7)
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Publications
Publications
Article
- 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 (3), 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 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 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 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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 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.
- 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.
- 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.
- Geman, Hélyette (2008) Editorial. Journal of Banking & Finance 32 (12), pp. 2501-2501. ISSN 0378-4266.
- 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.
- Geman, Hélyette (2008) Introduction. Applied Mathematical Finance 15 (5-6), pp. 403-404. ISSN 1466-4313.
- 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.
- 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 (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 Leonardi, M.‐P. (2005) Alternative approaches to weather derivative valuation. Managerial Finance 31 (6), pp. 46-72. ISSN 0307-4358.
- 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 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.
- 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.
- 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 (2002) Pure jump lévy processes for asset price modelling. Journal of Banking & Finance 26 (7), pp. 1297-1316. ISSN 0378-4266.
- 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 Vasicek, O. (2001) Forward and futures contracts on non-storable commodities: the case of electricity. Risk 14 (8), pp. 93-97.
- 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 (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.
- 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 (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.
- 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.
- 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 (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.
- 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
Book
- Geman, Hélyette Geman, Hélyette, ed. (2015) Agricultural finance: from crops to land, water and infrastructure. pp. 39-58. Hoboken, U.S.: Wiley. ISBN 9781118827383.
- Geman, Hélyette, ed. (2009) Risk management in commodity markets: from shipping to agriculturals and energy. Hoboken, U.S.: Wiley. ISBN 9780470694251.
- 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 Madan, D. and Pliska, S. and Vorst, T., eds. (2002) Mathematical finance: Bachelier Congress 2000. Springer Finance. Springer. ISBN 9783662124291.
- Geman, Hélyette (1999) Weather and insurance derivatives. Risk Books. ISBN 9781899332571.
Book Section
- 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. Springer. pp. 93-105. ISSN 2194-1009. ISBN 9783319458731.
- Geman, Hélyette (2010) Commodities and numéraire. In: Cont, R. (ed.) Encyclopedia of Quantitative Finance. Hoboken, U.S.: Wiley. ISBN 9780470057568.
- 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. Amsterdam, The Netherlands: Elsevier. pp. 649-664. ISBN 9780444518798.
- 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 (2007) Mean reversion versus random walk in oil and natural gas prices. In: Advances in Mathematical Finance. Applied and Numerical Harmonic Analysis. Birkhäuser Basel: Springer. pp. 219-228. ISBN 9780817645441.
- 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 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 (1999) Fundamentals of electricity derivatives. In: Energy Modelling and the Management of Uncertainty. Risk Books. ISBN 978899332434.
Monograph
- Geman, Hélyette and Scheiber, Matthias (2014) Spot price modelling of industrial metals – an heterogeneous agent based model for Copper. London, UK: Birkbeck College, University of London.
- Barone-Adesi, G. and Geman, Hélyette and Theal, J. (2009) On the lease rate, convenience yield and speculative effects in the gold futures market. Quantitative Finance Switzerland: Swiss Finance Institute. ISSN 1469-7688.
- Cartea, Alvaro and Figueroa, M.G. and Geman, Hélyette (2008) Modelling electricity prices with forward looking capacity constraints. London, UK: Birkbeck College, University of London.
- Geman, Hélyette and Ohana, Steve (2005) Time-consistency in managing a commodity portfolio: a dynamic risk. London, UK: Birkbeck, University of London.
- Geman, Hélyette and Balasko, Y. (1992) Risky pension benefits in an overlapping generations model. University of Geneva.
- Geman, Hélyette (1989) L'importance de la probabilité forward neutre dans une approche stochastique des taux d'Intérêt. Journal of Accounting, Auditing and Finance ESSEC Business School Working papers.
- Geman, Hélyette (1988) Interest rate risk management: beyond duration and convexity. Caisse des Dépôts.