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Hélyette Geman · Study
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Author
Hélyette Geman
35 works
· latest 2022
· 4 institutions
cluster: provisional
ORCID 0000-0002-4734-931X
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35
Citations
7,846
Works here
35
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Most cited in this library
The Fine Structure of Asset Returns: An Empirical Investigation
2002 · 1,725 citations
Stochastic Volatility for Lévy Processes
2003 · 871 citations
Changes of numéraire, changes of probability measure and option pricing
1995 · 808 citations
BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
1993 · 557 citations
Order Flow, Transaction Clock, and Normality of Asset Returns
2000 · 420 citations
Works
35 shown
A sentiment analysis approach to the prediction of market volatility
Frontiers in Artificial Intelligence
·
2022
·
4 authors
·
Open access
75
citations
Intraday pairs trading strategies on high frequency data: the case of oil companies
Quantitative Finance
·
2016
·
2 authors
45
citations
Theory of storage, inventory and volatility in the LME base metals
Resources Policy
·
2012
·
1 author
99
citations
Shipping Markets and Freight Rates: An Analysisof the Baltic Dry Index
The Journal of Alternative Investments
·
2012
·
1 author
·
Open access
57
citations
Commodities and Commodity Derivatives: Modeling and Pricing for Agriculturals, Metals and Energy
BIROn (Birkbeck, University of London)
·
2009
·
1 author
·
book
302
citations
Forward curves, scarcity and price volatility in oil and natural gas markets
Energy Economics
·
2009
·
2 authors
143
citations
Modeling Commodity Prices under the CEV Model
The Journal of Alternative Investments
·
2008
·
2 authors
77
citations
WTI crude oil Futures in portfolio diversification: The time-to-maturity effect
Journal of Banking & Finance
·
2008
·
2 authors
115
citations
Valuation of default-sensitive claims under imperfect information
Finance and Stochastics
·
2008
·
3 authors
·
Open access
60
citations
SELF‐DECOMPOSABILITY AND OPTION PRICING
Mathematical Finance
·
2006
·
4 authors
·
Open access
179
citations
Seasonal and stochastic effects in commodity forward curves
Review of Derivatives Research
·
2006
·
2 authors
·
Open access
85
citations
Understanding the Fine Structure of Electricity Prices*
The Journal of Business
·
2006
·
2 authors
·
Open access
386
citations
Pricing options on realized variance
Finance and Stochastics
·
2005
·
4 authors
132
citations
Soybean Inventory and Forward Curve Dynamics
Management Science
·
2005
·
2 authors
157
citations
Alternative approaches to weather derivatives pricing
Managerial Finance
·
2005
·
2 authors
·
Open access
43
citations
From measure changes to time changes in asset pricing
Journal of Banking & Finance
·
2005
·
1 author
·
Open access
32
citations
Hedge funds revisited: distributional characteristics, dependence structure and diversification
The Journal of Risk
·
2003
·
2 authors
30
citations
Stochastic Volatility for Lévy Processes
Mathematical Finance
·
2003
·
4 authors
·
Open access
871
citations
Pure jump Lévy processes for asset price modelling
Journal of Banking & Finance
·
2002
·
1 author
115
citations
The Fine Structure of Asset Returns: An Empirical Investigation
The Journal of Business
·
2002
·
4 authors
1,725
citations
Stochastic Volatility for Levy Processes
SSRN Electronic Journal
·
2002
·
4 authors
·
preprint
·
Open access
58
citations
Pricing and hedging in incomplete markets
Journal of Financial Economics
·
2001
·
3 authors
300
citations
Time Changes for Lévy Processes
Mathematical Finance
·
2001
·
3 authors
231
citations
ASSET PRICES ARE BROWNIAN MOTION: ONLY IN BUSINESS TIME
WORLD SCIENTIFIC eBooks
·
2001
·
3 authors
·
chapter
54
citations
Order Flow, Transaction Clock, and Normality of Asset Returns
The Journal of Finance
·
2000
·
2 authors
420
citations
Insurance and Weather Derivatives: From Exotic Options to Exotic Underlyings
HAL
·
1999
·
1 author
·
book
46
citations
Fundamentals of Electricity Derivatives
·
1999
·
2 authors
56
citations
An Asian Option Approach to the Valuation of Insurance Futures Contracts
SSRN Electronic Journal
·
1998
·
2 authors
·
preprint
·
Open access
33
citations
Stochastic time changes in catastrophe option pricing
Insurance Mathematics and Economics
·
1997
·
2 authors
64
citations
Portfolio optimization and contingent claim pricing with differential information
Stochastics and stochastics reports
·
1997
·
3 authors
31
citations
PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
Mathematical Finance
·
1996
·
2 authors
229
citations
Changes of numéraire, changes of probability measure and option pricing
Journal of Applied Probability
·
1995
·
3 authors
808
citations
Pricing Catastrophe Insurance Futures and Call Spreads
The Journal of Fixed Income
·
1995
·
2 authors
120
citations
Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies
Journal of Risk & Insurance
·
1994
·
2 authors
111
citations
BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
Mathematical Finance
·
1993
·
2 authors
557
citations