Helyette Geman

Research Professor

Research Interests

  • Financial Mathematics
  • Commodities
  • Ph.D. 1976, Pierre and Marie Curie University (University of Paris VI )
Journal Articles
  • Geman H, Scheiber M (2017).  Recent experiences of copper on the Shanghai futures exchange: Some lessons for warehouse monitoring.  Resources Policy.  54.
  • Liu B, Geman H (2017).  World coal markets: Still weakly integrated and moving east.  Journal of Commodity Markets.  5.
  • Geman H, Velez TM (2016).  Ownership yield and prime real estate in alpha cities.  Journal of Wealth Management.  19(3).
  • Geman H, Velez TM (2016).  Ownership Yield and Prime Real Estate in Alpha Cities.  The Journal of Wealth Management.  19(3).  116-130.
  • Liu B, Chang LB, Geman H (2016).  Intraday pairs trading strategies on high frequency data: the case of oil companies.  Quantitative Finance.  (1).
  • Geman H, Liu B (2016).  Introducing distances between commodity markets: The case of the US and UK natural gas.  Springer Proceedings in Mathematics and Statistics.  189.
  • Geman H, Liu B (2015).  Are world natural gas markets moving toward integration? Evidence from the Henry Hub and National Balancing Point forward curves.  The Journal of Energy Markets.  8(2).  47-65.
  • Geman H, Velez T (2015).  On rarity premium and ownership tield in art.  Journal of Alternative Investments.  18(1).
  • Geman D, Geman H, Taleb NN (2015).  Tail risk constraints and maximum entropy.  Entropy.  17(6).
  • Geman H, Jeanblanc M (2014).  Marc Yor: A beautiful mind has disappeared.  Stochastic Processes and their Applications.  124(6).  v-vii.
  • Adesi GB, Geman H, 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).  282.
  • Geman H, Vergel Eleuterio P (2013).  Investing in fertilizer-mining companies in times of food scarcity.  Resources Policy.  38(4).  470-480.
  • Geman H, Vergel Eleuterio P (2013).  Investing in fertilizer-mining companies in times of food scarcity.  Resources Policy.  38(4).
  • Geman H, Tunaru R (2013).  Commercial real-estate inventory and theory of storage.  Journal of Futures Markets.  33(7).
  • Geman H, Tunaru R (2013).  Commercial Real-Estate Inventory and Theory of Storage.  Journal of Futures Markets.  33(7).  675-694.
  • Geman H, Smith WO (2013).  Theory of storage, inventory and volatility in the LME base metals.  Resources Policy.  38(1).
  • Geman H, Smith WO (2012).  Shipping markets and freight rates: An Analysis of the Baltic Dry Index.  Journal of Alternative Investments.  15(1).
  • Geman H (2012).  Preface.  Risk Management in Commodity Markets: From Shipping to Agriculturals and Energy.
  • Carr P, Geman H, Madan DB, Yor M (2011).  Options on realized variance and convex orders.  Quantitative Finance.  11(11).
  • Geman H, Shih YF (2009).  Modeling commodity prices under the CEV model.  Journal of Alternative Investments.  11(3).
  • Cartea A, Figueroa MG, Geman H (2009).  Modelling electricity prices with forward looking capacity constraints.  Applied Mathematical Finance.  16(2).
  • Geman H (2009).  Stochastic Clock and Financial Markets.  Handbook of Numerical Analysis.  15.
  • Geman H, Ohana S (2009).  Forward curves, scarcity and price volatility in oil and natural gas markets.  Energy Economics.  31(4).
  • Geman H, Kourouvakalis S (2008).  A lattice-based method for pricing electricity derivatives under the threshold model.  Applied Mathematical Finance.  15(5-6).
  • Geman H (2008).  Applied Mathematical Finance: Introduction.  Applied Mathematical Finance.  15(5-6).
  • Geman H, Kharoubi C (2008).  WTI crude oil Futures in portfolio diversification: The time-to-maturity effect.  Journal of Banking and Finance.  32(12).
  • Geman H (2008).  Editorial.  Journal of Banking and Finance.  32(12).
  • Geman H, Ohana S (2008).  Time-consistency in managing a commodity portfolio: A dynamic risk measure approach.  Journal of Banking and Finance.  32(10).
  • Coculescu D, Geman H, Jeanblanc M (2008).  Valuation of default-sensitive claims under imperfect information.  Finance and Stochastics.  12(2).
  • Geman H, Kanyinda A (2007).  Water as the next commodity.  Journal of Alternative Investments.  10(2).
  • Atlan M, Geman H, Madan DB, Yor M (2007).  Correlation and the pricing of risks.  Annals of Finance.  3(4).
  • Geman H, Madan DB, Yor M (2007).  Probing option prices for information.  Methodology and Computing in Applied Probability.  9(1).
  • Carr P, Geman H, Madan DB, Yor M (2007).  Self-decomposability and option pricing.  Mathematical Finance.  17(1).
  • Borovkova S, Geman H (2006).  Analysis and modelling of electricity futures prices.  Studies in Nonlinear Dynamics and Econometrics.  10(3).
  • Borovkova S, Geman H (2006).  Seasonal and stochastic effects in commodity forward curves.  Review of Derivatives Research.  9(2).
  • Geman H, Roncoroni A (2006).  Understanding the fine structure of electricity prices.  Journal of Business.  79(3).
  • Geman H (2005).  From measure changes to time changes in asset pricing.  Journal of Banking and Finance.  29(11).
  • Carr P, Geman H, Madan DB, Yor M (2005).  Pricing options on realized variance.  Finance and Stochastics.  9(4).
  • Geman H, Nguyen VN (2005).  Soybean inventory and forward curve dynamics.  Management Science.  51(7).
  • Geman H, Leonardi MP (2005).  Alternative approaches to weather derivatives pricing.  Managerial Finance.  31(6).
  • Carr P, Geman H, Madan DB, Yor M (2004).  From local volatility to local Lévy models.  Quantitative Finance.  4(5).
  • Carr P, Geman H, Madan DB, Yor M (2003).  Stochastic volatility for Lévy processes.  Mathematical Finance.  13(3).
  • Geman H (2002).  Pure jump Lévy processes for asset price modelling.  Journal of Banking and Finance.  26(7).
  • Carr P, Geman H, Madan DB, Vor M (2002).  The Fine Structure of Asset Returns: An Empirical Investigation.  Journal of Business.  75(2).
  • Carr P, Geman H, Madan DB (2001).  Pricing and hedging in incomplete markets.  Journal of Financial Economics.  62(1).
  • Geman H (2001).  Time changes, Laplace transforms and path-dependent options.  Computational Economics.  17(1).
  • Geman H, Madan DB, Yor M (2001).  Time changes for lévy processes.  Mathematical Finance.  11(1).
  • Ané T, Geman H (2000).  Order flow, transaction clock, and normality of asset returns.  Journal of Finance.  55(5).
  • El Karoui N, Geman H, Lacoste V (2000).  On the role of state variables in interest rates models.  Applied Stochastic Models in Business and Industry.  16(3).
  • Geman H, Yor M (1997).  Stochastic time changes in catastrophe option pricing.  Insurance: Mathematics and Economics.  21(3).
  • Geman H, Souveton R (1997).  No Arbitrage between Economies and Correlation Risk Management.  Computational Economics.  10(2).
  • Geman H, Yor M (1996).  Pricing and hedging double-barrier options: A probabilistic approach.  Mathematical Finance.  6(4).
  • Geman H, Yor M (1993).  BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES.  Mathematical Finance.  3(4).
  • Geman H, Schneeweis T (1993).  The French Notional futures contract in risk/return management.  International Review of Financial Analysis.  2(1).
  • Geman H (1992).  Portfolio insurance and synthetic securities.  Applied Stochastic Models and Data Analysis.  8(3).
  • Geman H, Velez TM  Ownership Yield and Prime Real Estate in Alpha Cities.  The Journal of Wealth Management.
  • Geman H (2012).  Risk Management in Commodity Markets: From Shipping to Agriculturals and Energy.
Book Chapters
  • Borovkova S, Geman H (2012).  Forward Curve Modelling in Commodity Markets.  Risk Management in Commodity Markets: From Shipping to Agriculturals and Energy.
  • Geman H, Ohana S (2012).  Mean-Reversion and Structural Breaks in Crude Oil, Copper, and Shipping.  Risk Management in Commodity Markets: From Shipping to Agriculturals and Energy.
  • (2007).  Mean reversion versus random walk in oil and natural gas prices.  Applied and Numerical Harmonic Analysis.  (9780817645441).
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