Hélyette Geman is a French academic in the field of mathematical finance. Her career has spanned several sub-disciplines including insurance, probability theory and the finance of commodities. She is a Professor of Mathematical Finance at Birkbeck College, University of London [1] where she is the Director of the Commodity Finance Centre and Research Professor at
Johns Hopkins University.
Changes of Numeraire, Changes of Probability Measure and Option Pricing, with Nicole El Karoui, Jean-Charles Rochet. Journal of Applied Probability, Vol. 32, No. 2 (Jun., 1995), pp. 443–458
The Fine Structure of Asset Returns: An Empirical Investigation, with Peter Carr, Dilip B. Madan, and
Marc Yor. The Journal of Business 75 (2) (April 2002): 305–332.
Order Flow, Transaction Clock and Normality of Asset Returns, Journal of Finance, Oct 2000, Vol 55, pp. 2259-2284
Stochastic Time Changes in Catastrophe Option Pricing Insurance, Mathematics and Economics, Dec 1997, Vol 21, pp. 185-193.
Awards
2022 IAQF/Northfield Financial Engineer of the Year Award
^Geman, Helyette (2005). Commodities and Commodity Derivatives: Modelling and Pricing for Agriculturals, Metals and Energy. Wiley Finance.
ISBN978-0470012185.
Hélyette Geman is a French academic in the field of mathematical finance. Her career has spanned several sub-disciplines including insurance, probability theory and the finance of commodities. She is a Professor of Mathematical Finance at Birkbeck College, University of London [1] where she is the Director of the Commodity Finance Centre and Research Professor at
Johns Hopkins University.
Changes of Numeraire, Changes of Probability Measure and Option Pricing, with Nicole El Karoui, Jean-Charles Rochet. Journal of Applied Probability, Vol. 32, No. 2 (Jun., 1995), pp. 443–458
The Fine Structure of Asset Returns: An Empirical Investigation, with Peter Carr, Dilip B. Madan, and
Marc Yor. The Journal of Business 75 (2) (April 2002): 305–332.
Order Flow, Transaction Clock and Normality of Asset Returns, Journal of Finance, Oct 2000, Vol 55, pp. 2259-2284
Stochastic Time Changes in Catastrophe Option Pricing Insurance, Mathematics and Economics, Dec 1997, Vol 21, pp. 185-193.
Awards
2022 IAQF/Northfield Financial Engineer of the Year Award
^Geman, Helyette (2005). Commodities and Commodity Derivatives: Modelling and Pricing for Agriculturals, Metals and Energy. Wiley Finance.
ISBN978-0470012185.