Hélyette Geman

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Hélyette Geman
NationalityFrench
CitizenshipFrench, American
Alma mater
Scientific career
FieldsProbability Theory, Mathematical Finance
InstitutionsBirbeck College; Johns Hopkins University; previous: Paris Dauphine; ESSEC.
Thesis
  • "Contribution à l’Etude des Convergences Stochastiques des Mesures Aléatoires" (1976)
  • L'Importance de la Probabilité Forward Neutre dans une Approche Stochastique des Taux d'Intérêt (1990)
Doctoral studentsNassim Nicholas Taleb
Websitehelyettegeman.com

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.

Notable Research and Activities[edit]

Helyette Geman is most known for:

  • Her collaboration with Nicole El Karoui in starting the sought-after postgraduate mathematical finance course, jointly operated by the French Universities École Polytechnique and Pierre and Marie Curie University.[2]
  • Her work on financial numéraire, with Nicole El Karoui.
  • Her introduction of a stochastic clock to recover the normality of asset returns
  • Her work on Catastrophe Futures and Options
  • Her work on probability distributions, specifically the "CGMY" Lévy process named after Carr, Helyette Geman, Madan and Yor.
  • Her 2005 book on Commodities Derivatives.[3]
  • Her book 'Insurance, Weather and Electricity Derivatives : From Exotic Options to Exotic Underlyings', 1999, Risk Books.
  • Her work on 'Bitcoins and Commodities'[4]
  • Being the PhD supervisor of Nassim Nicholas Taleb

Selected publications[edit]

  • 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[edit]

  • Member of Honour - French Society of Actuaries
  • Energy Risk - Hall of Fame.[5]

References[edit]

  1. ^ "Staff, Department of Economics, Maths and Statistics, Birkbeck College". 2012. Retrieved 2013-01-02. CS1 maint: discouraged parameter (link)
  2. ^ Mollenkamp, Carrick (2006-03-09). "Why Students Of Prof. El Karoui Are In Demand - WSJ.com". Online.wsj.com. Retrieved 2013-01-02. CS1 maint: discouraged parameter (link)
  3. ^ Geman, Helyette (2005). Commodities and Commodity Derivatives: Modelling and Pricing for Agriculturals, Metals and Energy. Wiley Finance. ISBN 978-0470012185. Retrieved 2013-01-02. CS1 maint: discouraged parameter (link)
  4. ^ Price, H., Geman, H. (2019). "In the Vaults: Bitcoin Futures and Storage Insurance, The Actuary".
  5. ^ "The Famous Fifty". Incisive Media. 3 December 2004. Retrieved 2 January 2013. CS1 maint: discouraged parameter (link)

External links[edit]