H
Hélyette Geman
Researcher at Birkbeck, University of London
Publications - 125
Citations - 9602
Hélyette Geman is an academic researcher from Birkbeck, University of London. The author has contributed to research in topics: Futures contract & Spot contract. The author has an hindex of 40, co-authored 124 publications receiving 9170 citations. Previous affiliations of Hélyette Geman include ESSEC Business School & Johns Hopkins University.
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The fine structure of asset returns: an empirical investigation
TL;DR: In this paper, the authors investigated the importance of diffusion and jumps in a new model for asset returns and concluded that the statistical and risk-neutral processes for equity prices are pure jump processes of infinite activity and finite variation.
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Stochastic Volatility for Lévy Processes
TL;DR: In this article, a mean-corrected exponential model is used to obtain a martingale in the filtration in which it was originally defined, and the important property of martingales in altered filtrations consistent with the one-dimensional marginal distributions of the level of the process at each future date.
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Changes of numéraire, changes of probability measure and option pricing
TL;DR: In this paper, the authors show that many other probability measures can be defined in the same way to solve different asset-pricing problems, in particular option pricing, and this feature, besides providing a financial interpretation, permits efficient selection of the numeraire appropriate for the pricing of a given contingent claim and also permits exhibition of the hedging portfolio, which is in many respects more important than the valuation itself.
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Bessel Processes, Asian Options, and Perpetuities
Hélyette Geman,Marc Yor +1 more
TL;DR: In this article, the Laplace transform of an Asian option which is out of the money is used to compute the moments of all orders of an arithmetic average of geometric Brownian motion, and a simple closed-form expression of the Asian option price when the option is "in the money".
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Understanding the Fine Structure of Electricity Prices
Hélyette Geman,Andrea Roncoroni +1 more
TL;DR: In this paper, a class of discontinuous processes exhibiting a jump-reversion component was introduced to properly represent these sharp upward moves shortly followed by drops of similar magnitude, which allows to capture both the trajectorial and the statistical properties of electricity pool prices.