Hélyette Geman

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.

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

Notable Research and Activities

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]

Selected publications
  • 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
  • Member of Honour - French Society of Actuaries
  • Energy Risk - Hall of Fame.[5]
gollark: No.
gollark: Offload poetry to GPT-3.
gollark: And separately from the float ones.
gollark: If you really want to do things on MANY integers, apparently recent Nvidia architectures can even do 4-bit integer operations.
gollark: Fascinating.

References
  1. "Staff, Department of Economics, Maths and Statistics, Birkbeck College". 2012. Retrieved 2013-01-02.
  2. Mollenkamp, Carrick (2006-03-09). "Why Students Of Prof. El Karoui Are In Demand - WSJ.com". Online.wsj.com. Retrieved 2013-01-02.
  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.
  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.
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