Hélyette Geman Explained
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
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
- 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
- Member of Honour - French Society of Actuaries
- Energy Risk - Hall of Fame.[5]
References
- Web site: Staff, Department of Economics, Maths and Statistics, Birkbeck College. 2012. 2013-01-02.
- Web site: Mollenkamp. Carrick. 9 March 2006. Why Students Of Prof. El Karoui Are In Demand - WSJ.com. 18 July 2021. Online.wsj.com.
- Book: Geman, Helyette
. Commodities and Commodity Derivatives: Modelling and Pricing for Agriculturals, Metals and Energy . 2005 . Wiley Finance . 978-0470012185.
- Price, H.. Geman, H.. 2019. In the Vaults: Bitcoin Futures and Storage Insurance, The Actuary. The Actuary . 2020 . 3 .
- Web site: The Famous Fifty. Incisive Media. 3 December 2004. 2 January 2013.
External links
- Personal Homepage: http://www.helyettegeman.com
- Personal Homepage: http://www.ems.bbk.ac.uk/faculty/geman/
- Mathematics Genealogy Project: https://www.genealogy.math.ndsu.nodak.edu/id.php?id=213191
