Hélyette Geman

Available identifiers

zbMath Open geman.helyetteWikidataQ5964221 ScholiaQ5964221MaRDI QIDQ214239

List of research outcomes

Publication	Date of Publication	Type
Distributed energy resources flexibility as volumetric options on electricity	2024-01-15	Paper
From local volatility to local Lévy models	2019-01-15	Paper
Intraday pairs trading strategies on high frequency data: the case of oil companies	2018-11-19	Paper
Tail risk constraints and maximum entropy	2016-06-15	Paper
Obituary: Marc Yor (24 July 1949 -- 9 July 2014). A beautiful mind has disappeared	2014-08-28	Paper
Options on realized variance and convex orders	2013-12-13	Paper
Correlation and the pricing of risks	2012-03-06	Paper
Modelling Electricity Prices with Forward Looking Capacity Constraints	2009-09-13	Paper
Stochastic Clock and Financial Markets	2009-06-05	Paper
A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model	2009-03-23	Paper
https://portal.mardi4nfdi.de/entity/Q5506191	2009-01-28	Paper
Stochastic Clock and Financial Markets	2008-09-29	Paper
Valuation of default-sensitive claims under imperfect information	2008-06-18	Paper
Analysis and Modelling of Electricity Futures Prices	2008-04-04	Paper
Seasonal and stochastic effects in commodity forward curves	2007-12-05	Paper
Probing option prices for information	2007-08-17	Paper
SELF-DECOMPOSABILITY AND OPTION PRICING	2007-06-08	Paper
Pricing options on realized variance	2006-05-24	Paper
Options on Hedge Funds under the High Water Mark Rule	2005-10-24	Paper
Stochastic Volatility for Lévy Processes	2004-08-23	Paper
Stochastic volatility, jumps and hidden time changes	2002-11-21	Paper
Time changes, Laplace transforms and path-dependent options	2002-06-16	Paper
https://portal.mardi4nfdi.de/entity/Q4524250	2002-02-10	Paper
https://portal.mardi4nfdi.de/entity/Q4213494	2001-11-25	Paper
On the role of state variables in interest rates models	2001-10-09	Paper
https://portal.mardi4nfdi.de/entity/Q2725577	2001-07-12	Paper
Time Changes for Lévy Processes	2001-03-29	Paper
https://portal.mardi4nfdi.de/entity/Q4407997	2001-01-01	Paper
Learning about Risk: Some Lessons from Insurance	2000-05-25	Paper
PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH	1999-07-05	Paper
https://portal.mardi4nfdi.de/entity/Q4218372	1999-02-14	Paper
Stochastic time changes in catastrophe option pricing	1998-03-17	Paper
BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES	1998-01-21	Paper
No arbitrage between economies and correlation risk management	1997-10-05	Paper
Portfolio optimization and contingent claim pricing with differential information	1997-08-07	Paper
Changes of numéraire, changes of probability measure and option pricing	1996-01-17	Paper
https://portal.mardi4nfdi.de/entity/Q4001128	1992-09-26	Paper

Research outcomes over time

This page was built for person: Hélyette Geman