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

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Hélyette Geman