ESCP Europe > Faculté & Recherche > Annuaire du Corps Professoral > Professor

Faculté & Recherche

Partager cette page

| Plus

Corps professoral

Hélyette GEMAN

Docteur en Finance et Habilitée à diriger des Recherche

Agrégée des Universités en Sciences de Gestion

Professeur

Finance

Campus : London

Tel : +33 1 49 23 20 79

envoyer un email

Information Biographie Recherche actuelle Publications

Biographie

Cette information est en cours de mise à jour.

Publications

Books

GEMAN H. (ed.), (2008), Risk management in commodity markets : From shipping to agriculturals and energy, The Wiley Finance, John Wiley, Chichester, 298 p.

GEMAN H., (2005), Commodities and Commodity Derivatives : Modeling and Pricing for Agriculturals, Metals and Energy, The Wiley Finance Series, John Wiley, Chichester, 396 p.

GEMAN H., MADAN D. B., PLISKA S. R. (eds), (2000), Mathematical Finance : Bachelier Congress 2000, Springer-Verlag, 521 p.

GEMAN H., (1999), Insurance and Weather Derivatives : From Exotic Options to Exotic Underlyings, Risk Books, 300 p.

Book chapters

GEMAN H., (2009), "Stochastic Clock and Financial Markets", in CIARLET P. G., BENSOUSSAN A., ZHANG Q. (eds), , Handbook of Numerical Analysis vol. XV, Mathematical Modelling and Numerical Methods in Finance, Elsevier, pp 649-663, 15 p.

GEMAN H., OHANA S., (2008), "Mean-Reversion and Structural Breaks in Crude Oil, Copper, and Shipping", in GEMAN H. (ed.), , Risk Management in Commodity Markets, The Wiley Finance Series, John Wiley.

GEMAN H., (2007), "Mean Reversion versus Random Wald in Oil and Natural Gas Prices", in FU, M., JARROW, R., YEN, J., ELLIOT, R. (Eds), , Advances in Mathematical Finance, Birkhäuser, pp 219-228, 10 p.

GEMAN H., MADAN D. B., (2005), "Risks in Return : A Pure Jump Perspective", in KYPRIANOU, A., SCHOULENTS, W., WILMOTT, P. (Eds), , Exotic Option Pricing and Advanced Levy Models, John Wiley.

KHAROUBI C., GEMAN H., (2004), "Hedge Funds: A Copula Approach for Risk Management", in SZEGÖ G. (ed.), , New Risk measures for the 21th century, John Wiley & Sons, pp 302-320, 19 p.

GEMAN H., MADAN D. B., (2004), "Pricing in Incomplete Markets : From Absence of Good Deals to Acceptable Risk", in SZEGO, G., , Risk Measures for the 21st Century, John Wiley.

GEMAN H., YOR M., (2001), "Bessel Processes, Asian Options, and Perpetuities", in YOR, M. (ed.), , Exponential Functionals of Brownian Motion and Related Processes, Finance Series, Springer Verlag.

GEMAN H., (2001), "Functionals of Brownian Motion in Finance and Insurance", in YOR, M. (ed.), , Exponential Functionals of Brownian Motion and Related Processes, Finance series, Springer Verlag.

GEMAN H., YOR M., (2001), "Some Relations Between Bessel Processes, Asian Options and Confluent Hypergeometric Functions", in YOR, M. (ed.), , Exponential Functionals of Brownian Motion and Related Processes, Finance Series, Springer Verlag.

GEMAN H., (2000), "Asset Prices Are Brownian Motion Only in Business Time", in Quantitative Analysis in Financial Markets, World Scientific Publishing.

GEMAN H., (2000), "From Bachelier and Lundberg to Insurance and Weather Derivatives", in DITO, G., STERNHEIMER, D. (eds), , Conference Moshe Flato 1999 : Quantization, Deformations and Symmetries Vol. 1, Mathematical Physics Studies, Kluwer Academic Publishers.

GEMAN H., EYDELAND A., (1999), "Fundamentals of Electricity Derivatives", in Energy Modelling and the Management of Uncertainty, Risk Books, pp 35-43, 9 p.

GEMAN H., YOR M., (1998), "Pricing and Hedging Double-Barrier Options in Currency Markets", in DeROSA D.F., , Currency Derivatives, John Wiley, pp 290-302, 13 p.

GEMAN H., (1997), "Gestion du risque d'assurance et instruments dérivés en assurance", in SIMON Y. (ed.), , Encyclopédie des marchés financiers : Tome 1, Economica, pp 583-596, 14 p.

GEMAN H., YOR M., CHESNEY M., JEANBLANC-PICQUE M., (1997), "Some Combinations of Asian, Parisian and Barrier Options", in DEMPSTER M., PLISKA S., , Mathematics of Derivative Securities, Cambridge University Press.

GEMAN H., (1996), "Cat Calls", in JARROW R. (ed.), , Over the Rainbow : Developments in Exotic Options and Complex Swaps, Risk Books.

GEMAN H., EYDELAND A., (1996), "Domino Effect : Inverting the Laplace Transform", in JARROW R. (ed.), , Over the Rainbow : Developments in Exotic Options and Complex Swaps, Risk Books.

GEMAN H., CUMMINS J. Dav., (1996), "Pricing Catastrophe Insurance Futures and Call Spreads : An Arbitrage Approach", in ALTMAN E.I., VANDERHOOF I.T. (eds), , The strategic dynamics of the insurance industry, Irwin Professional Publishing, pp 219-246, 28 p.

GEMAN H., SCHNEEWEIS T., SAVANAYANA U., (1991), "Trading/Nontrading Time Effect in French Futures Markets", in RONEN J. (ed.), , Accounting and Financial Globalization, Quorum Books.

Published articles

GEMAN H., KHAROUBI C., (2011), "Distortion Risk Measure for Hedge Funds", JOURNAL OF RISK MANAGEMENT IN FINANCIAL INSTITUTIONS, Vol.4, Issue 3, pp 1-15, 16 p.

GEMAN H., OHANA S., (2009), "Forward Curves, Scarcity, and Price Volatility in Oil and Natural Gas Markets", ENERGY ECONOMICS, , July, pp 576-585, 10 p.

CARTEO A., FIGUEROA M. G., GEMAN H., (2009), "Modelling Electricity Prices with Forward Looking Capacity Constraints", Applied Mathematical Finance, , April, Vol. 16, Issue 2, pp 103-122, 20 p.

EBERLEIN E., MADAN D. B., GEMAN H., (2009), "On pricing risky loans and collateralized fund obligations", JOURNAL OF CREDIT RISK, Fall, pp 37-54, 18 p.

GEMAN H., FONG SHIH Y., (2008), "Risk Management Modeling Commodity Prices Under the CEV Model", JOURNAL OF ALTERNATIVE INVESTMENTS, Winter, pp 1-20, 20 p.

GEMAN H., OHANA S., (2008), "Time-consistency in managing a commodity portfolio: A dynamic risk measure approach", JOURNAL OF BANKING AND FINANCE, October, pp 1991-2005, 15 p.

GEMAN H., COCULESCU D., JEANBLANC M., (2008), "Valuation of default-sensitive claims under imperfect information", FINANCE AND STOCHASTICS, pp 195-218, 24 p.

GEMAN H., KHAROUBI C., (2008), "WTI crude oil Futures in portfolio diversification: The time-to-maturity effect", JOURNAL OF BANKING AND FINANCE, December, Vol. 32, Issue 12, pp 2553-2559, 7 p.

GEMAN H., ATLAN M., MADAN D. B., YOR M., (2007), "Correlations and the Pricing of Risks", ANNALS OF FINANCE, October, pp 411-453, 43 p.

GEMAN H., (2007), "Mean Reversion Versus Random Walk in Oil and Natural Gas Prices", ADVANCES IN MATHEMATICAL FINANCE, January, pp 219-228, 10 p.

GEMAN H., CARR P., MADAN D. B., YOR M., (2007), "Self-Decomposability and Option Pricing", MATHEMATICAL FINANCE , January, pp 31-57, 27 p.

GEMAN H., KANYINDA A., (2007), "Water as the Next Commodity", JOURNAL OF ALTERNATIVE INVESTMENTS, October, pp 23-30, 9 p.

GEMAN H., BOROVKOVA, SVETLANA , (2006), "Analysis and Modelling of Electricity Futures Prices", STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, September, pp 1-14, 16 p.

BOROVKOVA, SVETLANA , GEMAN H., (2006), "Seasonal and Stochastic Effects in Commodity Forward Curves", REVIEW OF DERIVATIVES RESEARCH, September, pp 167-186, 20 p.

GEMAN H., RONCORONI A., (2006), "Understanding the Fine Structure of Electricity Prices", JOURNAL OF BUSINESS (THE), May, Vol.79, Issue 3, pp 1225-1261, 37 p.

GEMAN H., LEONARDI M.-P., (2005), "Alternative Approaches to Weather Derivatives Pricing", MANAGERIAL FINANCE, January, pp 46-72, 27 p.

GEMAN H., (2005), "Energy Commodity Prices: Is Mean-reversion Dead", JOURNAL OF ALTERNATIVE INVESTMENTS, January, pp 31-45, 15 p.

GEMAN H., CARR P., MADAN D. B., YOR M., (2005), "Pricing Option on Realized Variance", FINANCE AND STOCHASTICS, October, pp 453-475, 23 p.

GEMAN H., NGUYEN V.-N., (2005), "Soybeans Inventory and Forward Curve Dynamics", MANAGEMENT SCIENCE, July, pp 1076-1091, 16 p.

GEMAN H., CARR P., MADAN D. B., YOR M., (2004), "From Local Volatility to Local Lévy Models", QUANTITATIVE FINANCE, October, Vol.4, Issue 5, pp 581-588, 8 p.

GEMAN H., KHAROUBI C., (2003), "Hedge Funds Revisited: Distributional Characteristics, Dependence Structure and Diversification", JOURNAL OF RISK THE), Summer, Vol. 5, Issue 4, pp 55-73, 19 p.

GEMAN H., (2003), "Le financement des risques catastrophiques", RISQUES, janvier, n° 53.

GEMAN H., CARR P., MADAN D. B., YOR M., (2003), "Stochastic Volatility for Lévy Processes", MATHEMATICAL FINANCE, July, pp 345-382, 38 p.

GEMAN H., CARR P., MADAN D. B., YOR M., (2002), "The Fine Structure of Asset Returns", JOURNAL OF BUSINESS (THE), April, pp 305-332, 28 p.

GEMAN H., VASICEK O. A., (2001), "Forwards and Futures on Non Storable Commodiites: the Case of Electricity", RISK MAGAZINE, January.

GEMAN H., (2001), "Instruments dérivés à sous-jacent exotique : L'exemple des dérivés climatiques", BANQUE ET MARCHES, juillet, n° 53, 5 p.

CARR P., GEMAN H., MADAN D. B., (2001), "Pricing and Hedging in Incomplete Markets", JOURNAL OF FINANCIAL ECONOMICS, October, Volume 62, Issue 1, pp 131-167, 38 p.

GEMAN H., (2001), "Spot and Derivatives Trading in Deregulated European Electricity Markets", ECONOMIES ET SOCIETES, janvier-février, n° 8, pp 263-280, 18 p.

MADAN D. B., YOR M., GEMAN H., (2001), "Time Changes for Lévy Processes", MATHEMATICAL FINANCE, January, pp 79-96, 18 p, Web Link.

GEMAN H., (2001), "Time Changes, Laplace Transforms and Path-Dependent Options", COMPUTATIONAL ECONOMICS, February, pp 81-92, 12 p.

EL KAROUI N., GEMAN H., LACOSTE V., (2000), "On The Role of State Variables in Interest Rates Models", APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, July-September, Vol. 16, Issue 3, pp 97-217, 21 p.

ANE T., GEMAN H., (2000), "Order Flow, Transaction Clock, and Normality of Asset Returns", JOURNAL OF FINANCE (THE), October, Vol. 55, Issue 5, pp 2259-2284, 26 p.

GEMAN H., (2000), "The Bermuda Triangle: Weather, Electricity and Insurance Derivatives", JOURNAL OF ALTERNATIVE INVESTMENTS, July, pp 61-69, 9 p.

ANE T., GEMAN H., (1999), "Stochastic Volatility and Transaction Time: An Activity-based Volatility Estimator", JOURNAL OF RISK (THE), Fall, pp 57-69, 13 p.

GEMAN H., (1998), "De Bachelier à Black-Scholes-Merton", GAZETTE DES MATHEMATICIENS, janvier, pp 17-30, 14 p, Web Link.

GEMAN H., (1998), "Interest Rate Risk Management: Beyond Duration and Convexity", CAISSE DES DEPOTS TECHNICAL REPORT, January 1988.

GEMAN H., (1998), "Learning about Risk: Some Lessons from Insurance", EUROPEAN FINANCE REVIEW, pp 113-124, 12 p.

EL KAROUI N., FRACHOT A., GEMAN H., (1998), "On the Behavior of Long Zero Coupon Rates in a No Arbitrage Framework", REVIEW OF DERIVATIVES RESEARCH, February, pp 351-369, 19 p.

EYDELAND A., GEMAN H., (1998), "Pricing Power Derivatives", RISK, October, pp 71-73, 3 p.

GEMAN H., (1997), "De Bachelier à Black-Scholes-Merton", BULLETIN FRANCAIS D'ACTUARIAT, décembre, pp 41-55, 15 p, Web Link.

GEMAN H., (1997), "Insurance, Risk Securitization and Derivatives", BANK OF TOKYO - MITSUBISHI RISK DIRECTORY, January.

SOUVETON R., GEMAN H., (1997), "No Arbitrage Between Economies and Correlation Risk Management", COMPUTATIONAL ECONOMICS, May, pp 119-138, 20 p.

ELLIOTT R. J., GEMAN H., KORKIE B. M., (1997), "Portfolio Optimization and Contingent Claim Pricing With Differential Information", STOCHASTICS AND STOCHASTICS REPORTS, May, pp 185-203, 19 p.

GEMAN H., (1997), "Risques catastrophiques, risque d'assurance et marchés financiers", ANNALES DES PONTS ET CHAUSSEES, Le marché, nouvelles problématiques, septembre.

YOR M., GEMAN H., (1997), "Stochastic Time Changes in Catastrophe Option Pricing", INSURANCE : MATHEMATICS AND ECONOMICS, 15 December, pp 185-193, 9 p.

GEMAN H., (1996), "Instruments dérivés pour l'industrie d'assurance", ANALYSE FINANCIERE, mars, pp 82-92, 11 p.

GEMAN H., (1996), "Insurance-risk Securitisation and CAT Insurance Derivatives", FINANCIAL DERIVATIVES AND RISK MANAGEMENT, September, pp 21-24, 4 p.

GEMAN H., YOR M., (1996), "Pricing and Hedging Double-Barrier Options: a Probabilistic Approach", MATHEMATICAL FINANCE, October, pp 365-378, 23 p.

ANE T., GEMAN H., (1996), "Stochastic Subordination", RISK, September, pp 145-149, 5 p.

GEMAN H., EL KAROUI N., ROCHET J.-C., (1995), "Changes of Numeraire, Changes of Probability Measure and Option Pricing", JOURNAL OF APPLIED PROBABILITY, June, pp 443-458, 16 p.

GEMAN H., EYDELAND A., (1995), "Domino Effect", RISK, April, Vol. 8, Issue 4, pp 65-67, 3 p.

GEMAN H., (1995), "Invited Note on the Paper Option Pricing by Esscher Transforms", TRANSACTIONS OF THE SOCIETY OF ACTUARIES, January.

GEMAN H., CUMMINS J. Dav., (1995), "Pricing Catastrophe Insurance Futures Contracts and Call Spreads", JOURNAL OF FIXED INCOME (THE), March.

GEMAN H., EL KAROUI N., (1994), "A Probabilistic Approach to the Valuation of General Floating-rate Notes with an Application to Interest Rate Swaps", ADVANCES IN FUTURES AND OPTIONS RESEARCH, November.

GEMAN H., CUMMINS J. Dav., (1994), "An Asian Option Approach to the Valuation of Insurance Futures Contracts", REVIEW OF FUTURES MARKETS, September, pp 517-558, 42 p.

GEMAN H., (1994), "Cat Calls", RISK, September, Vol. 7, Issue 9.

GEMAN H., ALBIZZATI M.-O., (1994), "Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies", JOURNAL OF RISK AND INSURANCE (THE), December, pp 616-637, 22 p.

GEMAN H., YOR M., (1993), "Bessel Processes, Asian Options, and Perpetuities", MATHEMATICAL FINANCE, October, pp 349-375, 27 p.

GEMAN H., SCHNEEWEIS T., (1993), "The French Notional Futures Contract in Risk/Return Management", INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, January, Vol. 2, Issue 1, pp 17-31, 15 p.

GEMAN H., (1992), "La représentation des marchés dans la modélisation probabiliste en Finance", JOURNAL DE LA SOCIETE DE STATISTIQUE DE PARIS, décembre, Vol. 133, n° 4.

GEMAN H., (1992), "Portfolio Insurance and Synthetic Securities", APPLIED STOCHASTIC MODELS AND DATA ANALYSIS, September, Vol. 8, Issue 3 , pp 179-188, 10 p.

GEMAN H., EL KAROUI N., (1991), "A Stochastic Approach to Pricing FRNs", RISK, March, Vol. 4, Issue 3.

GEMAN H., (1991), "Problèmes conceptuels dans l'élaboration des outils ALM", CAHIERS SPECIAUX DE LA SYNTHESE FINANCIERE, mars.

GEMAN H., YOR M., (1991), "Quelques relations entre processus de Bessel, options asiatiques, et fonctions confluentes hypergéométriques", COMPTES RENDUS DE L'ACADEMIE DES SCIENCES, novembre.

DEMIANS D'ARCHIMBAUD T., PORTAIT R., GEMAN H., (1990), "Une analyse générale du risque de taux : Une analyse approfondie", ANALYSE FINANCIERE, octobre.

DEMIANS D'ARCHIMBAUD T., PORTAIT R., GEMAN H., (1990), "Une analyse générale du risque de taux : Une analyse simplifiée", ANALYSE FINANCIERE, janvier, Vol. 50.

ARCHIMBAUD T. d., GEMAN H., PORTAIT R., (1990), "Une approche générale du risque de taux. 2ème article : une approche fondée.", ANALYSE FINANCIERE, quatrième trimestre, pp 43-60, 18 p.

Conference proceedings

GEMAN H., (2000), "Functionals of Brownian Motion in Path-dependent Option Valuation", Proceedings of the 3rd European Congress of Mathematics, 2000, Barcelona, Spain.

GEMAN H., ALBIZZATI M.-O., DURAND F., "La gestion actif passif d'une compagnie d'assurance : l'exemple de l'option de rachat anticipé", Actes du 25ème Colloque International des Actuaires, 1995, Bruxelles, Belgique.

Research reports - Working papers

GEMAN H., (1992), "La Représentation des marchés dans la modélisation probabiliste en Finance", Essec Research Center, DR-92045, 23 p.

GEMAN H., (1989), "L'Importance de la probabilité forward neutre dans une approche stochastique des taux d'intérêt", Essec Research Center, DR-90042, 20 p.

Case studies & Pedagogical tools

GEMAN H., OHANA S., (2007), "Forward Curves, Scarcity, and Price Volatility in Oil and Natural Gas Markets".