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Economics and Finance

D-Index
40
Citations
11637
World Ranking
2234
National Ranking
264

Overview

Hélyette Geman is affiliated with Birkbeck, University of London in the United Kingdom. Their research primarily spans the fields of Economics, Econometrics and Finance, and Energy. Contributions also extend into subfields such as Management Science and Operations Research, Economics and Econometrics, Renewable Energy, Sustainability and the Environment, Finance, and Artificial Intelligence.

The scientist's work addresses a range of topics, including:

  • Stock Market Forecasting Methods
  • Market Dynamics and Volatility
  • Ammonia Synthesis and Nitrogen Reduction
  • Energy Load and Power Forecasting
  • Financial Markets and Investment Strategies
  • Electrocatalysts for Energy Conversion
  • Forecasting Techniques and Applications

Recent scholarly articles authored or coauthored by Hélyette Geman include:

  • "A sentiment analysis approach to the prediction of market volatility," 2022, published in Frontiers in Artificial Intelligence
  • "A Sentiment Analysis Approach to the Prediction of Market Volatility," 2020, published in arXiv (Cornell University)
  • "Bitcoin spot and derivatives markets: Searching for completeness," 2020, published in Risk and Decision Analysis
  • "Green Ammonia Production in Stochastic Power Markets," 2024, published in Commodities
  • "Green Ammonia Production in Stochastic Power Markets," 2023, published in SSRN Electronic Journal

Frequent collaborators in their research have been:

  • Zheng Cao
  • Ezio Lauro
  • Amélie Têtu
  • Justina Deveikyte
  • Carlo Piccari

Publication venues where Hélyette Geman has regularly contributed include:

  • SSRN Electronic Journal
  • Frontiers in Artificial Intelligence
  • arXiv (Cornell University)
  • The Journal of Energy Markets
  • Risk and Decision Analysis

Best Publications

  • The fine structure of asset returns: an empirical investigation

    Peter Carr;Hélyette Geman;Dilip B. Madan;Marc Yor

  • Stochastic Volatility for Lévy Processes

    Peter Carr;Hélyette Geman;Dilip B. Madan;Marc Yor

  • Changes of numéraire, changes of probability measure and option pricing

    Helyette Geman

  • Bessel Processes, Asian Options, and Perpetuities

    Hélyette Geman;Marc Yor

  • Understanding the Fine Structure of Electricity Prices

    Hélyette Geman;Andréa Roncoroni

  • Commodities and Commodity Derivatives: Modeling and Pricing for Agriculturals, Metals and Energy

    Hélyette Geman

  • Order Flow, Transaction Clock, and Normality of Asset Returns

    Thierry Ané;Hélyette Geman

  • Pricing and hedging in incomplete markets

    Peter Carr;Helyette Geman;Dilip B Madan

  • Time Changes for Lévy Processes

    Hélyette Geman;Dilip B. Madan;Marc Yor

  • PRICING AND HEDGING DOUBLE-BARRIER OPTIONS: A PROBABILISTIC APPROACH

    Hélyette Geman;Marc Yor

  • SELF-DECOMPOSABILITY AND OPTION PRICING

    Peter Carr;Hélyette Geman;Dilip B. Madan;Marc Yor

  • The Fine Structure of Asset Returns: An Empirical Investigation

    Hélyette Geman;Peter Carr;Dilip B. Madan;Marc Yor

  • Soybean Inventory and Forward Curve Dynamics

    Hélyette Geman;Vu-Nhat Nguyen

  • Pricing options on realized variance

    Peter Carr;Hélyette Geman;Dilip B. Madan;Marc Yor

  • Forward curves, scarcity and price volatility in oil and natural gas markets

    Hélyette Geman;Steve Ohana

  • Pricing Catastrophe Insurance Futures and Call Spreads: An Arbitrage Approach

    J. David Cummins;Hélyette Geman

  • WTI crude oil Futures in portfolio diversification: The time-to-maturity effect

    Hélyette Geman;Cécile Kharoubi

  • Pure jump Lévy processes for asset price modelling

    Hélyette Geman

  • Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies

    Marie-Odile Albizzati;Helyette Geman

  • From local volatility to local Lévy models

    Peter Carr;Hélyette Geman;Dilip B Madan;Marc Yor

  • Soybeans Inventory and Forward Curve Dynamics

    Helyette Geman;V. Nguyen

Frequent Co-Authors

Dilip B. Madan
Dilip B. Madan University of Maryland, College Park
Peter Carr
Peter Carr New York University
Monique Jeanblanc
Monique Jeanblanc University of Évry Val d'Essonne
Donald Geman
Donald Geman Johns Hopkins University
J. David Cummins
J. David Cummins Temple University
Jean-Charles Rochet
Jean-Charles Rochet Toulouse School of Economics

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