Hélyette Geman
| Hélyette Geman | |
|---|---|
| Citizenship | French, American |
| Nationality |
 France |
| Fields | Probability Theory, Mathematical Finance |
| Doctoral students | Nassim Nicholas Taleb |
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.[1] She teaches at the Université Paris in France and at Birkbeck, University of London [2]
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.[3]
- Her work on financial numéraire, with Nicole El Karoui.
- Her work on probability distributions, specifically the "CGMY" Lévy process named after its authors, Carr, Helyette Geman, Madan and Yor.
- Her 2005 book on Commodities Derivatives.[4]
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.
Awards
- Energy Risk - Hall of Fame.[5]
References
- ↑ "Publications". Birkbeck College, London. 2012. Retrieved 2013-01-02.
- ↑ "Staff, Department of Economics, Maths and Statistics, Birkbeck College". 2012. Retrieved 2013-01-02.
- ↑ Mollenkamp, Carrick (2006-03-09). "Why Students Of Prof. El Karoui Are In Demand - WSJ.com". Online.wsj.com. Retrieved 2013-01-02.
- ↑ Geman, Helyette (2005). Commodities and Commodity Derivatives: Modelling and Pricing for Agriculturals, Metals and Energy. Wiley Finance. ISBN 978-0470012185. Retrieved 2013-01-02.
- ↑ "The Famous Fifty". Incisive Media. 3 December 2004. Retrieved 2 January 2013.
External links
- Personal Homepage http://www.helyettegeman.com
- Personal Homepage http://www.ems.bbk.ac.uk/faculty/geman/
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