4) Birkbeck College London

Scientific Staff

Prof. Hélyette Geman is a graduate from Ecole Normale Superieure. She holds a Masters degree in theoretical physics and a PhD in Mathematics from the University Pierre et Marie Curie, a PhD and an Habilitation à diriger des recherches in Finance from the University Pantheon Sorbonne. She is also a member of honour of the French Society of Actuaries. She was a Professor of Finance at the University Paris Dauphine from 1996 to 2006 and has been since at Birkbeck, University of London,where she is the Director of the Finance Commodity Centre.

Professor Geman has been a scientific advisor to a number of major energy and mining companies for the last 14 years, covering the spectrum of oil, natural gas, electricity and metals as well as agricultural commodities origination and trading. She was previously the Head of Research and Development at Caisse des Depots, time at which she introduced the "numéraire" representation of derivatives pricing. She has published more than 90 papers in major finance journals including the Journal of Finance, Mathematical Finance, Journal of Financial Economics, Journal of Banking and Finance and Journal of Business. She wrote in 1999 a book entitled Insurance and Weather Derivatives and is a Member of Honor of the French Society of Actuaries. Her work on catastrophe derivatives received the AFIR (Actuarial Approach for Financial Risk) prize in 1994. Professor Geman's research also includes asset price modelling using jump-diffusions and Lévy processes -she is one of the authors of the CGMY model; stochastic modelling of commodity forward curves (oil, natural gas, electricity,coal, copper) and exotic option pricing for which she won the first prize of the Merrill Lynch Awards. She was named in 2004 in the Hall of Fame of Energy Risk and received in 2008 the ISA Medal in Sciences from the Alma Mater Studiorum University of Bologna.

Her reference book "Commodities and Commodity Derivatives" was published by Wiley Finance in January 2005 and translated since then into several languages, including Japanese. The new one, "Risk Management for Commodity Markets: from Shipping to Agriculturals and Metals", will be published in Summer 2008.

Hélyette Geman was the first President of the Bachelier Finance Society and is a Member of the Board of the UBS-Bloomberg Commodity Index. 

Expertise of the Team

The team members at the University contribute outstanding expertise in pricing of financial instruments and risk management. H. Geman’s research focuses on the use of pure jump Levy processes in asset price modelling, pricing and hedging commodity financial derivatives and physical assets as well as investing in commodities. B. Guilleminot is working on modelling issues regarding stochastic seasonality and storage models for agricultural commodities. S. Kuruvakalis considers the pricing of volumetric options on electricity and natural gas as well as the benefits of investing in commodity-related companies. Y. Shih analyses the benefit of the Constant Elasticity of Variance model for the trajectories of commodity prices. Z. Lu looks at the new issues raised by the recent developments in the credit market. S. Sarfo examines the impact of subsidies in developed countries for the revenues of developing countries producing agricultural commodities. Kozlowska looks at Kalman filter procedures to fit mean-reverting processes with time-varying parameters to commodities trajectories.


References:

  • “Modelling Electricity Prices with Forward Looking Capacity Constraints" (H. Geman, A. Cartea and M. Figueroa), forthcoming, Applied Mathematical Finance
  • “The Constant Elasticity of Variance process for commodity price modelling” (H.Geman, Y. Shih), Fall 2008, Journal of Alternative Investments.
  • "WTI crude oil Futures in portfolio diversification : The time-to-maturity effect" (H. Geman, C. Kharoubi), 2008, Journal of Banking and Finance
  • Valuation of default-sensitive claims under imperfect information (H. Geman, D. Coculescu and M. Jeanblanc), 2008, Finance and Stochastics
  • "Correlations and the Pricing of Risks" (H. Geman, M. Atlan, D. Madan and M. Yor), 2008, Annals of Finance
  • "A lattice-based Method for the Pricing of Energy Derivatives in the Threshold Model" (H. Geman, S. Kourouvakalis), 2008, Applied Mathematical
    Finance
  • "Time Consistency in Managing Commodity Portfolio: A Dynamic Risk Measure Approach", (H. Geman, S. Ohana), 2008, Journal of Banking and Finance
  • "Seasonal and Stochastic Features in Commodity Forward Curves" (H. Geman, S. Borovkova), 2007, Review of Derivatives Research
  • "Water as a Next Commodity" (H. Geman, A. Kanyinda), 2007; Journal of Alternative Investments
  • "Mean Reversion versus Random Walk in Oil and Natural Gas Prices", 2007, Advances in Mathematical Finance, Birkhäuser Boston
  • "Self Decomposition and Option Pricing (H. Geman, P. Carr, D. Madan and M. Yor), 2007, Mathematical Finance
  • "Analysis and Modelling of Electricity Futures Prices" (H. Geman, S. Borovkova), 2006, Studies in Nonlinear Dynamics & Econometrics
  • "Stochastic Clock and Financial Markets", 2006, Actes du Colloque de l'Académie des Sciences, février 2005
  • "Understanding the Fine Structure of Electricity Prices" (H. Geman, A. Roncoroni), 2006, Journal of Business
  • "Risk in Returns: A Pure Jump Perspective" (H. Geman, D. Madan), 2005, in Exotic Option Pricing and Advanced Lévy Models, Wiley
  • "Energy Commodity Prices: Is Mean-Reversion Dead?", 2005, Journal of Alternative Investments
  • "From Measure Changes to Time Changes in Asset Pricing", 2005, Journal of Banking and Finance
  • "Pricing Options on Realized Variance", (H. Geman, P. Carr, D. Madan and M. Yor), 2005, Finance and Stochastics
  • "Soybean inventory and forward curves dynamics", 2005, Management Science, (H. Geman, V. Nguyen)
  • "Alternative Approaches to Weather Derivative Valuation", 2005, Managerial Finance (H. Geman, M.P Leonardi)
  • "From Local Volatility to Local Lévy Models", 2004, Quantitative Finance (H. Geman, P. Carr, D. Madan and M. Yor)
  • "Pricing in Incomplete Markets: From Absence of Good Deals to Acceptable Risk", 2004, in Risk Measures for the 21st Century, Wiley (H. Geman, D. Madan)
  • "Hedge Funds: A Copula Approach for Risk Management", 2004, in Risk Measures for the 21st Century, Wiley (H. Geman, C. Kharoubi)
  • "Stochastic Volatility for Lévy Processes", 2003, Mathematical Finance, (H. Geman, P. Carr, D. Madan and M. Yor)
  • "Hedge Funds Revisited: Distributional Characteristics, Dependence Structure and Diversification", 2003, Journal of Risk (H. Geman, C. Kharoubi)
  • "Le Financement des Risques Catastrophiques", 2003, Risques, mars 2003
  • "Pure Jump Lévy Processes for Asset Price Modelling", 2002, Journal of Banking and Finance
  • "The Fine Structure of Asset Returns : An Empirical Investigation", 2002, Journal of Business (H. Geman, P. Carr and M. Yor).
  • "Stochastic Volatility, Jumps and Hidden Time Changes", 2002, Finance and Stochastics, (H. Geman, D. Madan and M. Yor)
  • "Time Changes, Laplace Transforms and Path-Dependent Options", 2001, Computational Economics .
  • "Forward and Futures Contracts on Non-Storable Commodities: The Case of Electricity", 2001, RISK, (H. Geman, O. Vasicek)
  • "Les Options à Sous-Jacent Exotique : Le Cas des Dérivés Climatiques", 2001, Banque & Marchés, Juillet-Août
  • "Spot and Derivatives Trading in Deregulated European Electricity Markets ", 2001, Revue Economies et Sociétés
  • "Pricing and Hedging in Incomplete Markets", 2001, Journal of Financial Economics, October (H. Geman, P. Carr and D. Madan)
  • "Functionals of Brownian Motion in Finance and Insurance", 2001, Chapter of the book Exponentials of Brownian Motion and Related Processes, Springer,
  • "Time Changes for Lévy Processes", 2001, Mathematical Finance, Vol 11.1 ; (H. Geman, D. Madan and M. Yor)
  • "The Bermuda Triangle: Electricity, Weather and Insurance Derivatives", 2000, Journal of Alternative Investments
  • "On the Role of State Variables in Interest Rate Models", 2000, Applied Stochastic Models in Business and Industry, 16 (H. Geman, N. El Karoui and V. Lacoste)
  • "From Bachelier and Lundberg to Insurance and Weather Derivatives", 2000, Mathematical Physics Studies, Kluwer Publishers
  • "Asset Prices are Brownian Motion: only in Business Time", 2000, Chapter of the book Quantitative Analysis in Financial Markets, World Scientific Publishing Company; (H. Geman, D. Madan and M. Yor)
  • "Order Flow, Transaction Clock and Normality of Asset Returns", 2000, The Journal of Finance, October 2000; (H. Geman, T. Ané)
  • "Fundamentals of Electricity Derivatives", 1999, Chapter of the book "Energy Modelling and the Management of Uncertainty", RISK Books

Expertise in Training Young Scientists

Hélyette Geman has supervised more than 18 PhD students over the last 15 years on topics including high frequency data, catastrophe options and securitization of insurance risk and non-normality of returns and copulas for hedge funds management. Furthermore, she offered Ph.D. classes at different universities including the Université Paris Dauphine, the University of Zurich, and the University of Roma “La Sapienza”, and currently teaches a doctoral class at the London Graduate School for Mathematical Finance.

Role of the Research Team

The team will contribute to identify the scope for applications of new optimization techniques in the context of derivative pricing with a specific focus on commodity markets. One strength of the group is the focus on alternative processes such as mean-reverting diffusions, pure jump Levy processes, Constant Elasticity of Variance for the fitting of price trajectories, in particular in the domain of commodities, seasonal and non-seasonal. The analysis is conducted both under the real probability measure and the risk-adjusted measure. Moreover there is a high interest in “alternative asset classes”, such as Credit and Commodities.

Heuristics and other fields of expertise developed within the COMISEF network may prove very efficient in the calibration of the above-mentioned models.