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The fine structure of asset returns : an empirical investigation

Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc - In: The journal of business : B 75 (2002) 2, pp. 305-332

Persistent link: https://www.econbiz.de/10001682409

Introducing distances between commodity markets : the case of the US and UK natural gas

Geman, Hélyette; Liu, Bo - In: Advanced modelling in mathematical finance : in honour …, (pp. 93-105). 2016

Persistent link: https://www.econbiz.de/10011800340

Understanding the fine structure of electricity prices

Geman, Hélyette; Roncoroni, Andrea - In: The journal of business : B 79 (2006) 3, pp. 1225-1262

Persistent link: https://www.econbiz.de/10003336988

A family of reduced-form models for electricity prices

Geman, Hélyette; Roncoroni, Andrea - 2003

Persistent link: https://www.econbiz.de/10001771897

Order flow, transaction clock, and normality of asset returns

Ané, Thierry; Geman, Hélyette - In: The journal of finance : the journal of the American … 55 (2000) 5, pp. 2259-2284

Persistent link: https://www.econbiz.de/10001524433

Mispricing and trading profits in exchange-traded notes

Diavatopoulos, Dean; Geman, Hélyette; Thukral, Lovjit; … - In: The journal of investing 23 (2014) 1, pp. 67-78

Persistent link: https://www.econbiz.de/10011312853

Jointly Modeling American Depository Receipts, the Local Stock and the Local Price of the US Dollar

Madan, Dilip B. - 2013

Options on an ADR reflect the correlations between the local stock and the foreign currency price of the US dollar while local option surfaces calibrate the marginal laws. After developing a general procedure for pricing all three sets of options from a model for the joint law on the local stock...

Persistent link: https://www.econbiz.de/10013085023

Pricing reinsurance contracts on FDIC losses

Madan, Dilip B.; Unal, Haluk - In: Financial markets, institutions & instruments 17 (2008) 3, pp. 225-247

Persistent link: https://www.econbiz.de/10003738791

On pricing risky loans and collateralized fund obligations

Eberlein, Ernst; German, Helyette; Madan, Dilip B. - In: The journal of credit risk : published quarterly by … 5 (2009/10) 3, pp. 37-54

Persistent link: https://www.econbiz.de/10003903235

New measures for performance evaluation

Cherny, Alexander; Madan, Dilip B. - In: The review of financial studies 22 (2009) 7, pp. 2571-2606

Persistent link: https://www.econbiz.de/10003866781