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Stochastic clock and financial markets

Geman, Hélyette - 2009

Persistent link: https://www.econbiz.de/10003827081

Stochastic clock and financial markets

Geman, Hélyette - In: Aspects of mathematical finance, (pp. 37-52). 2008

Persistent link: https://www.econbiz.de/10003653396

Bessel processes, Asian options, and perpetuities

Geman, Hélyette - In: Mathematical finance : an international journal of … 3 (1993) 4, pp. 349-375

Persistent link: https://www.econbiz.de/10001185120

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

Stochastic volatility, jumps and hidden time changes

Geman, Hélyette; Madan, Dilip B.; Yor, Marc - In: Finance and stochastics 6 (2002) 1, pp. 63-90

Persistent link: https://www.econbiz.de/10001643753

Modeling commodity prices under the CEV model

Geman, Hélyette; Shih, Yih Fong - In: The journal of alternative investments 11 (2008/09) 3, pp. 65-84

Persistent link: https://www.econbiz.de/10003808903

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

Geman, Hélyette; Ohana, Steve - In: Energy economics 31 (2009) 4, pp. 576-585

Persistent link: https://www.econbiz.de/10003867821

Bitcoin spot and derivatives markets : searching for completeness

Geman, Hélyette; Price, Henry - In: Risk and decision analysis 8 (2021) 3/4, pp. 113-125

Persistent link: https://www.econbiz.de/10013173240

Options on Realized Variance and Convex Orders

Carr, Peter; Geman, Hélyette; Yor, Marc; Madan, Dilip B. - 2010

Realized variance option and options on quadratic variation normalized to unit expectation are analyzed for the property of monotonicity in maturity for call options at a fixed strike. When this condition holds the risk neutral densities are said to be increasing in the convex order. For Lévy...

Persistent link: https://www.econbiz.de/10014198748