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Spot and derivatives trading in deregulated European electricity markets

Geman, Hélyette - In: L' Europe de l'énergie : convergences, complexités, (pp. 263-280). 2001

Persistent link: https://www.econbiz.de/10001747738

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

Time changes for Lévy processes

Geman, Hélyette; Madan, Dilip B.; Yor, Marc - In: Mathematical finance : an international journal of … 11 (2001) 1, pp. 79-96

Persistent link: https://www.econbiz.de/10001650919

Pricing options on realized variance

Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc - In: Finance and stochastics 9 (2005) 4, pp. 453-475

Persistent link: https://www.econbiz.de/10003123173

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

On the lease rate, the convenience yield and speculative effects in the gold futures market

Barone-Adesi, Giovanni; Geman, Hélyette; Theal, John - 2009

By examining data on the gold forward offered rate (GOFO) and lease rates over the period 1996- 2009, we conclude that the convenience yield of gold is better approximated by the lease rate than the interest-adjusted spread of Fama amp; French (1983). Using the latter quantity, we study the...

Persistent link: https://www.econbiz.de/10003967104

Commercial real-estate inventory and theory of storage

Geman, Hélyette; Tunaru, Radu - In: The journal of futures markets 33 (2013) 7, pp. 675-694

Persistent link: https://www.econbiz.de/10009756539

Shipping markets and freight rates : an analysis of the Baltic Dry Index

Geman, Hélyette; Smith, William O. - In: The journal of alternative investments 15 (2012/13) 1, pp. 98-109

Persistent link: https://www.econbiz.de/10009573443

Distortion risk measures for hedge funds

Geman, Hélyette; Kharoubi-Rakotomalala, Cécile - In: Journal of risk management in financial institutions 4 (2010/11) 3, pp. 286-300

Persistent link: https://www.econbiz.de/10009271179

On the lease rate, convenience yield and speculative effects in the gold futures market

Barone-Adesi, Giovanni; Geman, Hélyette; Theal, John - In: International journal of financial engineering and risk … 1 (2014) 3, pp. 282-307

Persistent link: https://www.econbiz.de/10010476912