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. She is a Professor of Mathematical Finance at Birkbeck College, University of London where she is the Director of the Commodity Finance Centre and Research Professor at

Johns Hopkins University Johns Hopkins University (Johns Hopkins, Hopkins, or JHU) is a private university, private research university in Baltimore, Maryland. Founded in 1876, Johns Hopkins is the oldest research university in the United States and in the western hem ...

Notable Research and Activities

Helyette Geman is most known for: * Her collaboration with

Nicole El Karoui Nicole El Karoui (''née'' Schvartz) is a French mathematician and pioneer in the development of mathematical finance, born May 29, 1944, in Paris. She is considered one of the pioneers on the French school of mathematical finance and trained ma ...

in starting the sought-after postgraduate mathematical finance course, jointly operated by the French Universities

École Polytechnique École may refer to: * an elementary school in the French educational stages normally followed by secondary education establishments (collège and lycée) * École (river), a tributary of the Seine flowing in région Île-de-France * École, Savoi ...

and

Pierre and Marie Curie University Pierre and Marie Curie University (french: link=no, Université Pierre-et-Marie-Curie, UPMC), also known as Paris 6, was a public university, public research university in Paris, France, from 1971 to 2017. The university was located on the Jussi ...

. * Her work on financial numéraire, with Nicole El Karoui. * Her introduction of a stochastic clock to recover the normality of asset returns * Her work on Catastrophe Futures and Options * Her work on probability distributions, specifically the "CGMY" Lévy process named after Carr, Helyette Geman, Madan and Yor. * Her 2005 book on Commodities Derivatives. * Her book 'Insurance, Weather and Electricity Derivatives : From Exotic Options to Exotic Underlyings', 1999, Risk Books. * Her work on 'Bitcoins and Commodities' * Being the PhD supervisor of

Nassim Nicholas Taleb Nassim Nicholas Taleb (; alternatively ''Nessim ''or'' Nissim''; born 12 September 1960) is a Lebanese-American essayist, mathematical statistician, former option trader, risk analyst, and aphorist whose work concerns problems of randomness, ...

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 Marc Yor (24 July 1949 – 9 January 2014) was a French mathematician well known for his work on stochastic processes, especially properties of semimartingales, Brownian motion and other Lévy processes, the Bessel processes, and their applicatio ...

. The Journal of Business 75 (2) (April 2002): 305–332. * Order Flow, Transaction Clock and Normality of Asset Returns, Journal of Finance, Oct 2000, Vol 55, pp. 2259-2284 * Stochastic Time Changes in Catastrophe Option Pricing Insurance, Mathematics and Economics, Dec 1997, Vol 21, pp. 185-193.

Awards

* 2022 IAQF/Northfield Financial Engineer of the Year Award * Member of Honour - French Society of Actuaries * Energy Risk - Hall of Fame.

References

External links

* Personal Homepage: http://www.helyettegeman.com * Personal Homepage: http://www.ems.bbk.ac.uk/faculty/geman/ * Mathematics Genealogy Project: https://www.genealogy.math.ndsu.nodak.edu/id.php?id=213191 {{DEFAULTSORT:Geman, Helyette Living people 21st-century French mathematicians French women mathematicians Financial economists Academic staff of the University of Paris Academics of Birkbeck, University of London Year of birth missing (living people)