Hélyette Geman is a French academic in mathematical finance. In 2022 she became the first woman in 41 years to be named ‘Financial Engineer of the Year’ by the International Association of Financial Engineers. Her career has spanned several sub-disciplines including catastrophic insurance, probability theory, and the finance of commodities. Her academic institutions include ESSEC Business School, the University Paris Dauphine (Master 203), and Birkbeck, University of London. She is currently a Research Professor at Johns Hopkins University.

Notable Research and Activities

Helyette Geman is most known for: * Having been the first to formally introduce the

forward measure In finance, a ''T''-forward measure is a pricing measure equivalent to a risk-neutral measure, but rather than using the money market as numeraire, it uses a bond with maturity ''T''. The use of the forward measure was pioneered by Farshid Jamshi ...

for the valuation of interest rate derivatives. * Having coined the term

numéraire The numéraire (or numeraire) is a basic standard by which value is computed. In mathematical economics it is a tradable economic entity in terms of whose price the relative prices of all other tradables are expressed. In a monetary economy, one ...

in the context of option pricing and commodities portfolio management. * Having exhibited a stochastic clock driven by order flow, leading to the normality of asset returns. * Her role in creating, with Marc Yor, the sought-after master's program, jointly operated by the French Universities

École Polytechnique (, ; also known as Polytechnique or l'X ) is a ''grande école'' located in Palaiseau, France. It specializes in science and engineering and is a founding member of the Polytechnic Institute of Paris. The school was founded in 1794 by mat ...

Pierre and Marie Curie University Pierre and Marie Curie University ( , UPMC), also known as Paris VI, was a public research university in Paris, France, from 1971 to 2017. The university was located on the Jussieu Campus in the Latin Quarter of the 5th arrondissement of Paris, ...

, and ESSEC Business School. * Pricing Catastrophe Futures and Options using Bessel Processes. * Her work on probability distributions, specifically the "CGMY"

Lévy process In probability theory, a Lévy process, named after the French mathematician Paul Lévy, is a stochastic process with independent, stationary increments: it represents the motion of a point whose successive displacements are random, in which disp ...

named after Carr, Helyette Geman, Madan and Yor. * Her 2005 book on Commodities Derivatives. * Having Organized in June 2000 the First Bachelier World Congress with Professors Paul Samuelson, Robert Merton, and Henri McKean. * 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. His 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 applicat ...

. 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 The Mathematics Genealogy Project (MGP) is a web-based database for the academic genealogy of mathematicians.. it contained information on 300,152 mathematical scientists who contributed to research-level mathematics. For a typical mathematicia ...

: https://www.genealogy.math.ndsu.nodak.edu/id.php?id=213191 {{DEFAULTSORT:Geman, Helyette Living people 21st-century French mathematicians 21st-century French women mathematicians Financial economists Academic staff of the University of Paris Academics of Birkbeck, University of London Year of birth missing (living people)