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Valuation of default-sensitive claims under imperfect information

Coculescu, Delia; Geman, Hélyette; Jeanblanc, Monique - In: Finance and stochastics 12 (2008) 2, pp. 195-218

Persistent link: https://www.econbiz.de/10003716260

Seasonal and stochastic effects in commodity forward curves

Borovkova, Svetlana; Geman, Hélyette - In: Review of derivatives research 9 (2006) 2, pp. 167-186

Persistent link: https://www.econbiz.de/10003608135

Self-decomposability and option pricing

Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc - In: Mathematical finance : an international journal of … 17 (2007) 1, pp. 31-57

Persistent link: https://www.econbiz.de/10003543101

Spot price modelling of industrial metals :an heterogeneous agent based model for copper

Geman, Hélyette; Scheiber, Matthias - 2014

Persistent link: https://www.econbiz.de/10010366820

Mathematical finance - Bachelier Congress, 2000 : selected papers from the first World Congress of the Bachelier Finance Society, Paris, June 29 - July 1, 2000

Geman, Hélyette (contributor); Madan, Dilip B. (contributor) - 2002

Persistent link: https://www.econbiz.de/10001597059

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

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

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

On Pricing Risky Loans and Collateralized Fund Obligations

Eberlein, Ernst; Geman, Hélyette; Madan, Dilip B. - 2011

Loan spreads are analysed for two types of loans. The first takes losses at maturity only; the second one follows the formulation of CFOs (Collateralized Fund Obligations), with losses registered over the lifetime of the contract. In both cases, the implementation requires the choice of a...

Persistent link: https://www.econbiz.de/10014198746