Dr. Geman, Hélyette
Hélyette is a Professor of Mathematical Finance
at Birkbeck, University of London and ESSEC
Graduate Business School. She has been a
scientific advisor to a number of major energy
and mining companies for the last 14 years,
covering the spectrum of oil, natural gas,
electricity and metals as well as agricultural
commodities origination and trading. She was
previously the Head of Research and
Hélyette is a Professor of Mathematical Finance
at Birkbeck, University of London and ESSEC
Graduate Business School. She has been a
scientific advisor to a number of major energy
and mining companies for the last 14 years,
covering the spectrum of oil, natural gas,
electricity and metals as well as agricultural
commodities origination and trading. She was
previously the Head of Research and
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Development at Caisse des Depots, where she introduced the "numéraire"
representation of derivatives pricing.
Hélyette is a Member of Honor of the French Society of Actuaries. Her work
on catastrophe derivatives received the AFIR prize in 1994. Her research
includes asset price modelling using jump-diffusions and Lévy processes -
she is one of the authors of the CGMY model; stochastic modelling of
commodity forward curves & exotic option pricing for which she won the first
prize of the Merrill Lynch Awards. Named in Hall of Fame of Energy Risk '04.
Hélyette has published more than 90 papers in major finance journals. In
1999 she wrote a significant book entitled ‘Insurance and Weather
Derivatives’. Her latest book is ‘Commodities and Commodity Derivatives’
(Wiley ’05) translated into several languages, including Japanese.
Hélyette is Co-Chair of the French Chapter of the IAFE, member of the
Advisory Board, Journal of Banking and Finance and Associate Editor for
many journals including the Journal of Energy Markets and Mathematical
Finance. She was the first President of the Bachelier Finance Society and
is a Member of the Board of the UBS-Bloomberg Commodity Index, Jan '07.
Hélyette is a graduate of Ecole Normale Superieure in Mathematics, holds
a Masters degree in theoretical physics, a PhD in Mathematics from the U.
Pierre et Marie Curie and a PhD in Finance from the U. Pantheon Sorbonne.
representation of derivatives pricing.
Hélyette is a Member of Honor of the French Society of Actuaries. Her work
on catastrophe derivatives received the AFIR prize in 1994. Her research
includes asset price modelling using jump-diffusions and Lévy processes -
she is one of the authors of the CGMY model; stochastic modelling of
commodity forward curves & exotic option pricing for which she won the first
prize of the Merrill Lynch Awards. Named in Hall of Fame of Energy Risk '04.
Hélyette has published more than 90 papers in major finance journals. In
1999 she wrote a significant book entitled ‘Insurance and Weather
Derivatives’. Her latest book is ‘Commodities and Commodity Derivatives’
(Wiley ’05) translated into several languages, including Japanese.
Hélyette is Co-Chair of the French Chapter of the IAFE, member of the
Advisory Board, Journal of Banking and Finance and Associate Editor for
many journals including the Journal of Energy Markets and Mathematical
Finance. She was the first President of the Bachelier Finance Society and
is a Member of the Board of the UBS-Bloomberg Commodity Index, Jan '07.
Hélyette is a graduate of Ecole Normale Superieure in Mathematics, holds
a Masters degree in theoretical physics, a PhD in Mathematics from the U.
Pierre et Marie Curie and a PhD in Finance from the U. Pantheon Sorbonne.
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