John Hopkins University
Hélyette Geman is a Research Professor of Mathematical Finance at Johns Hopkins University in the Department of Applied Mathematics and a member of the Ralph O'Connors Sustainable Energy Institute.
She is a Graduate of Ecole Normale Superieure in Mathematics, holds a Master’s degree in Theoretical Physics , a PhD in Probability from the University Pierre et Marie Curie and a PhD in Finance from the University Pantheon Sorbonne. She is also a Member of Honor of the French Society of Actuaries.
Her books include Commodities and Commodity Derivatives: Modeling and Pricing for Energy, Metals and Agriculture - Wiley Finance; Insurance, Weather and Electricity Derivatives - RISK Books; Agricultural Finance: from Crops to Land, Water and Infrastructure - Wiley Finance.
Professor Geman was the second President of the Bachelier Finance Society and has published more than 100 papers in top international Finance and Insurance Journals.
Since the late 1990s she has dedicated a large amount of her research, in theory and practice, to Crude Oil, Natural Gas and Electricity and, in 2004, was inducted to the Hall of Fame of Energy Risk. In 2020 Hélyette founded the Women for Climate Sciences society. In February 2023 she was named Financial Engineer of the Year 2022.
The authors investigate crude oil futures introduced on the Shanghai International Energy Exchange in March 2018 and the locational trading strategies they can provide and put forward an example of locational arbitrage hedged against foreign risk.
The goal of this paper is twofold: (1) to describe the new outlook of LNG markets, which has become more and more spot-centric, with Asian LNG futures bringing transparency to spot and forward prices; and (2) to address the valuation of the rerouting…
This paper investigates the intraday market activity of West Texas Intermediate (WTI) crude oil futures around the release of the US Energy Intelligence Agency (EIA) report, looking at how prices respond to inventory shocks.