We investigate the importance of diffusion and jumps in a new model for asset returns. In
contrast to standard models, we allow for jump components displaying finite or infinite activity …

… We denote by β Q δ x the law of the process h(t) satisfying (5.1) and starting at h(0) =x. It
is well known that for fixed β, this two-parameter family enjoys the additivity property …

The goals of the paper are as follows: (i) review some qualitative properties of oil and gas
prices in the last 15 years; (ii) propose some mathematical elements towards a definition of …

… Requests to the Author should be emailed to: Helyette Geman, c/o geman@essec.fr … there
is no possible loss at the horizon H), then its terminal value at date H has to be zero. These are …

… AND GEMAN H. (1991) A stochastic approach to the pricing … AND GEMAN, H. (1994) A
probabilistic approach to the … GEMAN, H. (1989) The importance of the forward neutral probability …

… For q > 0, we do not have such a simple reduction of C(”)(h, q), but we are able to provide
an expression of its Laplace transform with respect to the variable h, which mirrors the fact that …

This paper analyzes the special features of electricity spot prices derived from the physics of
this commodity and from the economics of supply and demand in a market pool. Besides …

The goal of this paper is to show that normality of asset returns can be recovered through a
stochastic time change. Clark (1973) addressed this issue by representing the price process …

We present a new approach for positioning, pricing, and hedging in incomplete markets that
bridges standard arbitrage pricing and expected utility maximization. Our approach for …

… where BS(0, 1, 0, h, t) denotes the price at time 0 of a standard call with maturity t and
strike price h written on an underlying stock which has value 1 at time 0 and volatility 0 . The …