Printer icon Printable version 

Books

Risk Management in Commodity Markets: From Shipping to Agriculturals and Energy, Wiley Finance, 2008

Commodities and Commodity Derivatives: Pricing and Modeling Agricultural, Metals and Energy Wiley Finance, 2005

Co-Editor of Selected Publications from the Bachelier World Congress 2000. Springer Verlag, 2001

Weather and Insurance Derivatives, Risk Books, London, 1999

Selected Publications

  • "Commodities and Numéraire", 2009, Encyclopedia of Quantitative Finance, Wiley Publisher, forthcoming.
  • "Seasonal and Stochastic Features in Commodity Forward Curves", 2007, Review of Derivatives Research
  • "Water as the Next Commodity", 2007; Journal of Alternative Investments
  • "Understanding the Fine Structure of Electricity Prices" (with A. Roncoroni), 2006, Journal of Business, May
  • "Energy Commodity Prices: Is Mean-Reversion Dead?, Journal of Alternative Investment, Fall 2005
  • "From Measure Changes to Time Changes in Asset Pricing", 2005, Journal of Banking and Finance, Fall 2005
  • "Pricing Options on Realized Variance", (with P. Carr, D. Madan and M. Yor), 2005, Finance and Stochastics, October 2005
  • "Soybean inventory and forward curves dynamics", 2005, Management Science, (with V. Nguyen), Fall 2005
  • "From Local Volatility to Local Lévy Models", 2004, Quantitative Finance (with P. Carr, D. Madan and M. Yor)
  • "Stochastic Volatility for Lévy Processes", 2003, Mathematical Finance, (with P. Carr, D. Madan and M. Yor)i)
  • "Pure Jump Lévy Processes for Asset Price Modelling", 2002, Journal of Banking and Finance, 26, 1297-1316
  • "The Fine Structure of Asset Returns : An Empirical Investigation", 2002, Journal of Business (with P. Carr and M. Yor).
  • "Time Changes, Laplace Transforms and Path-Dependent Options", 2001, Computational Economics.
  • "Forward and Futures Contracts on Non-Storable Commodities : The Case of Electricity", 2001, RISK, August, (with O. Vasicek)
  • "Pricing and Hedging in Incomplete Markets", 2001, Journal of Financial Economics, October (with P. Carr and D. Madan)
  • "Time Changes for Lévy Processes", 2001, Mathematical Finance, Vol 11.1 ; (with D. Madan and M. Yor)
  • "The Bermuda Triangle : Electricity, Weather and Insurance Derivatives", 2000, Journal of Alternative Investments, September
  • "On the Role of State Variables in Interest Rate Models", 2000, Applied Stochastic Models in Business and Industry, 16 (with N. El Karoui and V. Lacoste)
  • "Asset Prices are Brownian Motion : only in Business Time", 2000, Chapter of the book Quantitative Analysis in Financial Markets, World Scientific Publishing Company ; (with D. Madan and M. Yor)
  • "Order Flow, Transaction Clock and Normality of Asset Returns", 2000, The Journal of Finance, October ; (with T. Ané)
  • "Fundamentals of Electricity Derivatives", 1999, Chapter of the book Energy Modelling and the Management of Uncertainty, RISK Books
  • "Learning about Risk : Some Lessons from Insurance", 1998, European Finance Review
  • "Pricing Power Derivatives", 1998, RISK , October, (with A. Eydeland)
  • "Stochastic Time Changes and Catastrophe Option Pricing", 1997, Insurance : Mathematics and Economics, 542, (with M. Yor)
  • "No Arbitrage Between Economies and Correlation Risk Management", 1997, Computional Economics, 10, (with R. Souveton)
  • "Stochastic Subordination", 1996, RISK, September, (with T. Ané)
  • "Changes of Numéraire, Changes of Probability Measures and Option Pricing" June 1995, Journal of Applied Probablity. (with N. El Karoui, J.C. Rochet) Reprinted in the book "From Vasicek and Beyond", editor Lane Hughston
  • "Domino Effect : Inverting the Laplace Transform", 1995, RISK, April. (with A. Eydeland) Reprinted in the book Over the Rainbow, 1995, editor Robert Jarrow
  • "Pricing Catastrophe Futures Contracts and Call Spreads : An Arbitrage Approach", March 1995, Journal of Fixed Income (with D. Cummins) Reprinted in the book "The Strategic Dynamics of the Insurance Industry", 1996, editors E. Altman and I. Vanderhoof
  • "Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies", 1994, Journal of Risk and Insurance. Vol. 13, N°2, (with M.O. Albizzati)
  • "CAT Calls", 1994, RISK, Vol. 7, N°9 Reprinted in the book "Over the Rainbow", 1995, editor Robert Jarrow
  • "A Probabilistic Approach to the Valuation of General Floating-Rate Notes with an Application to Interest Rate Swaps", 1994, Advances in Options and Futures Research. (with N. El Karoui)
  • "Bessel Processes, Asian Options and Perpetuities", 1993, Mathematical Finance, Vol 4, N° 3, (with M. Yor)
  • "Risky Pension Benefits in an Overlapping Generations Model", 1992, with Y. Balasko, University of Geneva Working Paper
  • "Processus de Bessel, Options Asiatiques et Fonctions confluentes hypergéométriques", 1992, Note aux Comptes Rendus de l'Académie des Sciences (with M. Yor)
  • "A Stochastic Approach to the Pricing of Floating Rate Notes", 1991, RISK, Vol.4 (with N. El Karoui)
  • "Trading/Non Trading Time Effects in the French Futures Markets", 1991, Journal of Accounting, Auditing and Finance (with T. Schneeweis)
  • "A Framework for Interest Risk Analysis and Portfolio Management", 1989, American Stock Exchange Colloquium Proceedings. (with R. Portait)
  • "L'Importance de la Probabilité Forward Neutre dans une Approche Stochastique des Taux d'Intérêt", 1989, ESSEC Working Paper (Univ. Paris I Sorbonne PhD Dissert)
  • "Modélisation probabiliste de la structure par termes des taux d'intérêt", 1988, Annales de l'Institut Henri Poincaré
Department of Economics, Mathematics and Statistics, Birkbeck, University of London, Malet Street, London WC1E 7HX.