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 …

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 …

Three processes reflecting persistence of volatility are initially formulated by evaluating
three Lévy processes at a time change given by the integral of a mean‐reverting square root …

… Author links open overlay panel Hélyette Geman a b , Steve Ohana b … 4), the forward curve
is mostly backwardated, a feature often identified in the literature (see for instance Geman (…

… Helyette Geman … Requests to the Author should be emailed to: Helyette Geman, c/o
geman@essec.… As President of the Bachelier Finance Society, Professor Geman organized an …

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 …

The goal of this paper is to consider pure jump Lévy processes of finite variation with an infinite
arrival rate of jumps as models for the logarithm of asset prices. These processes may be …

The theory of storage, as related to commodities, makes two predictions involving the quantity
of the commodity held in inventory. When inventory is low (ie a situation of scarcity), spot …

The use of the risk-neutral probability measure has proved to be very powerful for
computing the prices of contingent claims in the context of complete markets, or the prices of …

The risk‐neutral process is modeled by a four parameter self‐similar process of independent
increments with a self‐decomposable law for its unit time distribution. Six different …