Helyette Geman, of Johns Hopkins and Birkbeck, Is Financial Engineer of the Year

French mathematician Helyette Geman is the latest mathematical finance luminary to be named Financial Engineer of the Year (FEOY) by the International Association for Quantitative Finance (IAQF) and Northfield Information Services.

The award, for 2022, will be presented at an event in New York on April 26. The IAQF, formerly the International Association of Financial Engineers, has been honoring FEOYs since 1993 – among them Emanuel Derman, Darrell Duffie, Robert Engle, Robert Litterman, Andrew Lo and Robert Merton.

A research professor of mathematical finance in the Department of Applied Mathematics, Johns Hopkins University, and the director of the Commodity Finance Centre at Birkbeck, University of London, Geman is the first woman FEOY.

Helyette Geman

Following a nomination process, the selection was made by a 25-member committee that included IAQF board members and senior fellows and was chaired by 2020 FEOY Paul Glasserman of Columbia University.

“Her work both as a researcher and as a prominent educator in the field has made a profound positive impact,” Northfield president Dan diBartolomeo said in this month’s IAQF announcement. “Professor Geman’s research across disparate topics, and her collaborations with others from across our field and around the world, is illustrative of her extensive career of important contributions.”

Leadership Positions

Geman has made significant contributions in the energy, commodities and insurance fields, and has consulted for major banks, commodity trading, energy and mining companies.

She was head of research at Caisse des Depots in Paris and president of the Bachelier Finance Society, is a Bloomberg Commodity Index board member, is in the Hall of Fame of Energy Risk, founded Women for Climate Sciences and is a senior fellow of the Policy Centre for the New South in Rabat, Morocco.

She has published more than 100 papers. Her books include Commodities and Commodity Derivatives: Modeling and Pricing for Energy, Metals and Agriculture and, as editor, Risk Management in Commodity Markets: from Shipping to Agriculturals and Energy.

Previous awards include a 1995 AFIR (International Actuarial Association) Prize for work on catastrophe bonds and insurance of extreme events; and a 2008 Medal for Sciences of the Institute for Advanced Studies of the University of Bologna, resulting from a collaboration with Peter Carr, Dilip Madan and Marc Yor. (Carr was FEOY in 2010, Madan in 2021.) A paper on Stochastic Volatility, Jumps and Hidden Time Changes by Geman, Madan and Yor was originally published in Finance and Stochastics, January 2002.

In a statement acknowledging the IAQF designation, Geman paid tribute to late friends and colleagues Yor, Carr and Marco Avellaneda. Carr and Avellaneda, who were affiliated with New York University’s Tandon School of Engineering and Courant Institute, respectively, died last year, and Geman was a plenary speaker at the Peter Carr Memorial Conference in June.

Hopes for the Climate

Geman also gave a nod to “my PhD students from all countries,” adding, “For myself, my goal is to keep doing what I love and include forests, water and land in the mission of IAQF. Hopefully, my global knowledge will help identifying the Climate Clock and some further steps to make it the first Time Change that takes negative values.”

Geman is a graduate of Ecole Normale Superieure in Mathematics, holds a Master’s in Theoretical Physics and a PhD in Probability from the University Pierre et Marie Curie, and a PhD in Finance from the University Pantheon Sorbonne. In 1993, she became “Professeur Agrege des Universites” in Management Sciences.

From 1988 to 1995, Geman was chair of the Finance Department at ESSEC Business School. From 1995 to 2005, she was director of the Security Markets, Commodity Markets and Risk Management Master’s program at Paris Dauphine University, where her PhD students included Nassim Nicholas Taleb (who defended the dissertation “The Microstructure of Dynamic Hedging” in 1998).