Mean Reversion versus Random Walk in Oil and Natural Gas Prices
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Date: 11-06-2006
Start Time:
6:00pm
End Time: 7:30pm
Speaker: Hélyette Geman, Birkbeck, University of London and ESSEC Business School
Location: 412 Schapiro CEPSR
Abstract
The goal of the paper is threefold:
i) review some qualitative properties of oil and gas prices in the last 15 years;
ii) propose some mathematical elements towards a definition of mean reversion which would not be reduced to the form of the drift in a stochastic differential equation;
iii) conduct econometric tests in order to conclude whether mean reversion is gone in the energy commodity price behavior.
Bio
Hélyette Geman is a graduate from Ecole Normale Supérieure, holds a master's degree in theoretical physics and a Ph.D. in mathematics and a Ph.D. in Finance. Previously a Director at Caisse des Dépôts in charge of Research and Development, she is currently a scientific adviser for major energy companies. Her research includes pioneering work on exotic options, catastrophic risk and energy derivatives. Dr Geman is the author o the book "Commodities and Commodity Derivatives" and has extensively published in top-ranked Journals such as the Journal of Finance, Journal of Financial Economics, the Journal of Business, Mathematical Finance, Finance & Stochastics. She was named in 2004 in the Hall of Fame of Energy Risk.