La représentation des marchés dans la modélisation probabiliste en finance
Journal de la société française de statistique, Tome 133 (1992) no. 4, pp. 123-137.
     author = {Geman, H\'elyette},
     title = {La repr\'esentation des march\'es dans la mod\'elisation probabiliste en finance},
     journal = {Journal de la soci\'et\'e fran\c caise de statistique},
     pages = {123--137},
     publisher = {Soci\'et\'e de statistique de Paris},
     volume = {133},
     number = {4},
     year = {1992},
     language = {fr},
     url = {}
Geman, Hélyette. La représentation des marchés dans la modélisation probabiliste en finance. Journal de la société française de statistique, Tome 133 (1992) no. 4, pp. 123-137.

D'Archimbaud T., Geman H., Portait R. (1990) " Une analyse générale du risque de taux", Analyse Financière, Nos 80 et 83.

Black F., Scholes M. (1973) " The Pricing of Options and Corporate Liabilities", J. of Political Economy. | Zbl 1092.91524

Black F., Derman E., Toy W. (1990) " A One-Factor Model of Interest Rates and its Applications to Treasury Bond Options", Financial Analysts Journal.

Brennan M., Schwartz E. (1979) " A Continuous Time Approach to the Pricing of Bonds", J. of Banking and Finance.

Cohen H., Heath D. (1991) Testing Models for Valuation of Interest Rate Dependent Securities, Technical Report, Comell University.

Cox J., Ingersoll J., Ross S. (1985) " A Theory of the Term Structure of Interest Rates", Econometrica. | MR 785475

Dothan L. (1978) " On the Term Structure of Interest Rates", J. of Financial Economics.

Duffie D. (1990) " The Theory of Value in Securities Markets" in Handbook of Mathematical Economics. | Zbl 1049.91506

Chan K., Karoly F., Longstaff F., Sanders A. (1991) The Volatility of Short-Term Interest Rates, European Finance Association Meeting, Rotterdam.

El Karoui N., Geman H. (1991) " A Stochastic Approach to the Pricing of Floating Rate Notes", RISK.

El Karoui N., Rochet J.C. (1989) A Pricing Formula for Options on Coupon Bonds, Working Paper, GREMAQ, Toulouse.

Geman H.(1989) The Importance of the Forward-Neutral Probability in a Stochastic Approach of lnterests Rates, Working Paper, ESSEC.

Geman H. (1991) " Portfolio Insurance and Synthetic Securities", Applied Stochastic Models and Data Analysis.

Geman H., Portait R. (1989) A Framework for Interest Rate Risk Analysis and Portfolio Management, American Stock Exchange Colloqium, New York.

Geman H., Yor M. (1991) " Processus de Bessel et options asiatiques", Notes aux Comptes Rendus de l'Académie des Sciences.

Geman H., Yor M. (1992) " Bessel Processes, Asian Options and Perpetuities", Annual Conference of the Financial Options Research Centre. | Zbl 0884.90029

Harrison J., Kreps D. (1979) " Martingale and Arbitrage in Multiperiod Securities Markets", J. of Economic Theory. | MR 540823 | Zbl 0431.90019

Harrison J., Pliska S. (1981) " Martingales and Stochastic Integrals in the Theory of Continuous Trading", Stochastic Processes and their Applications. | MR 622165 | Zbl 0482.60097

Heath D., Jarrow R., Morton A. (1988) Bond Pricing and the Term Structure of Interest Rates : A New Approach, Working Paper, Cornell University.

Ho T., Lee X. (1986) " Term Structure Movements and Pricing Interest Rate Contingent Claims", J. of Finance.

Hull J., White A. (1990) " Pricing Interest-Rate Derivative Securities", R. of Financial Studies.

Jamshidian F. (1987) Pricing Contingent Claims in the One-Factor Term Structure Model, Working Paper, Merrill Lynch.

Jamshidian F. (1989) " An Exact Bond Option Formula", J. of Finance.

Kemna A., Vorst A. (1990) " A Pricing Method for Options Based on Average Asset Values", J. of Banking and Finance.

Levy E. (1992) " Pricing Average Rate Currency Options", The International Journal of Money and Finance.

Markowitz H. (1952) " Portfolio Selection", J. of Finance.

Merton R. (1973) " The Theory of Rational Option Pricing", Bell Journal of Economics. | MR 496534 | Zbl 1257.91043

Perderson H., Shiu E., Thorlacious A. (1989) " Arbitrage Free Pricing of Interest Rate Contignent Claims", Transactions of the Society of Actuaries.

Roger P. (1990) " Les Outils de la Modélisation Financière", PUF, Paris.

Rubinstein M., Leland H. (1981) " Replicating Options with Positions in Stock and Cash", Financial Analysts Journal.

Vasicek O. (1977) " An Equilibrium Characterization of the Term Structure", J of Financial Economics.