Sébastien Valeyre

John Locke Investments

Fund Manager

38 Avenue Franklin Roosevelt

Fontainebleau-Avon, 77210

France

SCHOLARLY PAPERS

4

DOWNLOADS

589

CITATIONS

0

Scholarly Papers (4)

1.

The Reactive Volatility Model

Number of pages: 15 Posted: 08 Aug 2012
Sébastien Valeyre, Denis Grebenkov, Sofiane Aboura and Qian Liu
John Locke Investments, CNRS, Université Paris XIII Nord - Department of Economics and Management and John Locke Investments
Downloads 257 (118,003)

Abstract:

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volatility, tail event, risk management, asset pricing

2.

Option Pricing with a Dynamic Fat-Tailed Model

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 38 Posted: 30 Mar 2012 Last Revised: 21 Jun 2015
Sofiane Aboura, Sébastien Valeyre and Niklas Wagner
Université Paris XIII Nord - Department of Economics and Management, John Locke Investments and Passau University
Downloads 159 (185,038)

Abstract:

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European-style option pricing, volatility smile, risk model

3.

The Beta Neutral Model with Leverage Effect

Number of pages: 27 Posted: 28 Aug 2017
Sébastien Valeyre, Denis Grebenkov and Sofiane Aboura
John Locke Investments, CNRS and Université Paris XIII Nord - Department of Economics and Management
Downloads 93 (276,322)

Abstract:

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Beta, Correlation, Volatility, Portfolio Management, Market Neutral Strategies

4.

Should Employers Pay Their Employees Better?

Number of pages: 33 Posted: 03 Feb 2016
John Locke Investments, CNRS, John Locke Investments, Université Paris XIII Nord - Department of Economics and Management and John Locke Investments
Downloads 80 (303,331)

Abstract:

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Anomalies, Asset Pricing, Remuneration, Performance