Denis Grebenkov

CNRS

scientist

3, rue Michel-Ange

Paris cedex 16, 75794

France

http://pmc.polytechnique.fr/pagesperso/dg/

Ecole Polytechnique, PMC

scientist

Route de Saclay

Palaiseau, 91128

France

http://pmc.polytechnique.fr/pagesperso/dg/

PMC, CNRS - Ecole Polytechnique

scientist

Route de Saclay

Palaiseau, 91128

France

http://pmc.polytechnique.fr/pagesperso/dg

  • CNRS

    • Email
    • Tel: +33169334662
    • Fax: +33169334799

  • Ecole Polytechnique, PMC

    • Email
    • Tel: +33169334662
    • Fax: +33169334799

  • PMC, CNRS - Ecole Polytechnique

    • Email
    • Tel: +33169334662
    • Fax: +33169334799
SCHOLARLY PAPERS

3

DOWNLOADS

447

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

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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 261 (125,813)

Abstract:

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volatility, tail event, risk management, asset pricing

2.

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 103 (278,014)

Abstract:

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

3.

Should Employers Pay Their Employees Better?

Number of pages: 33 Posted: 03 Feb 2016
Sébastien Valeyre, Denis Grebenkov, Qian Liu, Sofiane Aboura and Francois Bonnin
John Locke Investments, CNRS, John Locke Investments, Université Paris XIII Nord - Department of Economics and Management and John Locke Investments
Downloads 83 (319,061)

Abstract:

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Anomalies, Asset Pricing, Remuneration, Performance