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researcher

Sébastien Valeyre

8 papers hereh-index 322 citations11 works total

Matching runs newest-first, so older work may not be attached to this profile yet.

author position
  • sole author3
  • first author5

Across the 8 of 8 papers where every author was matched, so the position is known.

fields
  • q-fin.PM4
  • q-fin.GN1
  • q-fin.RM1
  • q-fin.ST1
  • q-fin.TR1

identity via Semantic Scholar / OpenAlex

activity
20122025
most citedThe Reactive Volatility Model

5 citations · 8 across the 7 of their papers we have counts for

collaborators
Showing 2019Show all

1 paper · 1 filter

q-fin.RM2019

The Reactive Beta Model

Sebastien Valeyre, Denis S. Grebenkov, Sofiane Aboura

We present a reactive beta model that includes the leverage effect to allow hedge fund managers to target a near-zero beta for market neutral strategies. For this purpose, we deriv…

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Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.