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LLEO Sébastien

  • briefcase Finance
  • quality HDR (Authorization to supervise research), Management, Finance
Areas of research
  • Investment management
  • Stochastic control and stochastic analysis
  • Stochastic portfolio optimization models for asset managers, pension funds and insurance companies
  • Financial data science, statistical learning and machine learning
  • Behavioral finance
  • Financial risk management
  • Derivatives pricing

Sébastien Lleo is Associate Professor of Finance at NEOMA Business School (France). He joined NEOMA Business School in 2010 and served as Director of the Doctoral School for five years, during which he developed the PhD in Management and a DBA in partnership with Shanghai Jiaotong University. Sébastien is also a tutor on the Certificate in Quantitative Finance at FitchLearning (UK) and the 2020 Bruti-Liberati Fellow at the Quantitative Finance Research Center, University of Technology Sydney (Australia). He was the lead researcher on the RISK PERFORM project, jointly funded by Région Champagne Ardennes and the European Union and held a visiting position at the Frankfurt School of Finance and Management (Germany). Sébastien started his career at the Bank of Canada and Canada Mortgage and Housing Corporation.  

Sébastien’s primary research interests include investment management, stochastic control and stochastic analysis, data science and machine learning, behavioural finance, risk management and asset pricing. Selected articles appeared in the Journal of Banking and Finance, International Journal of Forecasting, Quantitative Finance, SIAM Journal of Control and Optimization, SIAM Journal on Financial Mathematics, and Journal of Portfolio Management. Sébastien also served as Book Review Editor for Quantitative Finance. He co-authored two books: Risk-Sensitive Investment Management with M. Davis, Stock Market Crashes Predictable and Unpredictable and What to do About Them with W. T. Ziemba and M.  Zhitlukhin. Sébastien also authored a monograph on risk management commissioned by the Research Foundation of the CFA Institute.  

Sébastien holds a PhD in Mathematics from Imperial College London (UK), HDR in Social Science and Humanities from Conservatoire Nationale des Arts et Métiers (France), MBA from University of Ottawa (Canada), MSc in Management from the Ecole Supérieure de Commerce de Reims (now NEOMA Business School). He is also a CFA Charterholder, a Certified Financial Risk Manager, a Professional Risk Manager, and a CQF alumnus.