Yacine Ait-Sahalia

Yacine Aït- Sahalia is a French economist who works in the field of econometrics.

Life and work

Yacine Aït- Sahalia prepared from 1983 to 1985 at the Lycée Louis -le- Grand to study mathematics before that from 1985 to 1987 polytechnique at the École conducted and graduated with a Bachelor in Mathematics ( Diplôme d' Ingénieur de l' Ecole Polytechnique ), he. 1987 to 1989 he studied at the École Nationale de la Statistique et de l' Administration Economique and earned the Diplôme de l' ENSAE and a master's in economics and statistics. In 1989 he went to the USA to the Massachusetts Institute of Technology to write his dissertation. He received his doctorate with the work Nonparametric Functional Estimation with Applications to Financial Models for Ph. D. in 1993. His caregivers were Jerry Hausman, Andrew W. Lo, and Whitney Newey. From 1993 to 1998, Aït- Sahalia at the University of Chicago, first as Assistant Professor ( 1993-96 ), then as an Associate Professor (1996-98 ) and most recently as Professor of Economics. In 1998 he moved to Princeton University, where he was a professor until 2002 and since then Otto A. Hack 1903 Professor of Finance and Economics is. In addition, since 1998 he is director of the Bendheim Center for Finance. 2003 to 2006 he was also Director of the Western Finance Association.

Works

• Testing Continuous -Time Models of the Spot Interest Rate. In: Review of Financial Studies. Volume 9, 1996, pp. 385-426 (Michael Brennan Award for the best paper published in the Review of Financial Studies in 1996)
• Michael Brandt: Variable Selection for Portfolio Choice. In: Journal of Finance. Volume 56, 2001, pp. 1297-1351 (2001 Annual FAME Research Prize )
• With Yubo Wang and Francis Yared: Do Options Markets Correctly Price the Probabilities of Movement of the Underlying Asset?. In: Journal of Econometrics. Volume 102, 2001, pp. 67-110 (2003 Dennis J. Aigner Award for the best paper in applied econometrics published in the Journal of Econometrics in 2001 and 2002)
• Maximum Likelihood Estimation of discretely - sampled diffusion. A closed- form approximation approach. In: Econometrica. Volume 70, 2002, pp. 223-262 (1998 Cornerstone Research Award)

Awards

Memberships

• 2002 Econometric Society
• 2004 Institute of Mathematical Statistics
• 2008 American Statistical Association