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Yacine Aït-Sahalia
Yacine Aït-Sahalia (born 1966 in Algeria) is the Otto Hack 1903 Professor of Finance and Economics at Princeton University. His primary areas of research are financial econometrics and mathematical statistics. He served as the inaugural director of the Bendheim Center for Finance at Princeton University from 1998 until 2014.
Prior to joining Princeton University, he was an assistant professor (1993–96), associate professor (1996–98) and professor of finance (1998) at the University of Chicago Booth School of Business.
He has served as editor of the Review of Financial Studies (2003–2006), co-managing editor of the Journal of Econometrics (2012-2018), and associate editor of the Annals of Statistics (2003–2006), Econometrica (2007–2013), the Journal of Finance (2007–2010), Finance and Stochastics (1996–2011), the Journal of Econometrics (1999–2012) and the Journal of Financial Econometrics (2001–2011). He served as director of the Western Finance Association (2003–2006).
He has been a research associate at the National Bureau of Economic Research since 1995.
Aït-Sahalia studied in classe préparatoire aux grandes écoles at Lycée Louis-le-Grand in Paris (1983-85), received his undergraduate degree from École Polytechnique in 1987, his master's degree from ENSAE ParisTech in 1989, and his Ph.D. in economics from the Massachusetts Institute of Technology in 1993.
Aït-Sahalia has made fundamental contributions to the estimation and testing of continuous-time models in financial economics.
Quite often in empirical finance, the model that is estimated or tested is written in discrete-time and represents only an approximation to the theoretical continuous-time model which motivated the empirical investigation. Aït-Sahalia has developed methods to remove this approximation. His first contributions include the development of nonparametric methods for estimating and testing these models, introducing the idea of comparing the densities predicted by the model to those estimated nonparametrically from the data at the same discrete frequency. These methods have been instrumental in uncovering nonlinearities in the dynamics of interest rates, volatility, and other variables.
The fact that large samples of data are often available, combined with the fact that the precise specification of the model has a large influence on the end result, make nonparametric methods particularly appealing in empirical finance. Aït-Sahalia developed methods with Andrew Lo to nonparametrically infer Arrow-Debreu state prices, or risk-neutral densities, from observable market data and studied the representative agent preferences embedded in the joint collection of time-series data on the underlying asset dynamics and the cross-sectional option data. In many settings, economic theory only restricts the direction of the relationship between variables, not the particular functional form of their relationship. Motivated by the estimation of the risk-neutral density, which starts from a monotonic and convex option pricing function, nonparametric estimators were constructed to satisfy these shape restrictions, as a modification of nonparametric locally polynomial estimators.
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Yacine Aït-Sahalia
Yacine Aït-Sahalia (born 1966 in Algeria) is the Otto Hack 1903 Professor of Finance and Economics at Princeton University. His primary areas of research are financial econometrics and mathematical statistics. He served as the inaugural director of the Bendheim Center for Finance at Princeton University from 1998 until 2014.
Prior to joining Princeton University, he was an assistant professor (1993–96), associate professor (1996–98) and professor of finance (1998) at the University of Chicago Booth School of Business.
He has served as editor of the Review of Financial Studies (2003–2006), co-managing editor of the Journal of Econometrics (2012-2018), and associate editor of the Annals of Statistics (2003–2006), Econometrica (2007–2013), the Journal of Finance (2007–2010), Finance and Stochastics (1996–2011), the Journal of Econometrics (1999–2012) and the Journal of Financial Econometrics (2001–2011). He served as director of the Western Finance Association (2003–2006).
He has been a research associate at the National Bureau of Economic Research since 1995.
Aït-Sahalia studied in classe préparatoire aux grandes écoles at Lycée Louis-le-Grand in Paris (1983-85), received his undergraduate degree from École Polytechnique in 1987, his master's degree from ENSAE ParisTech in 1989, and his Ph.D. in economics from the Massachusetts Institute of Technology in 1993.
Aït-Sahalia has made fundamental contributions to the estimation and testing of continuous-time models in financial economics.
Quite often in empirical finance, the model that is estimated or tested is written in discrete-time and represents only an approximation to the theoretical continuous-time model which motivated the empirical investigation. Aït-Sahalia has developed methods to remove this approximation. His first contributions include the development of nonparametric methods for estimating and testing these models, introducing the idea of comparing the densities predicted by the model to those estimated nonparametrically from the data at the same discrete frequency. These methods have been instrumental in uncovering nonlinearities in the dynamics of interest rates, volatility, and other variables.
The fact that large samples of data are often available, combined with the fact that the precise specification of the model has a large influence on the end result, make nonparametric methods particularly appealing in empirical finance. Aït-Sahalia developed methods with Andrew Lo to nonparametrically infer Arrow-Debreu state prices, or risk-neutral densities, from observable market data and studied the representative agent preferences embedded in the joint collection of time-series data on the underlying asset dynamics and the cross-sectional option data. In many settings, economic theory only restricts the direction of the relationship between variables, not the particular functional form of their relationship. Motivated by the estimation of the risk-neutral density, which starts from a monotonic and convex option pricing function, nonparametric estimators were constructed to satisfy these shape restrictions, as a modification of nonparametric locally polynomial estimators.
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