Yacine Ait-Sahalia

Yacine Aït-Sahalia (2007)

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

Live and act

Yacine Aït-Sahalia prepared from 1983 to 1985 at the Lycée Louis-le-Grand to study mathematics , which he carried out from 1985 to 1987 at the École polytechnique and graduated with a bachelor's degree in mathematics (Diplôme d'Ingénieur de l'École Polytechnique) . From 1987 to 1989 he studied at the École nationale de la statistique et de l'administration économique and obtained the Diplôme de l'ENSAE and a master's degree in economics and statistics . In 1989 he went to the USA to write his dissertation at the Massachusetts Institute of Technology . In 1993 he was with the work Nonparametric Functional Estimation with Applications to Financial Models for Ph. D. doctorate . His carers were Jerry Hausman , Andrew W. Lo, and Whitney Newey . From 1993 to 1998 Aït-Sahalia was at the University of Chicago , first as Assistant Professor (1993–96), then as Associate Professor (1996–98) and finally as Professor of Economics. In 1998 he moved to Princeton University , where he was Professor until 2002 and Otto A. Hack has been Professor of Finance and Economics since 1903. In addition, he has been the director of the Bendheim Center for Finance there since 1998. From 2003 to 2006 he was also a director of the Western Finance Association .

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)
with Michael Brandt: Variable Selection for Portfolio Choice . In: Journal of Finance . Volume 56, 2001, pp. 1297-1351 (2001 FAME Annual 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 Diffusions. A closed-form approximation approach . In: Econometrica . Volume 70, 2002, pp. 223-262 (1998 Cornerstone Research Award)

1994 Honorable Mention at the Zellner Thesis Award ( American Statistical Association )
1995 Emory Williams Award for Excellence in Teaching ("Teacher of the Year", Graduate School of Business, University of Chicago)
1998 Cornerstone Research Award (Western Finance Association)
1998 Sloan Research Fellow