Finance & Statistics Seminar

Topic: An Introduction to Expansion Methods for the Transition Density of Continuous-Time Models

Speaker: Professor Yacine Ait-Sahalia, Bendheim Center for Finance, Princeton University

Time: Friday, March 10, 14:00-15:30

Place: Room 112, Guanghua Building 1

Organizer: Department of Finance, Department of Business Statistics and Econometrics

Sponsor: Center for Statistical Science, PKU, The National Center for Financial Research at Peking University, The Key Laboratory of Mathematical Economics and Quantitative Finance (Ministry of Education) at Peking University

Abstract:

This lecture presents a set of methods designed to generate highly accurate approximations in closed-form to the transition density of continuous-time models sampled at a discrete frequency. Applications include maximum-likelihood estimation of financial and other models and derivative pricing.

Introduction:

Yacine Ait-Sahalia is the Otto Hack 1903 Professor of Finance and Economics at Princeton University. His primary area of research is financial econometrics. He has been serving as the inaugural director of the Bendheim Center for Finance at Princeton University since 1998. Prior to that, 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 received his undergraduate degree from école Polytechnique in Paris, France in 1987 and from ENSAE ParisTech in 1989, and his Ph.D. in Economics from the Massachusetts Institute of Technology in 1993. He has served as Editor of the Review of Financial Studies (2003–2006), Co-Editor of the Journal of Econometrics (since 2012), 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) and is a Research Associate for the National Bureau of Economic Research (since 1995). Ait-Sahalia’s research has concentrated on the estimation of continuous-time models in financial economics. His primary contributions include the development of nonparametric methods for estimating and testing these models, of expansions to implement maximum-likelihood estimation of arbitrary models using discrete data, and numerous advances in the estimation and testing of models using high frequency data with a focus on understanding the role and importance of jumps. Yacine Ait-Sahalia received fellowships from the Alfred P. Sloan Foundation (1998–1999) and the John Simon Guggenheim Memorial Foundation (2008–2009). He was elected a Fellow of the Econometric Society in 2002, of the Institute of Mathematical Statistics in 2004, of the American Statistical Association in 2008 and of the Society for Financial Econometrics in 2013. He is a Fellow of the Journal of Econometrics (1998). He received awards for research excellence, including the Dennis J. Aigner Award (Journal of Econometrics, 2003), the FAME Annual Research Prize (2001), the Cornerstone Research Award (1998), the Michael J. Brennan Award (1997) and the Review of Economic Studies Tour (1993).

https://en.wikipedia.org/wiki/Yacine_Ait-Sahalia

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