Aslıhan Altay Salih

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Aslıhan Altay Salih

Assistant Professor of Finance

Faculty of Business Administration,

Bilkent University 06800 Ankara, Turkey

Phone: (90-312) 290 2047
Fax : (90-312) 266 4958


Ph.D. Business Administration (Finance) 90-94

University of Massachusetts, Amherst, MA.

MBA Business Administration 88-90

Middle East Technical University,Ankara, Türkiye.

B.Sc Electrical and Electronics Engineering 84-88

with a minor in Computer Engineering

Middle East Technical University, Ankara, Türkiye.
Dissertation “Issues in the Use of Implied Volatility”

The objective of the dissertation is to contribute to the understanding of the

practical usage and reliability of implied volatility as an ex-ante volatility

forecast. One of the main research questions is the forecasting ability of

Implied Volatility compared to other statistical volatility forecasts

(e.g., ARCH and GARCH models).

Professional Experience

Assistant Bilkent University, Ankara July 96-

Professor Faculty of Business Administration

Taught Graduate and Undergraduate Corporate Finance,

Investments, Financial Statement Analysis

Graduate and Undergraduate Risk Management

Introduction to Financial Theory (Ph.D. Course)

Derivatives Markets (Ph.D. Course)

Consultant Interbank , Istanbul April 96-July 96

Equity Research Department

Developed a time series model of forecasting for

Turkish stocks.

Senior Salomon Brothers Inc., New York, NY. Sep. 94 – April 96

Research Derivatives Research/ Equity Portfolio Analysis

Analyst Forecasting Volatility Using Advanced Statistical

Techniques. Devising risk management and trading

strategies for mutual and pension fund managers.

Financial TRS Associates, Amherst, MA Fall 93

Consultant consulting related to foreign exchange

options markets.

Research University of Massachusetts, Amherst, MA 93-94

Assistant Involved in research projects related to

international asset allocation, management

and derivative markets.
Teaching University of Massachusetts, Amherst, MA. 90-93

Assistant Taught the Corporate Finance course.
Teaching Harvard University, Cambridge, MA Summer 1992

Assistant MBA Managerial Finance course.
Researcher ASELSAN, Ankara, Türkiye 88-90

Member of the management team for a joint venture

NATO project. Analyzed financial and technical

feasibility of new projects.

Publications in Scholarly Journals
Akdeniz, L., A. Altay-Salih, ve K. Aydoğan, “A Cross-Section of Expected Stock Returns on the Istanbul Stock Exchange,” Russian and East European Finance and Trade, Vol. 36, No. 5, September-October 2000,6-26.

Altay-Salih A., G. Muradoğlu, ve M. Mercan, “Performance of the Efficient Frontier in an Emerging Market Setting,” Applied Economics Letters, Vol. 9, No 3., 20 February 2002,177-183.

Nekhili, R., A. Altay-Salih, ve R. Gençay, “Exploring Exchange Rate Returns at Different Time Horizons,” Physica A 313 (2002) 671-682.

Gençay R., ve A. Altay-Salih, “Degree of Mispricing with Black-Scholes and Nonparametric Cures,” forthcoming in Annals of Economics and Finance.

Altay-Salih, M. Pinar, S. Leyffer, "Constrained Nonlinear Programming for Volatility Estimation with GARCH Models," accepted for publication in SIAM Review

A. Altay-Salih, L. Akdeniz, Mehmet Caner "Time Variying Betas Help in Asset Pricing: The Threshold CAPM”, accepted for publication in Studies in Nonlinear Dynamics and Econometrics,

A. Altay-Salih, L. Akdeniz, A. Ece Ungan, "Investment Horizon and Diversification in ISE”, accepted for publication in Isletme ve Finans,
Conference Proceedings and Monographs
Joseph Mezrich, Robert Engle, Aslıhan Altay-Salih, “How to Model Volatility; Grappling with GARCH”, , Derivatives Strategy Monograph Series, Salomon Brothers, September 1995.
Aslıhan Altay-Salih, Volkan Kurtaş, “The Impact of Stock Index Futures Introduction on the Distributional Characteristics of the Underlying Index: An International Perspective” , Proceedings of the Eleventh Annual European Futures Research Symposium , Marseille, France, September 1998, 127-143.

Kılıç H., M. Güler, ve A. Altay-Salih, “A Reverse Engineering Methodology for the Interpretation of Stock Price Dynamics,” Proceedings Computational Intelligence: Methods and Applications (CIMA'99), International Symposium on Soft Computing in Financial Markets (SCFM'99) Section, June 22-25,1999 Rochester, N.Y., USA .

Papers Presented at Professional Meetings

“Degree of Mispricing with Black-Scholes and Nonparametric Cures,” January 2003

Econometric Society North American Meetings,

“A Behavioural Approach to Efficient Portfolio Formation,” June 2002

European Financial Management Association 2002 Annual Meeting,

“Optimum Investment Horizon for Small Investors in ISE:A Simulation Exercise," September 2000

ERC/METU Conference in Economics, Ankara,.

“A Reverse Engineering Methodology for the Interpretation September 1999

of Stock Price Dynamics,” (co-authored) International Symposium

on Soft Computing in Financial Markets (SCFM'99) Section,

Rochester, N.Y., USA .

“GARCH Models in Volatility Estimation for Stock Market Indices” August 1996

(co-authored), Econometric Society European Meetings, Istanbul, Türkiye
“The Performance of Implied Volatility in Market Timing Strategies” October 1994

(co-authored), Financial Management Association, St. Lois, MO

“Volatility Risk Premium of S&P 500 Index Options: An Empirical March 1994

Investigation” (co-authored), Eastern Finance Association, Boston, MA.

“Information Impacts and Seasonality Effects in Futures and Options October 1993

Markets” (co-authored), Seminar on Derivative Securities, New York, NY.

“Financial Modeling in International Asset Allocation Strategies” April 1992

(co-authored) TIMS-ORSA, Orlando, FL.

Invited Lectures, Seminars and Workshop

“The Impact of Stock Index Futures Introduction on the Distributional September 1998

Characteristics of the Underlying Index: An International Perspective” ,

Invited Speaker in Chicago Board of Trade European Research Symposium,

Marseille, France.

"Relationship between Risk and Return", Capital Market Board February 1999

Training program, Ankara

"Derivatives Markets and Pricing Issues", Capital Market Board February 1999

Training program, Ankara

"Security Selection and Asset Allocation through Markowitz Framework", February 1999

Capital Market Board Training program , Ankara

"Derivatives Markets , Hedging and Risk Management" Izmir Cotton March 1999

Exchange Training Workshop

"Effective Interest Rate Risk Management and Volatility Estimation" April 2000

Turkish Development Bank Ankara,

"Global Venture Capital Industry" GE Project Course, Bilkent University, October 2000

"Options and Futures Markets" Capital Market Board Lecture, Ankara February 2002

"Risk and Return" Capital Market Board Lecture, Ankara April 2002

Computer Skills

OS/Environment Unix, Windows

Languages FORTRAN, C++

Software ,Mathematica, SPSS, S-plus

Honors and Professional Affiliations

Member of the American Finance Association

Member of the Econometric Society

Member of Finance Club

Member Beta Gamma Sigma

Winner of the UMASS bridge tournament 1993

Scored among the top 1% in the University Entrance Exams in Turkey

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