|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).
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
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
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,
"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
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