Issues of Aggregation Over Time of Conditional Heteroscedastic Volatility Models: What Kind of Diffusion Do We Recover?
|Date||14 March 2007|
|Venue||ICMA Centre, Room G03/04|
He is a PhD student working on issues related to aggregation, weak convergence and continuous time limits of GARCH models under the supervision of Professor Patrice Poncet. He obtained a BA (Maitrise) of Finance from HEC in 2002, and a Masters in Capital Market Finance with highest distinction from Sorbonne in 2003. He participated at several Finance seminars mainly at CORE Belgium and the Institute of Finance at Lugano, Switzerland, where he spent 4 months within a visiting program in 2005 under the guidance of Professor Giovanni Barone-Adesi. Amine has a recent publication in the Studies in Nonlinear Dynamics & Econometrics. He has broad teaching experience and he is expecting to defend his PhD in mid-2007.