Presidential ProfessorBaruch College, CUNY |
Phone: 646.312.4134 Email: jim.gatheral@baruch.cuny.edu Mailing address: Department of Mathematics Box B6-230, Baruch College One Bernard Baruch Way New York, NY 10010, USA |

Jim Gatheral joined the Financial Engineering MS Program in the department of mathematics at Baruch College in 2010 as a tenured full professor. Since 2013, he is Presidential Professor at Baruch College.

* Current research interests:* Volatility modeling, market impact, and optimal execution.

*Education:*

Undergraduate (B.Sc., 1979): University of Glasgow, Mathematics and Natural Philosophy.

Graduate (Ph.D., 1983): DAMTP, Cambridge University, Theoretical Physics, Advisor: John C. Taylor

*Some papers and preprints:*

• (with Gianbiagio Curato and Fabrizio Lillo) *Discrete Homotopy Analysis for Optimal Trading Execution with Nonlinear Transient Market Impact.*

Communications in Nonlinear Science and Numerical Simulation **39** 332-342, (2016).

• (with Christian Bayer and Peter Friz) *Pricing Under Rough Volatility.*

Quantitative Finance forthcoming (2016).

• (with Gianbiagio Curato and Fabrizio Lillo) *Optimal Execution with Nonlinear Transient Market Impact.*

Quantitative Finance forthcoming (2016).

• (with Thibault Jaisson and Mathieu Rosenbaum) *Volatility is Rough.*

• (with Tai-Ho Wang) *Implied volatility from local volatility: A path integral approach.*

In Large Deviations and Asymptotic Methods in Finance (Editors: P. Friz, J. Gatheral, A. Gulisashvili, A. Jacquier, J. Teichmann) , Springer Proceedings in Mathematics and Statistics, Vol. 110 (2015).

• (with Antoine Jacquier) *Arbitrage-free SVI volatility surfaces*. Companion R-code for finding where total variance smiles cross if they do cross: sviRoots.R (Right click or option-click the link and choose “Save As…” to download a .zip file).

Quantitative Finance **14**(1), 59-71 (2014).

• (with Christian Bayer and Morten Karlsmark) *Fast Ninomiya-Victoir Calibration of the Double-Mean-Reverting Model.*

Quantitative Finance **13**(11), 1813-1829 (2013).

• (with Alex Schied)* Dynamical models of market impact and algorithms for order execution*

In Handbook on Systemic Risk (eds.: J.-P. Fouque and J. Langsam), Cambridge University Press (2013).

• (with Tai-Ho Wang) *The Heat-Kernel Most-Likely-Path Approximation.*

International Journal of Theoretical and Applied Finance **15**(1), 1250001 (2012).

• (with Alex Schied)* Optimal trade execution under geometric Brownian motion in the Almgren and Chriss framework.*

International Journal of Theoretical and Applied Finance **14**(3), 353-368 (2011).

• (with Alex Schied and Alla Slynko) *Exponential resilience and decay of market impact.*

Econophysics of Order-driven Markets, Springer 225-236 (2011).

• (with Alex Schied and Alla Slynko) *Transient linear price impact and Fredholm integral equations.*

Mathematical Finance **22**(3), 445-474, (2012).

• (with Antoine Jacquier) *Convergence of Heston to SVI*

Quantitative Finance **11**(8), 1129-1132 (2011).

• (with Elton Hsu, Peter Laurence, Cheng Ouyang and Tai-Ho Wang) *Asymptotics of Implied Volatility in Local Volatility Models.*

Mathematical Finance **22**(4), 591-620 (2012).

• *No-Dynamic-Arbitrage and Market Impact.*

Quantitative Finance **10**(7), 749-759 (2010).

• (with Roel Oomen) *Zero-Intelligence Realized Variance Estimation.*

Finance and Stochastics **14**(2), 249-283 (2010).

• (with Peter Friz) *Valuing Volatility Derivatives as an Inverse Problem*.

Quantitative Finance **5**(6), 531-542 (2005).

• (with Yonathan Epelbaum, Jining Han, Kishor Laud, Olga Lubovitsky, Elaine Kant, and Curt Randall) *Implementing Option Pricing Models Using Software Synthesis.*

Computing in Science and Engineering **1**(6), 54-64 (1999).

*Book and book contributions:*

• (with Michael Kamal) Implied Volatility Surface.

Encyclopedia of Quantitative Finance, R. Cont (Ed.), John Wiley & Sons, 926-931 (2010).

Encyclopedia of Quantitative Finance, R. Cont (Ed.), John Wiley & Sons, 987-989 (2010).

• (with foreword by Nassim Taleb) *The Volatility Surface: A Practitioner’s Guide.* John Wiley & Sons (2006).

The Volatility Surface is now in its second printing; thanks to the efforts of many attentive readers, errors in the first printing have been corrected in this printing. Here is a list of corrections for the first printing of The Volatility Surface.

• *Delta Hedging with Uncertain Volatility.*

Volatility in the Capital Markets: State-of-the-Art Techniques for Modeling, Managing, and Trading Volatility, I. Nelken (Ed.), Glenlake Publishing Company (1997).

*Some presentations:*

• *Random Matrix Theory and Correlation Estimation*

Baruch College Mathematics Society (February 2015).

Companion R-code: RMT.R (Right click or option-click the link and choose “Save As…” to download).

• *Fractional volatility models*

Bloomberg Quant Seminar, New York (June 2014).

• *Fast Ninomiya-Victoir calibration of the Double-Mean-Reverting model*

Stochastic Processes and their Statistics in Finance, Okinawa (October 2013).

• *Joint modeling of SPX and VIX*

National School of Development, Peking University (October 2013).

• *The Volatility Surface: Statics and Dynamics*

Bloomberg Quant Seminar, New York (January 2013).

• *Arbitrage-free SVI volatility surfaces*

Center for the Study of Finance and Insurance, Osaka University (December 2012).

• *Market Impact with Autocorrelated Order Flow Under Perfect Competition: The Donier Model*

Market Microstructure: Confronting many Viewpoints, Paris (December 2012).

JOIM Fall Conference, Boston (October 2011).

• *The execution puzzle: How and when to trade to minimize cost*

5th International Financial and Capital Markets Conference, Campos do Jordão (August 2011).

• *The variational most-likely-path*

Global Derivatives, Paris (April 2011).

• *Price manipulation in models of the order book*

Market Microstructure: Confronting many Viewpoints, Paris (December 2010).

Petit Dejeuner de la Finance, Paris (April 2010).

• *Price manipulation in models of the order book*

RiO 2009, Búzios, Brasil (November 2009).

• *No-Dynamic-Arbitrage and Market Impact*

University of Chicago, Stevanovich Center Conference on Liquidity (November 2008).

• *Random Matrix Theory and Covariance Estimation*

NYU Courant Institute Algorithmic Trading Conference (October 2008).

• *Consistent Modeling of SPX and VIX Options*

Bachelier Congress, London (July 2008).

• *Further Developments in Volatility Derivatives Pricing*

Global Derivatives, Paris (May 2008).

• *Developments in Volatility Derivatives Pricing*

Global Derivatives, Paris (May 2007).

• *Real-time Volatility Estimation Under Zero Intelligence*

TDTF, Amsterdam (June 2006).

• *Valuation of volatility derivatives*

Global Derivatives, Paris (May 2005).

Global Derivatives, Madrid (May 2004).

• *Modeling the Implied Volatility Surface*

Global Derivatives, Barcelona (May 2003).

• *Rational Shapes of the Volatility Surface*

Quant Congress USA, Boston (June 2000).

• *Volatility and Hedging Errors*

Columbia University (September 1999).

#### Some New York financial mathematics seminars:

• Bloomberg Quant Seminar, Bloomberg offices, 713 Lexington Avenue, NY 10022.

• Cornell Financial Engineering Seminar, 55 Broad Street, NY 10004.

`Last updated: May 2016`