Presidential Professor
Baruch CollegeCUNY
Phone: 646.312.4134
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.


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

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

Some papers and preprints:

Efficient simulation of affine forward variance models., February (2022).

• (with Masaaki Fukasawa ) A rough SABR formula.

Frontiers of Mathematical Finance, (2022).

• (with Peter Friz and Radoš Radoičić) Forests, cumulants, martingales.

Annals of Probability, (2022).

• (with Paul Jusselin, and Mathieu Rosenbaum) The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem., May (2020).

• (with Omar El Euch, Radoš Radoičić and Mathieu Rosenbaum) The Zumbach effect under rough Heston.

Quantitative Finance 20(2), 235-241 (2020).

• (with Radoš Radoičić) Rational approximation of the rough Heston solution.

International Journal of Theoretical and Applied Finance  22(03), 1950010 (2019).

• (with Omar El Euch and Mathieu Rosenbaum) Roughening Heston., May (2019).

• (with Omar El Euch, Masaaki Fukasawa and Mathieu Rosenbaum) Short-Term At-the-Money Asymptotics Under Stochastic Volatility Models.

SIAM Journal on Financial Mathematics, 10(2), 491-511 (2019).

• (with Martin Keller-Ressel) Affine Forward Variance Models.

Finance and Stochastics, 23(3), 501-533 (2019).

• (with Elisa Alòs and Radoš Radoičić) Exponentiation of Conditional Expectations Under Stochastic Volatility.

Quantitative Finance 20(1), 13-27 (2020).

• (with Ivan Matic, Radoš Radoičić and Dan Stefanica) Tighter Bounds for Implied Volatility.

International Journal of Theoretical and Applied Finance  20(05), 1750035 (2017).

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

Quantitative Finance 17(1), 41-54 (2017).

• (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 16(6), 887-904 (2016).

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

Quantitative Finance 18(6), 933-949 (2018).

• (with Tai-Ho WangImplied 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 JacquierArbitrage-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 WangThe 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 SlynkoExponential resilience and decay of market impact.

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

• (with Alex Schied and Alla SlynkoTransient linear price impact and Fredholm integral equations.

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

• (with Antoine JacquierConvergence of Heston to SVI

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

• (with Elton HsuPeter LaurenceCheng Ouyang and Tai-Ho WangAsymptotics 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 OomenZero-Intelligence Realized Variance Estimation.

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

• (with Peter FrizValuing 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).

• Jump-Diffusion Models

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:


• The Complex Dynamics of Financial Prices 

An invited video presentation in the Jean-Philippe Bouchaud series Interactions, Rétroactions, Crises, Collège de France, Paris, (April 2021).

• Diamond trees and the forest expansion 

Bloomberg Quant Seminar, New York, (January 2021).

• Diamond trees, forests, cumulants, and martingales 

Mathematical Finance Seminar, Columbia University, (April 2020).

• Diamond trees, forests, and the exponentiation theorem 

2019 SIAM Financial Mathematics and Engineering, Toronto, (June 2019).

• Rough volatility: An overview 

Financial Engineering Practitioners Seminar, Columbia University, (January 2018).

• Rough volatility: An overview 

Global Derivatives, Barcelona (May 2017).

• Three models of market impact

Market Microstructure and High-Frequency Data, Chicago (May 2016).

• Random Matrix Theory and Correlation Estimation 

Baruch College Mathematics Society (February 2015).

Companion R-code: RMT.R.

• 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).

• Optimal order execution 

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).

• Optimal Order Execution

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).

• A parsimonious arbitrage-free implied volatility parameterization with application to the valuation of volatility derivatives 

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 Cornell Tech, 2 West Loop Road, NY 10044


Last updated: March 2022