Baruch College, CUNY
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.
Some papers and preprints:
• Efficient simulation of affine forward variance models. (Working paper, 2021)
Fontiers of Mathematical Finance, (2021).
risk.net, May (2020).
Quantitative Finance 20(2), 235-241 (2020).
International Journal of Theoretical and Applied Finance 22(03), 1950010 (2019).
risk.net, May (2019).
SIAM Journal on Financial Mathematics, 10(2), 491-511 (2019).
Finance and Stochastics, 23(3), 501-533 (2019).
Quantitative Finance 20(1), 13-27 (2020).
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).
Quantitative Finance 16(6), 887-904 (2016).
Quantitative Finance 18(6), 933-949 (2018).
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).
Quantitative Finance 13(11), 1813-1829 (2013).
In Handbook on Systemic Risk (eds.: J.-P. Fouque and J. Langsam), Cambridge University Press (2013).
International Journal of Theoretical and Applied Finance 15(1), 1250001 (2012).
International Journal of Theoretical and Applied Finance 14(3), 353-368 (2011).
Econophysics of Order-driven Markets, Springer 225-236 (2011).
Mathematical Finance 22(3), 445-474, (2012).
Quantitative Finance 11(8), 1129-1132 (2011).
Mathematical Finance 22(4), 591-620 (2012).
Quantitative Finance 10(7), 749-759 (2010).
Finance and Stochastics 14(2), 249-283 (2010).
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).
An invited video presentation in the Jean-Philippe Bouchaud series Interactions, Rétroactions, Crises, Collège de France, Paris, (April 2021).
Bloomberg Quant Seminar, New York, (January 2021).
Mathematical Finance Seminar, Columbia University, (April 2020).
2019 SIAM Financial Mathematics and Engineering, Toronto, (June 2019).
Financial Engineering Practitioners Seminar, Columbia University, (January 2018).
Global Derivatives, Barcelona (May 2017).
Market Microstructure and High-Frequency Data, Chicago (May 2016).
Baruch College Mathematics Society (February 2015).
Companion R-code: RMT.R.
Bloomberg Quant Seminar, New York (June 2014).
Stochastic Processes and their Statistics in Finance, Okinawa (October 2013).
National School of Development, Peking University (October 2013).
Bloomberg Quant Seminar, New York (January 2013).
Center for the Study of Finance and Insurance, Osaka University (December 2012).
Market Microstructure: Confronting many Viewpoints, Paris (December 2012).
JOIM Fall Conference, Boston (October 2011).
5th International Financial and Capital Markets Conference, Campos do Jordão (August 2011).
Global Derivatives, Paris (April 2011).
Market Microstructure: Confronting many Viewpoints, Paris (December 2010).
Petit Dejeuner de la Finance, Paris (April 2010).
RiO 2009, Búzios, Brasil (November 2009).
University of Chicago, Stevanovich Center Conference on Liquidity (November 2008).
NYU Courant Institute Algorithmic Trading Conference (October 2008).
Bachelier Congress, London (July 2008).
Global Derivatives, Paris (May 2008).
Global Derivatives, Paris (May 2007).
TDTF, Amsterdam (June 2006).
Global Derivatives, Paris (May 2005).
Global Derivatives, Madrid (May 2004).
Global Derivatives, Barcelona (May 2003).
Quant Congress USA, Boston (June 2000).
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: July 2021