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Presidential Professor Baruch 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 Omar El Euch and Mathieu Rosenbaum) Roughening Heston.
• (with Omar El Euch, Masaaki Fukasawa and Mathieu Rosenbaum) Short-Term At-the-Money Asymptotics Under Stochastic Volatility Models.
• (with Martin Keller-Ressel) Affine Forward Variance Models.
• (with Elisa Alòs and Radoš Radoičić) Exponentiation of Conditional Expectations Under Stochastic Volatility.
• (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.
• (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:
• 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 (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: February 2018