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Gatheral, Jim


 SSRN Author Rank: 1,124 by Downloads
 Professor
 

CUNY Baruch College


 Department of Mathematics
 One Bernard Baruch Way
 New York, NY 10010
 United States
 email address

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. Gatheral, Jim's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
15,673
Total
Citations
118
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
No-Dynamic-Arbitrage and Market Impact | Show Abstract | Download This Paper |
Quantitative Finance, Vol. 10, No. 7, pp. 749-759, 2010
Number of Pages in PDF File: 28
Gatheral, Jim
CUNY Baruch College
Posted:
31 Oct 08
Last Revised:
24 Aug 10
2,075
(3,611)
33

2.  
Arbitrage-Free SVI Volatility Surfaces | Show Abstract | Download This Paper |
Quantitative Finance, Vol. 14, No. 1, 59-71, 2014.
Number of Pages in PDF File: 27
Gatheral, Jim
CUNY Baruch College
Jacquier, Antoine
Imperial College London
Posted:
03 Apr 12
Last Revised:
15 Jan 14
1,991
(3,867)
7

3.  
Zero-Intelligence Realized Variance Estimation | Show Abstract | Download This Paper |
Finance and Stochastics, Vol. 14, No. 2, pp. 249-283, 2010
Number of Pages in PDF File: 30
Gatheral, Jim
CUNY Baruch College
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
15 Mar 07
Last Revised:
15 Mar 10
1,891
(4,222)
15

4.  
Dynamical Models of Market Impact and Algorithms for Order Execution | Show Abstract | Download This Paper |
HANDBOOK ON SYSTEMIC RISK, Jean-Pierre Fouque, Joseph A. Langsam, eds., pp. 579-599, Cambridge, 2013
Number of Pages in PDF File: 23
Gatheral, Jim
CUNY Baruch College
Schied, Alexander
University of Mannheim
Posted:
05 Apr 12
Last Revised:
04 Sep 13
1,811
(4,587)
6

5.   Incl. Electronic Paper
Gatheral, Jim
CUNY Baruch College
Hsu, Elton P.
Department of Mathematics, Northwestern University
Laurence, Peter M.
University of Rome I - Department of Mathematics
Ouyang, Cheng
Purdue University
Wang, Tai‐Ho
affiliation not provided to SSRN
Posted:
27 Jan 10
Last Revised:
23 Aug 12
1,250
(8,636)
12

6.  
Optimal Trade Execution under Geometric Brownian Motion in the Almgren and Chriss Framework | Show Abstract | Download This Paper |
International Journal of Theoretical and Applied Finance, Vol. 14, No. 3, pp. 353-368, 2011
Number of Pages in PDF File: 14
Gatheral, Jim
CUNY Baruch College
Schied, Alexander
University of Mannheim
Posted:
06 Aug 10
Last Revised:
03 Oct 12
1,205
(9,213)
13

7.   Incl. Electronic Paper
Gatheral, Jim
CUNY Baruch College
Schied, Alexander
University of Mannheim
Slynko, Alla
Technische Universität München (TUM)
Posted:
05 Jan 10
Last Revised:
08 Jun 12
1,095
(10,734)
15

8.  
Gatheral, Jim
CUNY Baruch College
Jaisson, Thibault
Ecole Polytechnique, Paris
Rosenbaum, Mathieu
Université Paris VI Pierre et Marie Curie
Posted:
15 Oct 14
945
(13,455)
 

9.  
Convergence of Heston to SVI | Show Abstract | Download This Paper |
Quantitative Finance, Vol. 11, No. 8, pp. 1129-1132, 2011
Number of Pages in PDF File: 5
Gatheral, Jim
CUNY Baruch College
Jacquier, Antoine
Imperial College London
Posted:
19 Feb 10
Last Revised:
31 Jul 11
902
(14,443)
9

10.  
The Heat-Kernel Most-Likely-Path Approximation | Show Abstract | Download This Paper |
International Journal of Theoretical and Applied Finance, Vol. 15, No. 1, 1250001, 2012
Number of Pages in PDF File: 19
Gatheral, Jim
CUNY Baruch College
Wang, Tai-Ho
Baruch College, CUNY
Posted:
23 Aug 10
Last Revised:
22 Jun 14
813
(16,984)
1

11.  
Exponential Resilience and Decay of Market Impact | Show Abstract | Download This Paper |
ECONOPHYSICS OF ORDER-DRIVEN MARKET, F. Abergel, B.K. Chakrabarti, A. Chakraborti, M. Mitra, eds., pp. 225-236, Springer, 2011
Number of Pages in PDF File: 12
Gatheral, Jim
CUNY Baruch College
Schied, Alexander
University of Mannheim
Slynko, Alla
Technische Universität München (TUM)
Posted:
01 Aug 10
Last Revised:
13 Feb 11
580
(27,411)
6

12.  
Bayer, Christian
Weierstras Institute for Applied Analysis and Stochastics (WIAS)
Friz, Peter K.
Technische Universität Berlin (TU Berlin)
Gatheral, Jim
CUNY Baruch College
Posted:
25 Jan 15
545
(29,859)
 

13.  
Fast Ninomiya-Victoir Calibration of the Double-Mean-Reverting Model | Show Abstract | Download This Paper |
Quantitative Finance, Vol. 13, No. 11, pp.1813-1829, 2013
Number of Pages in PDF File: 38
Bayer, Christian
Weierstras Institute for Applied Analysis and Stochastics (WIAS)
Gatheral, Jim
CUNY Baruch College
Karlsmark, Morten
University of Copenhagen - Department of Mathematical Sciences
Posted:
02 Feb 13
Last Revised:
13 Jan 14
251
(75,746)
1

14.  
Wang, Tai-Ho
Baruch College, CUNY
Gatheral, Jim
CUNY Baruch College
Posted:
23 Jun 14
Last Revised:
19 Jul 14
245
(77,765)
 

15.  
Curato, Gianbiagio
Scuola Normale Superiore
Gatheral, Jim
CUNY Baruch College
Lillo, Fabrizio
Scuola Normale Superiore
Posted:
17 Dec 14
74
(206,040)
 


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