| . |
Gatheral, Jim's
Scholarly Papers
Click on the title of any column to sort the table by that
column. |
|
|
| |
|
|
Aggregate Statistics |
|
Total
Downloads
9,861 |
Total
Citations
91 |
|
|
|
|
|
1.
|
|
|
Gatheral, Jim
Baruch College, CUNY
|
| Posted: |
|
31 Oct 08
|
|
Last Revised:
|
|
24 Aug 10
|
|
1,743
(3,611)
|
26
|
|
| |
|
| |
Market impact, dynamic-no-arbitrage
|
|
|
2.
|
|
|
Gatheral, Jim
Baruch College, CUNY Oomen, Roel C. A.
Deutsche Bank AG
|
| Posted: |
|
15 Mar 07
|
|
Last Revised:
|
|
15 Mar 10
|
|
1,702
(3,777)
|
14
|
|
| |
|
| |
|
|
|
3.
|
|
Asymptotics of Implied Volatility in Local Volatility Models
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Gatheral, Jim
Baruch College, CUNY 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
|
|
1,125
(7,736)
|
9
|
|
|
|
|
Gatheral, Jim
Baruch College, CUNY 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
|
|
0
|
9
|
|
| |
|
| |
implied volatility, local volatility, asymptotic expansion, heat kernels
|
|
|
|
|
|
|
Gatheral, Jim
Baruch College, CUNY 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
Baruch College, CUNY
|
| Posted: |
|
27 Jan 10
|
|
Last Revised:
|
|
30 Jul 10
|
|
1,125
|
9
|
|
| |
|
| |
Implied volatility, local volatility, asymptotic expansion, heat kernels
|
|
|
|
|
|
4.
|
|
Transient Linear Price Impact and Fredholm Integral Equations
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Gatheral, Jim
Baruch College, CUNY Schied, Alexander
University of Mannheim Slynko, Alla
Technische Universität München (TUM)
|
|
Posted:
|
|
05 Jan 10
|
|
Last Revised:
|
|
08 Jun 12
|
|
906
(10,968)
|
12
|
|
|
|
|
Gatheral, Jim
Baruch College, CUNY Schied, Alexander
University of Mannheim Slynko, Alla
Technische Universität München (TUM)
|
|
0
|
12
|
|
| |
|
| |
transient price impact, market impact model, optimal order execution, price manipulation, transaction‐triggered price manipulation, Fredholm integral equation
|
|
|
|
|
|
|
Gatheral, Jim
Baruch College, CUNY Schied, Alexander
University of Mannheim Slynko, Alla
Technische Universität München (TUM)
|
| Posted: |
|
05 Jan 10
|
|
Last Revised:
|
|
03 May 11
|
|
906
|
12
|
|
| |
|
| |
Transient price impact, market impact model, optimal order execution, price manipulation, transaction-triggered price manipulation, Fredholm integral equation
|
|
|
|
|
|
5.
|
|
|
Gatheral, Jim
Baruch College, CUNY Jacquier, Antoine
Imperial College London - Department of Mathematics
|
| Posted: |
|
03 Apr 12
|
|
Last Revised:
|
|
25 Mar 13
|
|
863
(11,833)
|
4
|
|
| |
|
| |
implied volatility, volatility surface, arbitrage-free parameterization, SVI, calibration
|
|
|
6.
|
|
|
Gatheral, Jim
Baruch College, CUNY Schied, Alexander
University of Mannheim
|
| Posted: |
|
05 Apr 12
|
|
Last Revised:
|
|
25 Jan 13
|
|
859
(11,923)
|
3
|
|
| |
|
| |
Market impact model, optimal order execution, algorithmic trading, price manipulation, transaction-triggered price manipulation
|
|
|
7.
|
|
|
Gatheral, Jim
Baruch College, CUNY Jacquier, Antoine
Imperial College London - Department of Mathematics
|
| Posted: |
|
19 Feb 10
|
|
Last Revised:
|
|
31 Jul 11
|
|
785
(13,701)
|
7
|
|
| |
|
| |
SVI, Heston, Implied Volatility, Asymptotics, Calibration
|
|
|
8.
|
|
|
Gatheral, Jim
Baruch College, CUNY Schied, Alexander
University of Mannheim
|
| Posted: |
|
06 Aug 10
|
|
Last Revised:
|
|
03 Oct 12
|
|
763
(14,277)
|
9
|
|
| |
|
| |
HJB, optimal execution, risk measures, market impact
|
|
|
9.
|
|
|
Gatheral, Jim
Baruch College, CUNY Wang, Tai-Ho
Baruch College, CUNY
|
| Posted: |
|
23 Aug 10
|
|
Last Revised:
|
|
03 Apr 12
|
|
605
(19,949)
|
1
|
|
| |
|
| |
implied volatility, local volatility, approximation, heat-kernel expansion
|
|
|
10.
|
|
|
Gatheral, Jim
Baruch College, CUNY Schied, Alexander
University of Mannheim Slynko, Alla
Technische Universität München (TUM)
|
| Posted: |
|
01 Aug 10
|
|
Last Revised:
|
|
13 Feb 11
|
|
455
(29,206)
|
6
|
|
| |
|
| |
Order books, price manipulation, exponential resilience
|
|
|
11.
|
|
|
Bayer, Christian
Weierstras Institute for Applied Analysis and Stochastics (WIAS) Gatheral, Jim
Baruch College, CUNY Karlsmark, Morten
University of Copenhagen - Department of Mathematical Sciences
|
|
55
(193,856)
|
|
|
| |
|
| |
Stochastic volatility, double mean reverting, Cubature, second order Monte Carlo schemes
|
|
Records 1 -
11
of 11 matches
[
1
]
|
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo4 in 0.687 seconds
|
