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Jim Gatheral

SSRN Author Rank: 929 by Downloads and 4,798 by Citations

 Professor
 

CUNY Baruch College


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

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. Jim Gatheral's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
20,555
Total
Citations
108
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Arbitrage-Free SVI Volatility Surfaces | Show Abstract | Download This Paper | Open PDF in Browser |
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
2,313
(2,614)
7

2.  
No-Dynamic-Arbitrage and Market Impact | Show Abstract | Download This Paper | Open PDF in Browser |
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:
19 Oct 15
2,125
(4,013)
28

3.  
Dynamical Models of Market Impact and Algorithms for Order Execution | Show Abstract | Download This Paper | Open PDF in Browser |
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
2,013
(3,615)
4

4.  
Zero-Intelligence Realized Variance Estimation | Show Abstract | Download This Paper | Open PDF in Browser |
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 (London)
Posted:
15 Mar 07
Last Revised:
15 Mar 10
1,952
(4,651)
15

5.  
Gatheral, Jim
CUNY Baruch College
Jaisson, Thibault
Ecole Polytechnique, Paris
Rosenbaum, Mathieu
Université Paris VI Pierre et Marie Curie - Laboratoire de Probabilités et Modèles Aléatoires (LPMA)
Posted:
15 Oct 14
1,498
(7,559)
 

6.   Incl. Electronic Paper
Gatheral, Jim
CUNY Baruch College
Hsu, Elton P.
Northwestern University - Department of Mathmatics
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:
23 Aug 12
1,352
(9,525)
12

7.  
Optimal Trade Execution under Geometric Brownian Motion in the Almgren and Chriss Framework | Show Abstract | Download This Paper | Open PDF in Browser |
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
1,316
(7,930)
12

8.   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
1,219
(11,284)
14

9.  
Pricing Under Rough Volatility | Show Abstract | Download This Paper | Open PDF in Browser |
Quantitative Finance, Vol. 16, No. 6, 887-904, 2016.
Number of Pages in PDF File: 42
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
Last Revised:
13 Jun 16
970
(7,546)
 

10.  
Convergence of Heston to SVI | Show Abstract | Download This Paper | Open PDF in Browser |
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
913
(16,746)
8

11.  
The Heat-Kernel Most-Likely-Path Approximation | Show Abstract | Download This Paper | Open PDF in Browser |
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
852
(17,296)
1

12.  
Exponential Resilience and Decay of Market Impact | Show Abstract | Download This Paper | Open PDF in Browser |
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
601
(27,210)
6

13.  
Implied Volatility from Local Volatility: A Path Integral Approach | Show Abstract | Download This Paper | Open PDF in Browser |
Large Deviations and Asymptotic Methods in Finance, Peter K. Friz, Jim Gatheral, Archil Gulisashvili, Antoine Jacquier, Josef Teichmann eds., pp. 247-271, Springer, 2015
Number of Pages in PDF File: 25
Wang, Tai-Ho
Baruch College, CUNY
Gatheral, Jim
CUNY Baruch College
Posted:
23 Jun 14
Last Revised:
10 Jul 15
354
(36,343)
 

14.  
Fast Ninomiya-Victoir Calibration of the Double-Mean-Reverting Model | Show Abstract | Download This Paper | Open PDF in Browser |
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
290
(58,211)
1

15.  
Curato, Gianbiagio
Scuola Normale Superiore
Gatheral, Jim
CUNY Baruch College
Lillo, Fabrizio
Scuola Normale Superiore
Posted:
17 Dec 14
Last Revised:
25 Apr 16
125
(82,806)
 

16.  
Discrete Homotopy Analysis for Optimal Trading Execution with Nonlinear Transient Market Impact | Show Abstract | Download This Paper | Open PDF in Browser |
Communications in Nonlinear Science and Numerical Simulation, 39:332-342, 2016.
Number of Pages in PDF File: 21
Curato, Gianbiagio
Scuola Normale Superiore
Gatheral, Jim
CUNY Baruch College
Lillo, Fabrizio
Scuola Normale Superiore
Posted:
19 Mar 16
Last Revised:
25 Apr 16
0
(229,791)
 


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