Feedback to SSRN

 
  • Selected
  • Entire List
 

Gatheral, Jim


 SSRN Author Rank: 1,418 by Downloads
 Professor
 

Baruch College, CUNY


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

  SSRN's personal information usage policy
Authors: If anything on this page requires updating or correction, please go to your SSRN User HeadQuarters and make the change.
The RSS feed for this author will notify you of all new papers and revisions as soon as they are added to the SSRN eLibrary.
Popular RSS readers
. Gatheral, Jim's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
12,822
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 |
Quantitative Finance, Vol. 10, No. 7, pp. 749-759, 2010
Accepted Paper Series
Gatheral, Jim
Baruch College, CUNY
Posted:
31 Oct 08
Last Revised:
24 Aug 10
1,994
(3,553)
33

2.  
Zero-Intelligence Realized Variance Estimation | Show Abstract | Download |
Finance and Stochastics, Vol. 14, No. 2, pp. 249-283, 2010
Accepted Paper Series
Gatheral, Jim
Baruch College, CUNY
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
15 Mar 07
Last Revised:
15 Mar 10
1,841
(4,091)
15

3.  
Dynamical Models of Market Impact and Algorithms for Order Execution | Show Abstract | Download |
HANDBOOK ON SYSTEMIC RISK, Jean-Pierre Fouque, Joseph A. Langsam, eds., pp. 579-599, Cambridge, 2013
Accepted Paper Series
Gatheral, Jim
Baruch College, CUNY
Schied, Alexander
University of Mannheim
Posted:
05 Apr 12
Last Revised:
04 Sep 13
1,565
(5,459)
6

4.  
Arbitrage-Free SVI Volatility Surfaces | Show Abstract | Download |
Quantitative Finance, Vol. 14, No. 1, 59-71, 2014.
Accepted Paper Series
Gatheral, Jim
Baruch College, CUNY
Jacquier, Antoine
Imperial College London - Department of Mathematics
Posted:
03 Apr 12
Last Revised:
15 Jan 14
1,515
(5,805)
7

5.   Incl. Electronic Paper
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
1,210
(8,404)
12

6.  
Optimal Trade Execution under Geometric Brownian Motion in the Almgren and Chriss Framework | Show Abstract | Download |
International Journal of Theoretical and Applied Finance, Vol. 14, No. 3, pp. 353-368, 2011
Accepted Paper Series
Gatheral, Jim
Baruch College, CUNY
Schied, Alexander
University of Mannheim
Posted:
06 Aug 10
Last Revised:
03 Oct 12
1,088
(10,029)
13

7.   Incl. Electronic Paper
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
1,055
(10,526)
15

8.  
Convergence of Heston to SVI | Show Abstract | Download |
Quantitative Finance, Vol. 11, No. 8, pp. 1129-1132, 2011
Accepted Paper Series
Gatheral, Jim
Baruch College, CUNY
Jacquier, Antoine
Imperial College London - Department of Mathematics
Posted:
19 Feb 10
Last Revised:
31 Jul 11
872
(14,089)
9

9.  
The Heat-Kernel Most-Likely-Path Approximation | Show Abstract | Download |
International Journal of Theoretical and Applied Finance, Vol. 15, No. 1, 1250001, 2012
Accepted Paper Series
Gatheral, Jim
Baruch College, CUNY
Wang, Tai-Ho
Baruch College, CUNY
Posted:
23 Aug 10
Last Revised:
22 Jun 14
727
(18,445)
1

10.  
Exponential Resilience and Decay of Market Impact | Show Abstract | Download |
ECONOPHYSICS OF ORDER-DRIVEN MARKET, F. Abergel, B.K. Chakrabarti, A. Chakraborti, M. Mitra, eds., pp. 225-236, Springer, 2011
Accepted Paper Series
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
558
(26,757)
6

11.  
Fast Ninomiya-Victoir Calibration of the Double-Mean-Reverting Model | Show Abstract | Download |
Quantitative Finance, Vol. 13, No. 11, pp.1813-1829, 2013
Accepted Paper Series
Bayer, Christian
Weierstras Institute for Applied Analysis and Stochastics (WIAS)
Gatheral, Jim
Baruch College, CUNY
Karlsmark, Morten
University of Copenhagen - Department of Mathematical Sciences
Posted:
02 Feb 13
Last Revised:
13 Jan 14
195
(91,741)
1

12.  
Wang, Tai-Ho
Baruch College, CUNY
Gatheral, Jim
Baruch College, CUNY
Posted:
23 Jun 14
Last Revised:
19 Jul 14
102
(157,677)
 

13.  
Gatheral, Jim
Baruch College, CUNY
Jaisson, Thibault
Ecole Polytechnique, Paris
Rosenbaum, Mathieu
University of Paris 6 Pierre et Marie Curie
Posted:
15 Oct 14
100
(160,990)
 


Records 1 - 13 of 13 matches
[ 1 ]

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo4 in 0.375 seconds