Jim Gatheral

CUNY Baruch College

Professor

Department of Mathematics

One Bernard Baruch Way

New York, NY 10010

United States

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 920

SSRN RANKINGS

Top 920

in Total Papers Downloads

21,200

CITATIONS
Rank 4,863

SSRN RANKINGS

Top 4,863

in Total Papers Citations

107

Scholarly Papers (16)

1.

Arbitrage-Free SVI Volatility Surfaces

Quantitative Finance, Vol. 14, No. 1, 59-71, 2014.
Number of pages: 27 Posted: 03 Apr 2012 Last Revised: 15 Jan 2014
Jim Gatheral and Antoine Jacquier
CUNY Baruch College and Imperial College London
Downloads 2,313 (2,597)
Citation 7

Abstract:

implied volatility, volatility surface, arbitrage-free parameterization, SVI, calibration

2.

No-Dynamic-Arbitrage and Market Impact

Quantitative Finance, Vol. 10, No. 7, pp. 749-759, 2010
Number of pages: 28 Posted: 31 Oct 2008 Last Revised: 19 Oct 2015
Jim Gatheral
CUNY Baruch College
Downloads 2,125 (4,073)
Citation 27

Abstract:

Market impact, dynamic-no-arbitrage

3.

Dynamical Models of Market Impact and Algorithms for Order Execution

HANDBOOK ON SYSTEMIC RISK, Jean-Pierre Fouque, Joseph A. Langsam, eds., pp. 579-599, Cambridge, 2013
Number of pages: 23 Posted: 05 Apr 2012 Last Revised: 04 Sep 2013
Jim Gatheral and Alexander Schied
CUNY Baruch College and University of Mannheim
Downloads 2,013 (3,591)
Citation 4

Abstract:

Market impact model, optimal order execution, algorithmic trading, price manipulation, transaction-triggered price manipulation

4.

Zero-Intelligence Realized Variance Estimation

Finance and Stochastics, Vol. 14, No. 2, pp. 249-283, 2010
Number of pages: 30 Posted: 15 Mar 2007 Last Revised: 15 Mar 2010
Jim Gatheral and Roel C. A. Oomen
CUNY Baruch College and Deutsche Bank AG (London)
Downloads 1,952 (4,804)
Citation 15

Abstract:

5.

Volatility is Rough

Number of pages: 41 Posted: 15 Oct 2014
CUNY Baruch College, Ecole Polytechnique, Paris and Université Paris VI Pierre et Marie Curie - Laboratoire de Probabilités et Modèles Aléatoires (LPMA)
Downloads 1,498 (7,844)

Abstract:

High frequency data, volatility smoothness, fractional Brownian motion, fractional Ornstein-Uhlenbeck, long memory, volatility persistence, volatility forecasting, option pricing, volatility surface, Hawkes processes, high frequency trading, order splitting.

Asymptotics of Implied Volatility in Local Volatility Models

Mathematical Finance, Forthcoming
Number of pages: 39 Posted: 27 Jan 2010 Last Revised: 30 Jul 2010
CUNY Baruch College, Northwestern University - Department of Mathmatics, University of Rome I - Department of Mathematics, Purdue University and Baruch College, CUNY
Downloads 1,376 (9,468)
Citation 12

Abstract:

Implied volatility, local volatility, asymptotic expansion, heat kernels

Asymptotics of Implied Volatility in Local Volatility Models

Mathematical Finance, Vol. 22, Issue 4, pp. 591-620, 2012
Number of pages: 30 Posted: 23 Aug 2012
CUNY Baruch College, Northwestern University - Department of Mathmatics, University of Rome I - Department of Mathematics, Purdue University and affiliation not provided to SSRN
Downloads 0
Citation 12

Abstract:

implied volatility, local volatility, asymptotic expansion, heat kernels

7.

Optimal Trade Execution under Geometric Brownian Motion in the Almgren and Chriss Framework

International Journal of Theoretical and Applied Finance, Vol. 14, No. 3, pp. 353-368, 2011
Number of pages: 14 Posted: 06 Aug 2010 Last Revised: 03 Oct 2012
Jim Gatheral and Alexander Schied
CUNY Baruch College and University of Mannheim
Downloads 1,316 (7,883)
Citation 12

Abstract:

HJB, optimal execution, risk measures, market impact

Transient Linear Price Impact and Fredholm Integral Equations

Mathematical Finance, Forthcoming
Number of pages: 30 Posted: 05 Jan 2010 Last Revised: 03 May 2011
Jim Gatheral, Alexander Schied and Alla Slynko
CUNY Baruch College, University of Mannheim and Technische Universität München (TUM)
Downloads 1,241 (11,199)
Citation 14

Abstract:

Transient price impact, market impact model, optimal order execution, price manipulation, transaction-triggered price manipulation, Fredholm integral equation

Transient Linear Price Impact and Fredholm Integral Equations

Mathematical Finance, Vol. 22, Issue 3, pp. 445-474, 2012
Number of pages: 30 Posted: 08 Jun 2012
Jim Gatheral, Alexander Schied and Alla Slynko
CUNY Baruch College, University of Mannheim and Technische Universität München (TUM)
Downloads 1 (544,347)
Citation 14

Abstract:

transient price impact, market impact model, optimal order execution, price manipulation, transaction‐triggered price manipulation, Fredholm integral equation

9.

Pricing Under Rough Volatility

Quantitative Finance, Vol. 16, No. 6, 887-904, 2016.
Number of pages: 42 Posted: 25 Jan 2015 Last Revised: 13 Jun 2016
Christian Bayer, Peter K. Friz and Jim Gatheral
Weierstras Institute for Applied Analysis and Stochastics (WIAS), Technische Universität Berlin (TU Berlin) and CUNY Baruch College
Downloads 970 (6,703)

Abstract:

Fractional Brownian motion, volatility forecasting, option pricing, volatility surface, VIX, VVIX, variance swap curve, Flash Crash, Lehman Brothers collapse, Bergomi-Guyon expansion

10.

Convergence of Heston to SVI

Quantitative Finance, Vol. 11, No. 8, pp. 1129-1132, 2011
Number of pages: 5 Posted: 19 Feb 2010 Last Revised: 31 Jul 2011
Jim Gatheral and Antoine Jacquier
CUNY Baruch College and Imperial College London
Downloads 913 (17,274)
Citation 8

Abstract:

SVI, Heston, Implied Volatility, Asymptotics, Calibration

11.

The Heat-Kernel Most-Likely-Path Approximation

International Journal of Theoretical and Applied Finance, Vol. 15, No. 1, 1250001, 2012
Number of pages: 19 Posted: 23 Aug 2010 Last Revised: 22 Jun 2014
Jim Gatheral and Tai-Ho Wang
CUNY Baruch College and Baruch College, CUNY
Downloads 852 (17,541)
Citation 1

Abstract:

implied volatility, local volatility, approximation, heat-kernel expansion

12.

Exponential Resilience and Decay of Market Impact

ECONOPHYSICS OF ORDER-DRIVEN MARKET, F. Abergel, B.K. Chakrabarti, A. Chakraborti, M. Mitra, eds., pp. 225-236, Springer, 2011
Number of pages: 12 Posted: 01 Aug 2010 Last Revised: 13 Feb 2011
Jim Gatheral, Alexander Schied and Alla Slynko
CUNY Baruch College, University of Mannheim and Technische Universität München (TUM)
Downloads 601 (27,816)
Citation 6

Abstract:

Order books, price manipulation, exponential resilience

13.

Implied Volatility from Local Volatility: A Path Integral Approach

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: 25 Posted: 23 Jun 2014 Last Revised: 10 Jul 2015
Tai-Ho Wang and Jim Gatheral
Baruch College, CUNY and CUNY Baruch College
Downloads 354 (34,076)

Abstract:

Small time asymptotic expansion, heat kernels expansion, implied volatility, local volatility model, most likely path, path integral

14.

Fast Ninomiya-Victoir Calibration of the Double-Mean-Reverting Model

Quantitative Finance, Vol. 13, No. 11, pp.1813-1829, 2013
Number of pages: 38 Posted: 02 Feb 2013 Last Revised: 13 Jan 2014
Christian Bayer, Jim Gatheral and Morten Karlsmark
Weierstras Institute for Applied Analysis and Stochastics (WIAS), CUNY Baruch College and University of Copenhagen - Department of Mathematical Sciences
Downloads 290 (58,880)
Citation 1

Abstract:

Stochastic volatility, double mean reverting, Cubature, second order Monte Carlo schemes

15.

Optimal Execution with Nonlinear Transient Market Impact

Quantitative Finance, Forthcoming
Number of pages: 29 Posted: 17 Dec 2014 Last Revised: 25 Apr 2016
Gianbiagio Curato, Jim Gatheral and Fabrizio Lillo
Scuola Normale Superiore, CUNY Baruch College and Scuola Normale Superiore
Downloads 125 (74,933)

Abstract:

Transient price impact, market impact model, optimal order execution, transaction‐triggered price manipulation, homotopy analysis, SQP algorithm, GSS algorithm

16.

Discrete Homotopy Analysis for Optimal Trading Execution with Nonlinear Transient Market Impact

Communications in Nonlinear Science and Numerical Simulation, 39:332-342, 2016.
Number of pages: 21 Posted: 19 Mar 2016 Last Revised: 25 Apr 2016
Gianbiagio Curato, Jim Gatheral and Fabrizio Lillo
Scuola Normale Superiore, CUNY Baruch College and Scuola Normale Superiore
Downloads 0 (185,908)

Abstract:

Optimal execution, Market impact, Homotopy analysis method, Nonlinear integral equations