Jim Gatheral

CUNY Baruch College

Professor

Department of Mathematics

One Bernard Baruch Way

New York, NY 10010

United States

SCHOLARLY PAPERS

23

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26,761

CITATIONS
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Top 4,872

in Total Papers Citations

107

Scholarly Papers (23)

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 3,377 (2,681)
Citation 7

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

2.

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 2,896 (3,508)
Citation 5

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

3.

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 2,799 (3,704)
Citation 28

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Market impact, dynamic-no-arbitrage

4.

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 Friz and Jim Gatheral
Weierstras Institute for Applied Analysis and Stochastics (WIAS), Technische Universität Berlin (TU Berlin) and CUNY Baruch College
Downloads 2,609 (4,186)

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

5.

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 2,267 (5,303)
Citation 15

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6.

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 1,830 (7,644)
Citation 12

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HJB, optimal execution, risk measures, market impact

7.

Volatility Is Rough

Quantitative Finance, Vol. 18, No. 6, 933-949, 2018.
Number of pages: 50 Posted: 15 Oct 2014 Last Revised: 25 May 2018
CUNY Baruch College, Ecole Polytechnique, Paris and Ecole Polytechnique, Palaiseau
Downloads 1,686 (8,741)

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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 1,488 (10,502)
Citation 11

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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 11
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implied volatility, local volatility, asymptotic expansion, heat kernels

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 1,439 (11,074)
Citation 13

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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 (632,845)
Citation 13
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transient price impact, market impact model, optimal order execution, price manipulation, transaction‐triggered price manipulation, Fredholm integral equation

10.

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 1,037 (18,760)
Citation 1

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

11.

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 1,005 (19,685)
Citation 8

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SVI, Heston, Implied Volatility, Asymptotics, Calibration

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 756 (29,602)
Citation 6

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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 752 (29,853)

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

14.

Tighter Bounds for Implied Volatility

International Journal of Theoretical and Applied Finance, Vol. 20, No. 5, 1750035, 2017
Number of pages: 16 Posted: 24 Feb 2017 Last Revised: 23 Aug 2017
CUNY Baruch College, CUNY Baruch College, Baruch College, City University of New York and Baruch College, City University of New York
Downloads 560 (44,296)

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Implied Volatility, Polya Approximation, Bisection Method

15.

Optimal Execution with Nonlinear Transient Market Impact

Quantitative Finance, Vol. 17, No. 1, 41-54, 2017
Number of pages: 29 Posted: 17 Dec 2014 Last Revised: 25 Feb 2017
Gianbiagio Curato, Jim Gatheral and Fabrizio Lillo
Scuola Normale Superiore, CUNY Baruch College and Università di Bologna
Downloads 534 (47,068)

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

16.

Roughening Heston

Number of pages: 11 Posted: 14 Feb 2018 Last Revised: 21 Feb 2018
Omar El Euch, Jim Gatheral and Mathieu Rosenbaum
Ecole Polytechnique, Paris, CUNY Baruch College and Ecole Polytechnique, Palaiseau
Downloads 501 (51,036)

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17.

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 439 (60,129)
Citation 1

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

18.

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 Università di Bologna
Downloads 200 (141,191)

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

19.

Affine Forward Variance Models

Number of pages: 30 Posted: 28 Jan 2018
Jim Gatheral and Martin Keller-Ressel
CUNY Baruch College and Dresden University of Technology - Department of Mathematics
Downloads 132 (201,901)

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Rough Volatility, Affine Process, Stochastic Volatility, Hawkes Process, Forward Variance

20.

Rational Approximation of the Rough Heston Solution

Number of pages: 19 Posted: 20 Jun 2018
Jim Gatheral and Rados Radoicic
CUNY Baruch College and Baruch College, City University of New York
Downloads 108 (234,677)

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Rough Heston Model, Padé Approximant, Rational Approximation, Volatility Smile, Leverage Swap

21.

Short-Term at-the-Money Asymptotics Under Stochastic Volatility Models

Number of pages: 20 Posted: 05 Feb 2018
Ecole Polytechnique, Paris, Osaka University, CUNY Baruch College and Ecole Polytechnique, Palaiseau
Downloads 79 (287,120)

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22.

The Zumbach Effect Under Rough Heston

Number of pages: 14 Posted: 24 Sep 2018
Ecole Polytechnique, Paris, CUNY Baruch College, Baruch College, City University of New York and Ecole Polytechnique, Palaiseau
Downloads 9 (549,187)

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Zumbach Effect, Rough Heston Model

23.

Exponentiation of Conditional Expectations Under Stochastic Volatility

Number of pages: 28 Posted: 08 Jun 2017
Elisa Alos, Jim Gatheral and Rados Radoicic
University of Pompeu Fabra - Department of Economics, CUNY Baruch College and Baruch College, City University of New York
Downloads 257

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Stochastic volatility, Conditional expectations, Exponentiation, Rough volatility