Jim Gatheral

CUNY Baruch College

Professor

Department of Mathematics

One Bernard Baruch Way

New York, NY 10010

United States

SCHOLARLY PAPERS

30

DOWNLOADS
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Top 914

in Total Papers Downloads

48,832

SSRN CITATIONS
Rank 3,230

SSRN RANKINGS

Top 3,230

in Total Papers Citations

307

CROSSREF CITATIONS

249

Scholarly Papers (30)

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 (Jack) Jacquier
CUNY Baruch College and Imperial College London
Downloads 5,795 (2,667)
Citation 34

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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 5,676 (2,769)
Citation 35

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Market impact, dynamic-no-arbitrage

3.

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 5,533 (2,885)
Citation 66

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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

4.

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 Waterloo
Downloads 4,476 (4,195)
Citation 20

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

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 3,103 (7,642)
Citation 5

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6.

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, Pictet Asset Management and Ecole Polytechnique, Palaiseau
Downloads 2,844 (8,740)
Citation 66

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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.

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 Waterloo
Downloads 2,723 (9,373)
Citation 14

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HJB, optimal execution, risk measures, market impact

8.

Roughening Heston

Risk, pp. 84-89, May 2019.
Number of pages: 12 Posted: 14 Feb 2018 Last Revised: 12 Jun 2019
Omar El Euch, Jim Gatheral and Mathieu Rosenbaum
Ecole Polytechnique, Paris, CUNY Baruch College and Ecole Polytechnique, Palaiseau
Downloads 2,544 (10,455)
Citation 6

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9.

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 Waterloo and Technische Universität München (TUM)
Downloads 2,130 (13,935)
Citation 10

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

10.

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, Sapienza University of Rome - Department of Mathematics, Purdue University and Baruch College, CUNY
Downloads 1,670 (20,306)
Citation 1

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Implied volatility, local volatility, asymptotic expansion, heat kernels

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 1,289 (30,010)
Citation 2

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

12.

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 (Jack) Jacquier
CUNY Baruch College and Imperial College London
Downloads 1,157 (35,035)
Citation 7

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SVI, Heston, Implied Volatility, Asymptotics, Calibration

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 1,136 (35,931)
Citation 2

Abstract:

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

14.

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 Waterloo and Technische Universität München (TUM)
Downloads 1,095 (37,907)

Abstract:

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Order books, price manipulation, exponential resilience

15.

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 CollegeBaruch College, City University of New York, CUNY Baruch College and Baruch College, City University of New York
Downloads 1,010 (42,611)
Citation 2

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Implied Volatility, Polya Approximation, Bisection Method

16.

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 956 (45,965)
Citation 2

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

17.

Efficient Simulation of Affine Forward Variance Models

Risk, February 2022
Number of pages: 22 Posted: 08 Jul 2021 Last Revised: 27 Jan 2022
Jim Gatheral
CUNY Baruch College
Downloads 918 (48,618)
Citation 2

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Affine forward variance models, Rough Heston, simulation, Hybrid scheme, Quadratic-exponential scheme, Volatility smile

18.

Rational Approximation of the Rough Heston Solution

International Journal of Theoretical and Applied Finance, Vol. 22, No. 3, 1950010, 2019
Number of pages: 18 Posted: 20 Jun 2018 Last Revised: 12 Jun 2019
Jim Gatheral and Rados Radoicic
CUNY Baruch College and CUNY Baruch College
Downloads 830 (55,810)
Citation 7

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

19.

Exponentiation of Conditional Expectations Under Stochastic Volatility

Quantitative Finance, Vol. 20, No. 1, 13-27, 2020.
Number of pages: 28 Posted: 08 Jun 2017 Last Revised: 09 Jan 2020
Elisa Alos, Jim Gatheral and Rados Radoicic
University of Pompeu Fabra - Department of Economics, CUNY Baruch College and CUNY Baruch College
Downloads 778 (60,975)
Citation 2

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Stochastic volatility, Conditional expectations, Exponentiation, Rough volatility

20.

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 601 (84,741)
Citation 4

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

21.

NN de-Americanization: A Fast and Efficient Calibration Method for American-Style Options

Number of pages: 32 Posted: 14 Nov 2023
Peter Pommergård Lind and Jim Gatheral
Aalborg University and CUNY Baruch College
Downloads 489 (109,504)

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Option theory, American-style options, fast calibration, deep learning, local volatility model

22.

Affine Forward Variance Models

Finance and Stochastics, Vol. 23, No. 3, 501-533, 2019
Number of pages: 30 Posted: 28 Jan 2018 Last Revised: 09 Jan 2020
Jim Gatheral and Martin Keller-Ressel
CUNY Baruch College and Dresden University of Technology - Department of Mathematics
Downloads 433 (126,470)
Citation 6

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

23.

The Quadratic Rough Heston Model and the Joint S&P 500/VIX Smile Calibration Problem

Number of pages: 11 Posted: 31 Jan 2020
CUNY Baruch College, Ecole Polytechnique, Paris - Centre De Mathématiques Appliquées (CMAP), StudentsEcole Polytechnique, Palaiseau and Ecole Polytechnique, Palaiseau
Downloads 393 (141,369)

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SPX smiles, VIX smiles, rough Heston model, Zumbach effect, quadratic rough Heston model, Guyon's conjecture

24.

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 301 (188,617)

Abstract:

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

25.

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

SIAM Journal on Financial Mathematics, Vol. 10, No. 2, 491-511, 2019
Number of pages: 20 Posted: 05 Feb 2018 Last Revised: 12 Jun 2019
Ecole Polytechnique, Paris, Osaka University, CUNY Baruch College and Ecole Polytechnique, Palaiseau
Downloads 272 (209,384)
Citation 9

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26.

A Rough SABR Formula

Frontiers of Mathematical Finance, 2021
Number of pages: 18 Posted: 12 May 2021 Last Revised: 30 Jun 2021
Masaaki Fukasawa and Jim Gatheral
Osaka University and CUNY Baruch College
Downloads 214 (264,331)
Citation 3

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SABR, rough volatility, volatility surface

27.

Diamonds and Forward Variance Models

Number of pages: 20 Posted: 17 May 2022
Peter Friz and Jim Gatheral
Technische Universität Berlin (TU Berlin) and CUNY Baruch College
Downloads 164 (335,100)

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Diamond product, forests, rough volatility, forward variance models

28.

The Zumbach Effect Under Rough Heston

Quantitative Finance, Vol. 20, No. 2, 235-241, 2020.
Number of pages: 14 Posted: 24 Sep 2018 Last Revised: 09 Jan 2020
Ecole Polytechnique, Paris, CUNY Baruch College, CUNY Baruch College and Ecole Polytechnique, Palaiseau
Downloads 156 (349,641)
Citation 4

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Zumbach Effect, Rough Heston Model

29.

Forests, Cumulants, Martingales

Annals of Probability 2022, Vol. 50, No. 4, 1418-1445.
Number of pages: 34 Posted: 30 Jun 2020 Last Revised: 12 May 2022
Peter Friz, Jim Gatheral and Rados Radoicic
Technische Universität Berlin (TU Berlin), CUNY Baruch College and CUNY Baruch College
Downloads 117 (437,653)

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forests, trees, continuous martingales, diamond product, cumulants, mo- ments, Hermite polynomials, regular perturbation, KPZ type (Wild) expansion, trees, Le ́vy area, Wiener chaos, Heston and forward variance models;

30.

A Generalization of the Rational Rough Heston Approximation

Quantitative Finance, online, 2024.
Number of pages: 10 Posted: 09 Nov 2023 Last Revised: 16 Feb 2024
Jim Gatheral and Rados Radoicic
CUNY Baruch College and CUNY Baruch College
Downloads 29 (870,621)

Abstract:

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Rough Heston Model, Padé Approximant, Rational Approximation, Volatility Smile, Mittag-Leffler