Concepedia

Jim Gatheral

JG

24

Publications

1.4K

Citations

18

H-Index

2003

Active since

Affiliations

Baruch College(Current)

École Polytechnique

Weierstrass Institute for Applied Analysis and Stochastics

Technische Universität Berlin

New York University

Jim Gatheral is an author at Baruch College specializing in engineering, business, and asset pricing.

Top concepts

EngineeringBusinessAsset PricingOption PricingVolatility ModelingFinanceStatisticsNumerical AnalysisUncertainty QuantificationEconomics

Publications per year

2003–2020

24

Publications

24

Pricing under rough volatility

Christian Bayer, Peter K. Friz, Jim Gatheral · Quantitative Finance · 2015 · 418 citations

Option Pricing, Volatility Modeling, Multivariate Stochastic Volatility +14

TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS

Jim Gatheral, Alexander Schied, Alla Slynko · Mathematical Finance · 2011 · 188 citations

Dynamic Economic Model, Economics, Optimal Strategies +11

ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS

Jim Gatheral, Elton P. Hsu, Peter Laurence et al. · Mathematical Finance · 2010 · 170 citations

Option Prices Approximations, Volatility Modeling, Option Pricing +7

Consistent Modeling of SPX and VIX options

Jim Gatheral · 2008 · 83 citations

Engineering, Heterogeneous Modeling, Uncertainty Quantification +6

Valuation of volatility derivatives as an inverse problem

Peter K. Friz, Jim Gatheral · Quantitative Finance · 2005 · 59 citations

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