Concepedia

Jim Gatheral

JG

Statistics

Publications

24

Citations

1.4K

H-Index

18

Active since

2003

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 business, financial economics, and finance.

Publications per year

2003–2020

24

Publications

24

Pricing under rough volatility

Christian Bayer, Peter K. Friz, Jim Gatheral · Quantitative Finance · 2015 · 440 citations

Business, Economics, Finance +17

TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS

Jim Gatheral, Alexander Schied, Alla Slynko · Mathematical Finance · 2011 · 191 citations

Business, Economics, Finance +10

ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS

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

Business, Business Economics, Financial Economics +12

Consistent Modeling of SPX and VIX options

Jim Gatheral · 2008 · 83 citations

Business, Operations Management, Decision Analysis +11

Valuation of volatility derivatives as an inverse problem

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

Business, Economics, Mathematics +17

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