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Jim Gatheral
Jim Gatheral
Professor of Mathematics, Baruch College, CUNY
Bestätigte E-Mail-Adresse bei baruch.cuny.edu - Startseite
Titel
Zitiert von
Zitiert von
Jahr
The volatility surface: a practitioner's guide
J Gatheral
John Wiley & Sons, 2006
1701*2006
Volatility is rough
J Gatheral, T Jaisson, M Rosenbaum
Quantitative finance 18 (6), 933-949, 2018
9862018
Pricing under rough volatility
C Bayer, P Friz, J Gatheral
Quantitative Finance 16 (6), 887-904, 2016
6042016
No-dynamic-arbitrage and market impact
J Gatheral
Quantitative finance 10 (7), 749-759, 2010
4722010
Exponentiation of eikonal cross sections in nonabelian gauge theories
JGM Gatheral
Physics Letters B 133 (1-2), 90-94, 1983
4301983
Arbitrage-free SVI volatility surfaces
J Gatheral, A Jacquier
Quantitative Finance 14 (1), 59-71, 2014
3152014
Optimal trade execution under geometric Brownian motion in the Almgren and Chriss framework
J Gatheral, A Schied
International Journal of Theoretical and Applied Finance 14 (03), 353-368, 2011
2462011
Transient linear price impact and Fredholm integral equations
J Gatheral, A Schied, A Slynko
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2012
2172012
A parsimonious arbitrage-free implied volatility parameterization with application to the valuation of volatility derivatives
J Gatheral
Presentation at Global Derivatives & Risk Management, Madrid, 0, 2004
2092004
Asymptotics of implied volatility in local volatility models
J Gatheral, EP Hsu, P Laurence, C Ouyang, TH Wang
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2012
1962012
Dynamical models of market impact and algorithms for order execution
J Gatheral, A Schied
Handbook on Systemic Risk, Jean-Pierre Fouque, Joseph A. Langsam, eds, 579-599, 2013
1742013
Consistent modeling of SPX and VIX options
J Gatheral
Bachelier congress 37, 39-51, 2008
1412008
Zero-intelligence realized variance estimation
J Gatheral, RCA Oomen
Finance and Stochastics 14 (2), 249-283, 2010
1352010
Convergence of Heston to SVI
J Gatheral, A Jacquier
Quantitative Finance 11 (8), 1129-1132, 2011
1082011
Affine forward variance models
J Gatheral, M Keller-Ressel
Finance and Stochastics 23, 501-533, 2019
902019
Roughening heston
O El Euch, J Gatheral, M Rosenbaum
Risk, 84-89, 2019
872019
Valuation of volatility derivatives as an inverse problem
P Friz, J Gatheral
Quantitative Finance 5 (6), 531-542, 2005
842005
The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem
J Gatheral, P Jusselin, M Rosenbaum
arXiv preprint arXiv:2001.01789, 2020
812020
Optimal execution with non-linear transient market impact
G Curato, J Gatheral, F Lillo
Quantitative Finance 17 (1), 41-54, 2017
682017
Rational approximation of the rough Heston solution
J Gatheral, R Radoičić
International Journal of Theoretical and Applied Finance 22 (03), 1950010, 2019
572019
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