Jim Gatheral

Available identifiers

zbMath Open gatheral.jimMaRDI QIDQ1999592

List of research outcomes

Publication	Date of Publication	Type
Marco Avellaneda: Mathematician and trader	2023-09-28	Paper
In memoriam Marco Avellaneda	2022-10-14	Paper
A rough SABR formula	2022-08-30	Paper
In Memoriam Mardi Dungey	2022-05-27	Paper
Forests, cumulants, martingales	2022-05-17	Paper
In memoriam Peter Carr	2022-05-05	Paper
Pricing under rough volatility	2021-07-16	Paper
Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact	2020-09-19	Paper
The Zumbach effect under rough Heston	2020-09-14	Paper
Exponentiation of conditional expectations under stochastic volatility	2020-02-10	Paper
Forests, cumulants, martingales	2020-02-04	Paper
Short-Term At-the-Money Asymptotics under Stochastic Volatility Models	2019-07-10	Paper
Affine forward variance models	2019-06-27	Paper
RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION	2019-05-21	Paper
Implied Volatility from Local Volatility: A Path Integral Approach	2018-12-11	Paper
Optimal execution with non-linear transient market impact	2018-11-19	Paper
Volatility is rough	2018-11-14	Paper
TIGHTER BOUNDS FOR IMPLIED VOLATILITY	2017-09-08	Paper
Arbitrage-free SVI volatility surfaces	2014-09-05	Paper
Fast Ninomiya–Victoir calibration of the double-mean-reverting model	2014-01-23	Paper
Convergence of Heston to SVI	2013-06-27	Paper
ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS	2013-05-14	Paper
TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS	2013-02-28	Paper
THE HEAT-KERNEL MOST-LIKELY-PATH APPROXIMATION	2012-04-24	Paper
OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK	2011-06-20	Paper
Zero-intelligence realized variance estimation.	2011-04-06	Paper
No-dynamic-arbitrage and market impact	2010-09-21	Paper
Valuation of volatility derivatives as an inverse problem	2006-03-08	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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