The following pages link to Jim Gatheral (Q1999592):
Displaying 27 items.
- Affine forward variance models (Q1999593) (← links)
- Forests, cumulants, martingales (Q2139104) (← links)
- A rough SABR formula (Q2170291) (← links)
- Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact (Q2200233) (← links)
- Zero-intelligence realized variance estimation. (Q2430259) (← links)
- No-dynamic-arbitrage and market impact (Q2786278) (← links)
- Fast Ninomiya–Victoir calibration of the double-mean-reverting model (Q2871434) (← links)
- Arbitrage-free SVI volatility surfaces (Q2879012) (← links)
- OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (Q3006607) (← links)
- Valuation of volatility derivatives as an inverse problem (Q3375397) (← links)
- Volatility is rough (Q4554473) (← links)
- Optimal execution with non-linear transient market impact (Q4555057) (← links)
- Implied Volatility from Local Volatility: A Path Integral Approach (Q4560334) (← links)
- TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS (Q4906522) (← links)
- ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS (Q4919611) (← links)
- Short-Term At-the-Money Asymptotics under Stochastic Volatility Models (Q4968922) (← links)
- Pricing under rough volatility (Q5001177) (← links)
- In memoriam Marco Avellaneda (Q5041661) (← links)
- In memoriam Peter Carr (Q5072900) (← links)
- In Memoriam Mardi Dungey (Q5079353) (← links)
- The Zumbach effect under rough Heston (Q5121491) (← links)
- Exponentiation of conditional expectations under stochastic volatility (Q5215433) (← links)
- Convergence of Heston to SVI (Q5300439) (← links)
- TIGHTER BOUNDS FOR IMPLIED VOLATILITY (Q5357514) (← links)
- RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION (Q5377001) (← links)
- THE HEAT-KERNEL MOST-LIKELY-PATH APPROXIMATION (Q5389097) (← links)
- Marco Avellaneda: Mathematician and trader (Q6054442) (← links)
