James Gatheral

Education

Ph.D., Theoretical Physics, Cambridge University England

BSc, Mathematics and Natural Philosophy, University of Glasgow Scotland

Books

Bayer, C., Friz, P. K., Fukasawa, M., Gatheral, J., Jacquier, A., & Rosenbaum, M. (2023). Rough Volatility. Philadelphia, PA, SIAM. In Progress.

Gatheral, J., Friz, P., Gulisashvili, A., Jacquier, A., & Teichmann, J. (2015). Large Deviations and Asymptotic Methods in Finance. Heidelberg, Germany, Springer.

Gatheral, J. (2006). The Volatility Surface: A Practitioners Guide. (p. 208 pages).

Journal Articles

(2023). A generalization of the rational rough Heston approximation. Quantitative Finance,

(2023). Marco Avellaneda: Mathematician and trader. Mathematical Finance, 33(1). 16-18.

(2023). NN de-Americanization: A Fast and Efficient Calibration Method for American-Style Options. Quantitative Finance,

(2022). Efficient simulation of affine forward variance models. Risk.net,

Friz, P., Gatheral, J., & Radoicic, R. (2022). Forests, cumulants, martingales. The Annals of Probability, 50(4). 1418-1445.

(2022). A rough SABR formula. Frontiers of Mathematical Finance, 1(1). 81--97.

Alos, E., Gatheral, J., & Radoicic, R. (2020). Exponentiation of conditional expectations under stochastic volatility. Quantitative Finance, 20(1). 13-27.

Gatheral, J., El Euch, O., Radoicic, R., & Rosenbaum, M. (2020). The Zumbach effect under rough Heston. Quantitative Finance, 20(2). 235-241.

Gatheral, J., Jusselin, P., & Rosenbaum, M. (2020). The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem. Risk.net, May 2020.

El Euch, O., Gatheral, J., & Rosenbaum, M. (2019). Roughening Heston. Risk Magazine, May 2019. 84-89.

Gatheral, J., & Keller-Ressel, M. (2019). Affine forward variance models. Finance and Stochastics, 23(3). 501-533.

Euch, O. E., Fukasawa, M., Gatheral, J., & Rosenbaum, M. (2019). Short-term at-the-money asymptotics under stochastic volatility models. SIAM Journal on Financial Mathematics, 10(2). 491-511.

Gatheral, J., & Radoicic, R. (2019). Rational approximation of the rough Heston solution. International Journal of Theoretical and Applied Finance, 22(3). 1950010.

Gatheral, J., Jaisson, T., & Rosenbaum, M. (2018). Volatility is rough. Quantitative Finance, 18(6). 933-949.

Curato, G., Gatheral, J., & Lillo, F. (2017). Optimal execution with non-linear transient market impact. Quantitative Finance, 17(1). 41--54.

Gatheral, J., Matic, I., Radoicic, R., & Stefanica, D. (2017). Tighter bounds for implied volatility. International Journal of Theoretical and Applied Finance, 20(05). 1750035.

Gatheral, J., Curato, G., & Lillo, F. (2016). Discrete Homotopy Analysis for Optimal Trading Execution with Nonlinear Transient Market Impact. Communications in Nonlinear Science and Numerical Simulation, 39. 332-342.

Gatheral, J., Friz, P., & Bayer, C. (2016). Pricing under Rough Volatility. Quantitative Finance, 16(6). 887-904.

Gatheral, J., & Jacquier, A. (2014). Arbitrage-Free SVI Volatility Surfaces. Quantitative Finance, 14(1). 59-71.

Gatheral, J., Bayer, C., & Karlsmark, M. (2013). Fast Ninomiya-Victoir Calibration of The Double-Mean-Reverting Model. Quantitative Finance, 13(11). 1813-1829.

Gatheral, J., Hsu, E., Laurence, P., Ouyang, C., & Wang, T. (2012). Asymptotics of Implied Volatility in Local Volatility Models. Mathematical Finance, 22(4). 591-620.

Gatheral, J., Schied, A., & Slynko, A. (2012). Transient Linear Price Impact and Fredholm Integral Equations. Mathematical Finance, 22(3). 445-474.

Gatheral, J., & Wang, T. (2012). The Heat-Kernel Most-Likely-Path Approximation. International Journal of Theoretical and Applied Finance, 15(1). 1250001.

Gatheral, J., & Jacquier, A. (2011). Convergence of Heston to SVI. Quantitative Finance, 11(8). 1129-1132.

Gatheral, J., & Schied, a. (2011). Optimal Trade Execution under Geometric Brownian Motion in the Almgren and Chriss Framework. International Journal of Theoretical and Applied Finance, 14(3). 353-386.

Gatheral, J., & Oomen, R. (2010). Zero-Intelligence Realized Variance Estimation. Finance and Stochastics, 14(2). 249-283.

(2010). No-Dynamic-Arbitrage and Market Impact. Quantitiative Finance, 10(7). 749-759.

Gatheral, J., & Friz, P. (2005). Valuation of Volatility Derivatives as an Inverse Problem. Quantitative Finance, 5(6). 531-542.

Gatheral, J., Epelbaum, Y., Han, J., & Laud, K. (1999). Implementing Option Pricing Models Using Software Synthesis. Computing in Science and Engineering, 54-64.

Gatheral, J., Frenkel, J., & Taylor, J. (1984). Quark-antiquark Annihilation is Infrared Safe at High Energy to all orders. Nuclear Physics B233, 307-335.

Gatheral, J. (1983). Exponentiation of Eikonal Cross Sections in Nonabelian Gauge Theories. Physics Letters B (top cited papers), 133B(1, 2). 90-94.

Gatheral, J., Frenkel, J., & Taylor, J. (1983). Soft Gluons and the Eikonal Approximation with Massless Quarks. Nuclear Physics B228, 529-536.

Gatheral, J., Frenkel, J., & Taylor, J. (1982). Asymptotic States and Infrared Divergences in Non-Abelian Theories. Nuclear Physics B194, 172-180.

Book Chapters

Gatheral, J., & Wang, T. (2015). Implied volatility from local volatility: a path integral approach. In Friz, P. K., Gatheral, J., Gulisashvili, A., & Jacquier, A. (Eds.), Large Deviations and Asymptotic Methods in Finance (pp. 247-276). Heidelberg,Germany. Springer.

(2015). Implied volatility from local volatility: A path integral approach. Large Deviations and Asymptotic Methods in Finance Springer Proceedings in Mathematics & Statistics.

Gatheral, J., & Schied, A. (2013). Dynamical Models of Market Impact and Algorithms for Order Execution. Handbook on Systemic Risk (Eds.: J.-P. Fouque and J. Langsam), Cambridge University Press.

Gatheral, J., Schied, A., & Slynko, A. (2011). Exponential Resilience and Decay of Market Impact. In Abergel, F., Chakrabarti, B. K., Chakraborti, A., & Mitra, M. (Eds.), Econophysics of Order-Driven Markets: Proceedings of Econophys Kolkata V (pp. 225-236). Milan. Springer.

Gatheral, J. (1997). Delta Hedging with Uncertain Volatility. In Nelken, I. (Ed.), Volatility in the capital markets: State-of-the-art techniques for modeling, managing, and trading volatility

Media Contributions

Gatheral, J., & Stefanica, D. (2019). Careers in Financial Engineering.

Gatheral, J. (2015). Rough volatility: New research helps traders hone their edge.

Gatheral, J. (2006). Math and Physics Everywhere.

Presentations

Gatheral, J. Computing skew-stickiness . Virtual on Zoom: National School of Development, Peking University.

Gatheral, J. (2024, June 8). Pricing in affine forward variance models. Volatility Conference 2023. Singapore: Singapore Management University.

Gatheral, J. Skew-stickiness under rough volatility . Quantminds International. London

Gatheral, J. Computing skew-stickiness . Bloomberg Quant Seminar. New York: Bloomberg.

Gatheral, J. Computing skew-stickiness . Annual Quant Insights conference. Virtual on Zoom: CQF.

Gatheral, J. (2024, June 8). Pricing in affine forward variance models . SIAM Conference on Financial Mathematics and Engineering (FM23). Philadelphia: SIAM.

Gatheral, J. (2024, February 8). Rough volatility: An overview   . Goldman Sachs. New York

Gatheral, J. (2024, March 8). Rough volatility: An overview  . Bank of America. London

Gatheral, J. (2024, May 8). Skew-stickiness and rough volatility . Emanuel Derman retirement conference. Columbia University

Gatheral, J. (2024, May 8). Skew-stickiness and rough volatility . Rough volatility workshop. Skye, Scotland

Gatheral, J. (2024, June 8). Peter Carr and the variance contract  . The Peter Carr Memorial Conference. NYU Tandon School of Engineering

Gatheral, J. (2022, September 1). Pricing in affine forward variance models  . Presentation to PKU NSD students. Online

Gatheral, J. (2024, November 8). Pricing in affine forward variance models . Quantminds International,. Barcelona

Gatheral, J. (2024, November 8). Pricing in affine forward variance models  . Research in Options 2021. Online

Gatheral, J. (2024, December 8). Pricing in affine forward variance models  . Quantminds International.

Gatheral, J. (2024, December 8). Rough volatility deep dive  . Quantminds International. Barcelona

Gatheral, J. (2024, April 8). Rough volatility: An overview. Mathematical finance seminar. Online: Johns Hopkins University.

Gatheral, J. (2024, October 8). The Complex Dynamics of Financial Prices. Prometeia seminar. Bologna, Italy: Prometeia.

Gatheral, J. (2024, October 8). Pricing in affine forward variance models . Seminario di finanza matematica, probabilità. Università di Bologna: Università di Bologna.

Gatheral, J. (2024, October 8). The Complex Dynamics of Financial Prices . Lectio Magistralis, Quantitative Finance. Bologna, Italy: University of Bologna.

Gatheral, J. (2024, September 8). Diamond trees and the forest expansion . Mathematics and Computation of Financial Engineering. Erice, Italy: Ettore Majorana Foundation and Centre for Scientific Culture.

Gatheral, J. (2024, September 8). Diamond trees and the forest expansion . Seminario di finanza matematica, probabilità. Bologna, Italy: University of Bologna.

Gatheral, J. (2024, September 8). Rough volatility: An overview . Next Generation Models of Financial Data. Raitenhaslach, Germany: Technical University of Munich.

Gatheral, J. (2024, April 8). The complex dynamics of financial prices. Interactions, Rétroactions, Crises. Paris, France: Collège de France.

Gatheral, J. (2024, January 8). Diamond trees and the forest expansion. Bloomberg Quant Seminar. Bloomberg, New York: Bloomberg.

Gatheral, J. (2024, April 8). Diamond trees, forests, cumulants, and martingales. Mathematical Finance Seminar. Columbia University, New York

Gatheral, J. (2019, June 30). Diamond trees, forests and the exponentiation theorem. 2019 SIAM Financial Mathematics and Engineering. Toronto, ON: SIAM.

Gatheral, J. (2019, January 31). Diamond trees, forests and the exponentiation theorem. Quantitative Finance Workshop. Zurich, Switzerland: ETH Zürich.

Gatheral, J. Rough volatility: An update. Seminar. New York: Cubist.

Gatheral, J. Rough volatility: An overview. Seminar. New York: Quantbot Technologies LLC.

Gatheral, J. (2018, November 30). Diamonds and the rough Heston model. Beijing, China: National School of Development, Peking University.

Gatheral, J. Rough volatility: An overview. Seminar. New York: Lord Abbett.

Gatheral, J. (2018, July 31). Exponential of conditional expectations under stochastic volatility. 10th World Congress of the Bachelier Finance Society. Dublin, Ireland

Gatheral, J. (2018, July 31). Diamonds: A quant's best friend. Quant Summit USA. New York

Gatheral, J. (2018, May 31). Diamonds: A quant's best friend. QuantMinds International. Lisbon, Portugal

Gatheral, J. (2018, March 31). Diamonds: A quant's best friend. Workshop on mathematical finance and related issues. Osaka, Japan: Osaka University.

Gatheral, J. (2018, January 31). Rough volatility: An overview. Financial engineering seminar. New York: Columbia University.

Gatheral, J. (2018, November 30). Diamonds and the rough Heston model. Research in Options 2018. Búzios, Brazil

Gatheral, J. Diamonds: A quant’s best friend. Bloomberg Quant Seminar. New York: Bloomberg.

Gatheral, J. Diamonds: A quant’s best friend. Workshop on Finance, Insurance, Probability and Statistics. King’s College, London, UK: King’s College, London.

Gatheral, J. Diamonds and the rough Heston model. Beijing, China: National School of Development, Peking University.

Gatheral, J. (2017, January 31). Rough volatility: An overview. Advances in Financial Mathematics. Paris, France

Gatheral, J. (2017, February 28). Rough volatility: An overview. Mathematics of quantitative finance workshop. Oberwollfach, Germany

Gatheral, J. (2017, May 31). Rough volatility: An overview. Global Derivatives. Barcelona

Gatheral, J. (2017, November 30). Rough volatility: An overview. Beijing, China: National School of Development, Peking University.

Gatheral, J. (2017, January 31). Diamonds: A quant's best friend. Rough paths seminar. Berlin, Germany: TU Berlin.

Gatheral, J. (2016, January 31). Rough volatility. Mathematics seminar. Osaka, Japan: Osaka University.

Gatheral, J. (2016, February 28). Rough volatility. Quantitative Finance Seminar. Toronto, ON: Fields Institute.

Gatheral, J. (2016, May 31). Three models of market impact. Market Microstructure and High Frequency Data. Chicago, IL: University of Chicago.

Gatheral, J. (2016, November 30). Model-free valuation of derivatives. Beijing, China: National School of Development, Peking University.

Gatheral, J. (2015, February 28). Random matrix theory and correlation estimation. New York: Baruch College Mathematics Society.

Gatheral, J. (2015, April 30). Rough volatility. Financial mathematics seminar. Princeton, NJ: Princeton University.

Gatheral, J. (2015, May 31). Rough volatility. Amsterdam: Global Derivatives Trading & Risk Management.

Gatheral, J. (2014, November 30). Rough volatlity. Global Derivatives USA. Chicago, IL

Gatheral, J. (2014, November 30). Volatility is rough, Part 2LPricing. Workshop on stochastic and quantitative finance. London: Imperial College.

Gatheral, J. (2014, June 30). Fractional volatility models. Bloomberg quant seminar. New York

Gatheral, J. (2013, July 31). Market impact with autocorrelated order flow under perfect competition: The Donier model. Berlin: Weierstrass Institute.

Gatheral, J. (2013, September 30). How to minimize execution costs. Brunel Financial Mathematics Workshop. London

Gatheral, J. (2013, October 31). Fast Ninomiya-Victoir calibration of the double-mean reverting model. Stochastic processes and their statistics in finance. Okinawa, Japan

Gatheral, J. (2013, January 31). The Volatility Surface: Statics and Dynamics. Inaugural Bloomberg Quant Seminar. New York City

Gatheral, J. (2012, April 30). On the Square-Root Model of Market Impact. Global Derivatives and Risk Management Conference. Barcelona

Gatheral, J. (2012, July 31). Optimal order execution. Pisa, Italy: Scuola Nazionale Superiore.

Gatheral, J. (2012, October 31). Arbitrage-Free SVI Volatility Surfaces. London: Quant Congress Europe.

Gatheral, J. (2012, December 31). The Execution Puzzle: How and When to Trade to Minimize Cost. Perkin University: National School of Development.

Gatheral, J. (2012, December 31). Arbitrage-Free SVI Volatility Surfaces. Osaka University

Gatheral, J. (2012, December 31). Market Impact with Autocorrelated Order Flow Under Perfect Competition: The Donier Model. Market Microstructure: Confronting Many Viewpoints. Paris

Gatheral, J. (2011, April 30). The variational Most-Likely-Path. Global Derivatives and Risk Management Conference. Paris

Gatheral, J. (2011, October 31). Optimal Order Execution JOIM. Fall Conference. Boston

Gatheral, J. (2011, August 31). The Execution Puzzle: How and When to Trade to Minimize Cost. Fifth International Financial and Capital Markets Conference. Campos do Jordao

Gatheral, J. (2010, December 31). Price Manipulation in Models of The Order Book. Market Microstructure: Confronting Many Viewpoints. Paris

Gatheral, J. (2009, October 31). . American Mathematical Society, 2009 Fall Eastern Section Meeting. University Park, PA

Gatheral, J. (2009, January 31). “No-Dynamic-Arbitrage and Market Impact”. : Ecole Polytechnique.

Gatheral, J. (2008, October 31). “Random Matrix Theory and Covariance Estimation”. NYU Courant Institute Algorithmic Trading Conference.

Gatheral, J. (2008, May 31). “Further Developments in Volatility Derivatives Pricing”. Global Derivatives and Risk Management Conference. Paris

Gatheral, J. (2008, July 31). “Consistent Modeling of SPX and VIX Options”. Bachelier Congress. London (Plenary talk)

Gatheral, J. (2007, May 31). “Developments in Volatility Derivatives Pricing”. Global Derivatives and Risk Management Conference. Paris

Gatheral, J. (2006, June 30). “Real-time Volatility Estimation Under Zero Intelligence”. The Derivatives Technology Foundation Symposium. Amsterdam

Gatheral, J. (2005, May 31). “Valuation of volatility derivatives”. Global Derivatives and Risk Management Conference. Paris

Gatheral, J. (2004, May 31). “A parsimonious arbitrage-free implied volatility parameterization with application to the valuation of volatility derivatives”. Global Derivatives and Risk Management Conference. Madrid

Gatheral, J. (2003, May 31). “Modeling the Implied Volatility Surface”. Global Derivatives and Risk Management Conference. Barcelona

Gatheral, J. (2000, June 30). “Rational Shapes of the Volatility Surface". Risk 2000 USA. Boston, USA

Gatheral, J. (1999, September 30). “Volatility and Hedging Errors”. Columbia University Financial Engineering Seminar.

Other Scholarly Works

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Professional

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