View Jim Gatheral’s profile on LinkedIn, the world’s largest professional community. Jim has 6 jobs listed on their profile. See the complete profile on LinkedIn. Jim Gatheral is Presidential Professor of Mathematics at Baruch College, CUNY teaching mostly courses in the Masters of Financial Engineering (MFE) program. Jim Gatheral’s 42 research works with citations and reads, including: The Zumbach effect under rough Heston. Jim Gatheral has expertise in.

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Using the Gaatheral expansion, I will show how various features of the volatility surface relate to the joint dynamics of the volatility surface and the underlying.

Some Applications of Barrier Options. The topics covered are at the forefront of research in mathematical finance and the author’s treatment of them is simply the best available in this form. QuasiStatic Hedging and Qualitative Valuation. Inside the Black Box Rishi K. He is the author of The Volatility Surface: Articles 1—20 Show more.

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Computation of Implied Volatilities.

The Volatility Surface : A Practitioner’s Guide

Fair Value of the Power Payoff. Simulation of the Heston Process. Getting Implied Volatility from Local Volatilities. East Dane Designer Men’s Fashion. This very fine book is an outgrowth of the lecture notes prepared for one of the most popular classes at NYU’s esteemed Courant Institute. This article about an American scientist in academia is a stub.


Table of contents List of Figures. Prior to this, he worked at Bank of America and Bankers Trust [4] before heading the Equity Quantitative Analytics group at Merrill Lynch inwhere he was a managing director for 17 years. Filled with in-depth insights, expert advice, and real-world examples, The Volatility Surface will get you up to speed on the latest theories underlying options pricing as well as familiarize you with the history and practice of trading in the equity derivatives markets.

So by the time you finish reading this guide, you’ll have a firm understanding of volatility surface modeling as well as a better idea of how you can apply the results of these models to real-world situations. New articles by this author. The following articles are merged in Scholar. Computation of Local Volatilities. This page was last edited on 10 Juneat It successfully charts a middle ground between specific examples and general models–achieving remarkable clarity without giving up sophistication, depth, or breadth.

Download related documents – lecture 1 Lecture 2. Contains a detailed derivation of the Heston model and explanations of many other popular models such as SVJ, SVJJ, SABR, and CreditGrades Discusses the characteristics of various types of exotic options from the humble barrier option to the super exotic Napoleon Exhaustively covers volatility derivatives with elegant and robust presentations of the latest research Examines performance of exotic cliquet contracts through in-depth case studies of actual bonds that have already matured The purpose of The Volatility Surface is not to just present results, but to provide you with ways of thinking about and solving practical problems that should have many other areas of application.


His current research focus is equity market microstructure and algorithmic trading. The Heston Solution for European Options.

Quantitative Value Wesley R. Verified email at baruch. Implications for the Volatility Skew. Learn more at Author Central. Amazon Second Chance Pass it on, trade it in, give it a second life. In March[1] Jim Gatheral left his position at Merrill Lynch to assume a tenured full professor position at the Financial Engineering Masters Program [2] at Baruch College[3] where he is teaching volatility surface modeling and market microstructure.

SVI is thus shown to provide a parsimonious but realistic description of the volatility surface, facilitating analysis of its dynamics. We will explore further the time series of historical volatility, studying its scaling properties which we will find lead to a natural model for the underlying, the RFSV model.

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Jim Gatheral – Baruch MFE Program

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Finally using SVI fits, we show that actual SPX variance swap curves seem to be consistent with model forecasts, with particular dramatic examples from the weekend of the collapse of Ji Brothers and the Flash Crash.