Jim Gatheral is a researcher in the field of mathematical finance, who has contributed to the study of volatility as applied to the pricing and risk management of derivatives. A recurrent subject in his books and papers is the

volatility smile Volatility smiles are implied volatility patterns that arise in pricing financial options. It is a parameter (implied volatility) that is needed to be modified for the Black–Scholes formula to fit market prices. In particular for a given expi ...

, and he published in 2006 a book ''The Volatility Surface'' based on a course he taught for six years at

New York University New York University (NYU) is a private research university in New York City. Chartered in 1831 by the New York State Legislature, NYU was founded by a group of New Yorkers led by then- Secretary of the Treasury Albert Gallatin. In 1832, th ...

, along with

Nassim Taleb Nassim Nicholas Taleb (; alternatively ''Nessim ''or'' Nissim''; born 12 September 1960) is a Lebanese-American essayist, mathematical statistician, former option trader, risk analyst, and aphorist whose work concerns problems of randomness, ...

. More recently his work has moved in the direction of

market microstructure Market microstructure is a branch of finance concerned with the details of how exchange occurs in markets. While the theory of market microstructure applies to the exchange of real or financial assets, more evidence is available on the microstruct ...

, especially as applied to algorithmic trading. He is the author of ''The Volatility Surface: A Practitioner's Guide.'' (2006, New Jersey:

Wiley Wiley may refer to: Locations * Wiley, Colorado, a U.S. town * Wiley, Pleasants County, West Virginia, U.S. * Wiley-Kaserne, a district of the city of Neu-Ulm, Germany People * Wiley (musician), British grime MC, rapper, and producer * Wiley Mil ...

. ) In March 2010, Jim Gatheral left his position at Merrill Lynch to assume a tenured full professor position at the Financial Engineering Masters Program at

Baruch College Baruch College (officially the Bernard M. Baruch College) is a public college in New York City. It is a constituent college of the City University of New York system. Named for financier and statesman Bernard M. Baruch, the college operates unde ...

, where he is teaching

volatility surface Volatility smiles are implied volatility patterns that arise in pricing financial options. It is a parameter (implied volatility) that is needed to be modified for the Black–Scholes formula to fit market prices. In particular for a given expi ...

modeling and market microstructure. Prior to this, he worked at

Bank of America The Bank of America Corporation (often abbreviated BofA or BoA) is an American multinational investment bank and financial services holding company headquartered at the Bank of America Corporate Center in Charlotte, North Carolina. The bank ...

and

Bankers Trust Bankers Trust was a historic American banking organization. The bank merged with Alex. Brown & Sons in 1997 before being acquired by Deutsche Bank in 1999. Deutsche Bank sold the Trust and Custody division of Bankers Trust to State Street Corpo ...

before heading the Equity Quantitative Analytics group at Merrill Lynch in 1996, where he was a managing director for 17 years. In 1998 he became a fellow of the Masters Program of Mathematics in Finance at the

Courant Institute of Mathematical Sciences The Courant Institute of Mathematical Sciences (commonly known as Courant or CIMS) is the mathematics research school of New York University (NYU), and is among the most prestigious mathematics schools and mathematical sciences research cente ...

, where he was an adjunct professor for 12 years. In April 2013, Jim Gatheral was named Presidential Professor at

. In February 2021, together with Professor Mathieu Rosenbaum of École Polytechnique, Jim Gatheral was named 2021 Quant of the Year by Risk.net. He received his PhD in

theoretical physics Theoretical physics is a branch of physics that employs mathematical models and abstractions of physical objects and systems to rationalize, explain and predict natural phenomena. This is in contrast to experimental physics, which uses experim ...

from

Cambridge University The University of Cambridge is a Public university, public collegiate university, collegiate research university in Cambridge, England. Founded in 1209 and granted a royal charter by Henry III of England, Henry III in 1231, Cambridge is the world' ...

(1983), and a B.Sc. in Mathematics and Natural Philosophy from the

University of Glasgow , image = UofG Coat of Arms.png , image_size = 150px , caption = Coat of arms Flag , latin_name = Universitas Glasguensis , motto = la, Via, Veritas, Vita , ...

References

External links

Homepage
at Baruch College
Author Page

Social Science Research Network The Social Science Research Network (SSRN) is a repository for preprints devoted to the rapid dissemination of scholarly research in the social sciences, humanities, life sciences, and health sciences, among others. Elsevier bought SSRN from S ...

Living people Scottish scholars and academics Scottish businesspeople Courant Institute of Mathematical Sciences faculty Year of birth missing (living people) Merrill (company) people Alumni of the University of Cambridge Financial economists {{US-academic-scientist-stub