Jim Gatheral
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Jim Gatheral is a researcher in the field of
mathematical finance Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling of financial markets. In general, there exist two separate branches of finance that require ...
, who has contributed to the study of volatility as applied to the pricing and risk management of
derivatives The derivative of a function is the rate of change of the function's output relative to its input value. Derivative may also refer to: In mathematics and economics * Brzozowski derivative in the theory of formal languages * Formal derivative, an ...
. A recurrent subject in his books and papers is the volatility smile, and he published in 2006 a book ''The Volatility Surface'' based on a course he taught for six years at New York University, along with Nassim Taleb. More recently his work has moved in the direction of market microstructure, especially as applied to
algorithmic trading Algorithmic trading is a method of executing orders using automated pre-programmed trading instructions accounting for variables such as time, price, and volume. This type of trading attempts to leverage the speed and computational resources of ...
. He is the author of ''The Volatility Surface: A Practitioner's Guide.'' (2006, New Jersey: Wiley. ) 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, where he is teaching volatility surface modeling and market microstructure. Prior to this, he worked at Bank of America and Bankers Trust before heading the Equity Quantitative Analytics group at
Merrill Lynch Merrill (officially Merrill Lynch, Pierce, Fenner & Smith Incorporated), previously branded Merrill Lynch, is an American investment management and wealth management division of Bank of America. Along with BofA Securities, the investment bank ...
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 of New York University, where he was an adjunct professor for 12 years. In April 2013, Jim Gatheral was named Presidential Professor at Baruch College. 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 PHD or PhD may refer to: * Doctor of Philosophy (PhD), an academic qualification Entertainment * '' PhD: Phantasy Degree'', a Korean comic series * ''Piled Higher and Deeper'', a web comic * Ph.D. (band), a 1980s British group ** Ph.D. (Ph.D. albu ...
in theoretical physics from Cambridge University (1983), and a B.Sc. in Mathematics and Natural Philosophy from the University of Glasgow.


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at Baruch College
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Social Science Research Network 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