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MoneyScience Financial Training: Introduction to QuantLib Development with Luigi Ballabio - September 22-24, London, UK - Further Information
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Title: Professor

Short Description: Current research interests: Volatility modeling, market impact, and optimal execution.

Institution: Baruch College

Department: Department of Mathematics

Special Academic Interests: , ,

Location: New York, USA

SSRN Author Page: link

Is this Member on the AGENDA team?: No

Joined: June 25th, 2011

Activity

Jim Gatheral wrote a new blog post titled REVISION: Implied Volatility from Local Volatility: A Path Integral Approach

Assuming local volatility, we derive an exact Brownian bridge representation for the transition density; an exact expression for the transition density in terms of a path integral then follows. By Taylor-expanding around a certain path, we obtain a generalization of the heat kernel expansion of the density which coincides with the classical one in the time-homogeneous case, but is more accurate and natural in the time inhomogeneous case. As a further application of our path integral representation, we obtain an improved most-likely-path approximation for implied volatility in terms of local...
(41 days ago)

Jim Gatheral wrote a new blog post titled New: Implied Volatility from Local Volatility: A Path Integral Approach

Assuming local volatility, we derive an exact Brownian bridge representation for the transition density; an exact expression for the transition density in terms of a path integral then follows. By Taylor-expanding around a certain path, we obtain a generalization of the heat kernel expansion of the density which coincides with the classical one in the time-homogeneous case, but is more accurate and natural in the time inhomogeneous case. As a further application of our path integral representation, we obtain an improved most-likely-path approximation for implied volatility in terms of local...
(67 days ago)

Jim Gatheral wrote a new blog post titled REVISION: Arbitrage-Free SVI Volatility Surfaces

In this article, we show how to calibrate the widely-used SVI parameterization of the implied volatility smile in such a way as to guarantee the absence of static arbitrage. In particular, we exhibit a large class of arbitrage-free SVI volatility surfaces with a simple closed-form representation. We demonstrate the high quality of typical SVI fits with a numerical example using recent SPX options data.
(225 days ago)

About me:

Jim Gatheral worked at Bank of America and Bankers Trust 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 of New York University. In March 2010 Jim assumed a tenured full professor position at the Financial Engineering Masters Program at Baruch College where he is teaching volatility surface modeling and market microstructure.