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MoneyScience Financial Training: Introduction to QuantLib Development with Luigi Ballabio - September 22-24, London, UK- Click For 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


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.
(98 days ago)

Jim Gatheral wrote a new blog post titled REVISION: Fast Ninomiya-Victoir Calibration of the Double-Mean-Reverting Model

We consider the three factor double mean reverting (DMR) model of Gatheral (2008), a model which can be successfully calibrated to both VIX options and SPX options simultaneously. One drawback of this model is that calibration may be slow because no closed form solution for European options exists. In this paper, we apply modified versions of the second order Monte Carlo scheme of Ninomiya and Victoir (2008) and compare these to the Euler-Maruyama scheme with full truncation of Lord et al. (2010), demonstrating on the one hand that fast calibration of the DMR model is practical, and on the...
(100 days ago)

Jim Gatheral wrote a new blog post titled REVISION: Dynamical Models of Market Impact and Algorithms for Order Execution

In this review article, we present recent work on the regularity of dynamical market impact models and their associated optimal order execution strategies. In particular, we address the question of the stability and existence of optimal strategies, showing that in a large class of models, there is price manipulation and no well-behaved optimal order execution strategy. We also address issues arising from the use of dark pools and predatory trading.
(231 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.