Jim Gatheral
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.
He received his PhD in theoretical physics from Cambridge University (1983), and a B.Sc. in Mathematics and Natural Philosophy from the University of Glasgow.
He worked at Bank of America and Bankers Trust[1] 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,[2] where he was an adjunct professor for 12 years.
In March 2010,[3] Jim Gatheral left his position at Merrill Lynch to assume a tenured full professor position at the Financial Engineering Masters Program at Baruch College,[4] where he is teaching volatility surface modeling and market microstructure.
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 6 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.
[edit] Book and publications
The Volatility Surface : A Practitioner's Guide
No-Dynamic-Arbitrage and Market Impact[5]
Random Matrix Theory and Covariance Estimation[6]
[edit] External links
- Homepage at Baruch College
[edit] References
- ^ http://www.linkedin.com/profile?viewProfile=&key=13930333
- ^ http://www.math.nyu.edu/fellows_fin_math/gatheral/gatheral.htm
- ^ Pathak, Joy (March 5, 2010). "Jim Gatheral left Merrill Lynch to join Baruch MFE program | Quant Network". Quantnet.com. http://www.quantnet.com/jim-gatheral-joins-baruch-mfe-program. Retrieved October 21, 2010.
- ^ "Baruch College's Master of Financial Engineering (MFE) program". Mfe.baruch.cuny.edu. http://mfe.baruch.cuny.edu. Retrieved October 21, 2010.
- ^ "SSRN-No-Dynamic-Arbitrage and Market Impact by Jim Gatheral". Papers.ssrn.com. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1292353. Retrieved October 21, 2010.
- ^ http://www.math.nyu.edu/fellows_fin_math/gatheral/RandomMatrixCovariance2008.pdf
  |
This article about an American scientist in academia is a stub. You can help Wikipedia by expanding it. |
