Jim Gatheral
University of Cambridge
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Jim Gatheral is a highly experienced professional with over 40 years of work in the field of equities, quantitative finance, derivatives, trading, and quantitative analytics. He is currently a Presidential Professor of Mathematics at Baruch College, CUNY. Prior to his current role, Jim served as a Managing Director at Bank of America Merrill Lynch and an adjunct professor at the Courant Institute, NYU. His research focuses on volatility modeling and equity market microstructure for algorithmic trading. Jim has received numerous awards for his work on 'rough volatility' modeling and his book, The Volatility Surface: A Practitioner's Guide, is a standard reference in the subject of volatility modeling.
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About
Jim Gatheral is Presidential Professor of Mathematics at Baruch College, CUNY teaching in the Masters of Financial Engineering (MFE) program. Prior to joining the faculty of Baruch College, Jim was a Managing Director at Bank of America Merrill Lynch, and also an adjunct professor at the Courant Institute, NYU. His current research focus is on volatility modeling and modeling equity market microstructure for algorithmic trading. Jim (along with Mathieu Rosenbaum) was awarded 2021 ‘Quant of the Year’ by RISK Magazine for his work on ‘rough volatility’ modeling. His best-selling book, The Volatility Surface: A Practitioner’s Guide (Wiley 2006) is one of the standard references on the subject of volatility modeling.
...See MoreWork Experience
Professor
Advisor
Financial Services
Jim Gatheral's Professional Milestones
- Managing Director (1986-03-01~1993-02-01): Driving strategic decision-making and implementing innovative strategies to establish Company as a leader in the global gaming industry.
- Vice President (1983-08-01~1986-02-01): Driving strategic initiatives to drive organizational success and achieve sustainable growth.
Education
Theoretical Physics
1979-1983Skill
Equities
Quantitative Finance
Derivatives
Trading
Quantitative Analytics
Options
Volatility
Monte Carlo Simulation
Fixed Income
Hedge Funds
Financial Engineering
Financial Modeling
Market Risk
Capital Markets
Financial Markets
Equity Derivatives
Stochastic Calculus
Mathematical Modeling
R
Trading Systems
Investment Banking
Statistics
Econometrics
Portfolio Management
Bloomberg
Statistical Modeling
Modeling
Numerical Analysis
Vba
Time Series Analysis
Alternative Investments
Portfolio Optimization
Emerging Markets
Equity Research
Excel
Mathematica
Microsoft Excel
Quantative Analysis
Credit Derivatives
Interest Rate Derivatives
Commodity
Trading Strategies
Economics
Valuation
Macroeconomics
Structured Finance
Equity
Certification
Colleagues
Elliott Nathanson
general counsel at vola dynamics llc
Timothy Klassen
Chief Executive Officer | Founder
Scott Dickson
quantitative researcher @ vola dynamics
Denis St-Onge
quantitative researcher | physicist | research software developer | hpc engineer | science communicator | musician | avid runner
Denis St-Onge
quantitative researcher | physicist | research software developer | hpc engineer | science communicator | musician | avid runner
Other Named Jim Gatheral
Frequently asked questions
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Jim Gatheral works for Vola Dynamics LLC
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