Jim GatheralView profile
Professor
Jim Gatheral is a Presidential Professor of Mathematics at Baruch College, City University of New York (CUNY), where he leads the Financial Engineering MS Program. He holds a Ph.D. in Theoretical Physics from Cambridge University (1983), advised by John C. Taylor, and a B.Sc. in Mathematics and Natural Philosophy from the University of Glasgow (1979). Research Focus: His work centers on volatility modeling, market impact dynamics, optimal execution strategies, and stochastic volatility frameworks. Key contributions include rough volatility theory, affine forward variance models, and advancements in Heston and SABR models. He authored The Volatility Surface: A Practitioner’s Guide (2006), a seminal text in quantitative finance. Professional Contributions: Gatheral has published extensively in journals like Quantitative Finance , Finance and Stochastics , and SIAM Journal on Financial Mathematics . He co-developed the arbitrage-free SVI volatility surface parameterization and contributed to market impact models under perfect competition. His work integrates theoretical physics insights with financial engineering. Engagement: He delivers presentations globally, including at the SIAM Financial Mathematics and Engineering Conference (2019) and Bloomberg Quant Seminars. His research bridges academia and industry, addressing practical challenges in derivatives pricing and risk management.






