معرفی
James Gatheral is a Professor at the Department of Mathematics within the Weissman School of Arts and Sciences at Baruch College, The City University of New York. He holds a Ph.D. in Theoretical Physics from Cambridge University and a BSc in Mathematics and Natural Philosophy from the University of Glasgow. His research focuses on volatility modeling, rough volatility, stochastic volatility models, and market microstructure, with significant contributions to quantitative finance.
- Ph.D., Theoretical Physics, Cambridge University
- BSc, Mathematics and Natural Philosophy, University of Glasgow
His work on rough volatility has revolutionized the understanding of financial markets, bridging mathematical theory with practical trading strategies. He has authored key publications on affine forward variance models, volatility derivatives, and execution cost optimization. His research often integrates stochastic processes, martingale theory, and graph theory.
James Gatheral has received prestigious accolades, including Quant of the Year 2021 by Risk.net and the CFM Imperial Distinguished Lecturer title in 2015. He serves as a joint Editor-in-Chief for Quantitative Finance and on multiple academic committees, including SIAM and Bruti Liberati Prize Committee.
He has presented at major international conferences such as the SIAM Financial Mathematics and Engineering Conference, QuantMinds International, and the Bachelier Finance Society World Congress. His teaching includes advanced courses on the volatility surface and market microstructure models.
