Jim Gatheral

According to our database, Jim Gatheral authored at least 4 papers between 1999 and 2019.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of five.

2019

Short-Term At-the-Money Asymptotics under Stochastic Volatility Models.

Omar El Euch, Masaaki Fukasawa, Jim Gatheral, Mathieu Rosenbaum

SIAM J. Financial Math., 2019

2016

Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact.

Gianbiagio Curato, Jim Gatheral, Fabrizio Lillo

Commun. Nonlinear Sci. Numer. Simul., 2016

2010

Zero-intelligence realized variance estimation.

Jim Gatheral, Roel C. A. Oomen

Finance Stochastics, 2010

1999

Implementing option-pricing models using software synthesis.

James Gatheral, Yonathan Epelbaum, Jining Han, Kishor Laud, Olga Lubovitsky, Elaine Kant, Curt Randall

Comput. Sci. Eng., 1999