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Jim Gatheral

James Gatheral

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Journal Articles

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2019
[j4]
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  dblp key:
  - journals/siamfm/EuchFGR19
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  - https://dblp.org/rec/journals/siamfm/EuchFGR19
Omar El Euch, Masaaki Fukasawa, Jim Gatheral, Mathieu Rosenbaum:
Short-Term At-the-Money Asymptotics under Stochastic Volatility Models. SIAM J. Financial Math. 10(2): 491-511 (2019)
2016
[j3]
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  - journals/cnsns/CuratoGL16
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Gianbiagio Curato, Jim Gatheral, Fabrizio Lillo:
Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact. Commun. Nonlinear Sci. Numer. Simul. 39: 332-342 (2016)
2010
[j2]
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  - journals/fs/GatheralO10
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Jim Gatheral, Roel C. A. Oomen:
Zero-intelligence realized variance estimation. Finance Stochastics 14(2): 249-283 (2010)
1999
[j1]
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  - journals/cse/GatheralEHLLKR99
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James Gatheral, Yonathan Epelbaum, Jining Han, Kishor Laud, Olga Lubovitsky, Elaine Kant, Curt Randall:
Implementing option-pricing models using software synthesis. Comput. Sci. Eng. 1(6): 54-64 (1999)

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