1

Volatility is rough

Gatheral, Jim, Jaisson, Thibault, Rosenbaum, Mathieu
Journal:
Quantitative Finance
Year:
2018
Language:
english
File:
PDF, 4.27 MB
english, 2018
2

Arbitrage-free SVI volatility surfaces

Gatheral, Jim, Jacquier, Antoine
Journal:
Quantitative Finance
Year:
2014
Language:
english
File:
PDF, 574 KB
english, 2014
3

Pricing under rough volatility

Bayer, Christian, Friz, Peter, Gatheral, Jim
Journal:
Quantitative Finance
Year:
2015
Language:
english
File:
PDF, 3.74 MB
english, 2015
4

The Volatility Surface (A Practitioner's Guide) || The Implied Volatility Surface

Gatheral, Jim
Year:
2012
Language:
english
File:
PDF, 655 KB
english, 2012
6

Optimal execution with non-linear transient market impact

Curato, Gianbiagio, Gatheral, Jim, Lillo, Fabrizio
Journal:
Quantitative Finance
Year:
2016
Language:
english
File:
PDF, 932 KB
english, 2016
7

ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS

Jim Gatheral, Elton P. Hsu, Peter Laurence, Cheng Ouyang, Tai-Ho Wang
Journal:
Mathematical Finance
Year:
2012
Language:
english
File:
PDF, 324 KB
english, 2012
8

Valuation of volatility derivatives as an inverse problem

Friz, Peter, Gatheral, Jim
Journal:
Quantitative Finance
Year:
2005
Language:
english
File:
PDF, 239 KB
english, 2005
9

No-dynamic-arbitrage and market impact

Gatheral, Jim
Journal:
Quantitative Finance
Year:
2010
Language:
english
File:
PDF, 249 KB
english, 2010
10

Zero-intelligence realized variance estimation

Jim Gatheral, Roel C. A. Oomen
Journal:
Finance and Stochastics
Year:
2010
Language:
english
File:
PDF, 800 KB
english, 2010
11

The Zumbach effect under rough Heston

El Euch, Omar, Gatheral, Jim, Radoičić, Radoš, Rosenbaum, Mathieu
Journal:
Quantitative Finance
Year:
2019
Language:
english
File:
PDF, 806 KB
english, 2019
12

Fast Ninomiya–Victoir calibration of the double-mean-reverting model

Bayer, Christian, Gatheral, Jim, Karlsmark, Morten
Journal:
Quantitative Finance
Year:
2013
Language:
english
File:
PDF, 1.64 MB
english, 2013
13

Convergence of Heston to SVI

Gatheral, Jim, Jacquier, Antoine
Journal:
Quantitative Finance
Year:
2011
Language:
english
File:
PDF, 120 KB
english, 2011
16

The Volatility Surface (A Practitioner's Guide) || Stochastic Volatility and Local Volatility

Gatheral, Jim
Year:
2012
Language:
english
File:
PDF, 237 KB
english, 2012
17

THE HEAT-KERNEL MOST-LIKELY-PATH APPROXIMATION

GATHERAL, JIM, WANG, TAI-HO
Journal:
International Journal of Theoretical and Applied Finance
Year:
2012
Language:
english
File:
PDF, 279 KB
english, 2012
18

TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS

Jim Gatheral, Alexander Schied, Alla Slynko
Journal:
Mathematical Finance
Year:
2012
Language:
english
File:
PDF, 260 KB
english, 2012
19

Pricing Under Rough Volatility

Bayer, Christian, Friz, Peter K., Gatheral, Jim
Journal:
SSRN Electronic Journal
Year:
2015
Language:
english
File:
PDF, 1.74 MB
english, 2015
20

Exponentiation of conditional expectations under stochastic volatility

Alòs, Elisa, Gatheral, Jim, Radoičić, Radoš
Journal:
Quantitative Finance
Year:
2019
Language:
english
File:
PDF, 544 KB
english, 2019
21

Roughening Heston

El Euch, Omar, Gatheral, Jim, Rosenbaum, Mathieu
Journal:
SSRN Electronic Journal
Year:
2018
File:
PDF, 456 KB
2018
24

Arbitrage-free SVI Volatility Surfaces

Gatheral, Jim, Jacquier, Antoine
Journal:
SSRN Electronic Journal
Year:
2012
Language:
english
File:
PDF, 2.50 MB
english, 2012
25

The Volatility Surface (A Practitioner's Guide) || Volatility Derivatives

Gatheral, Jim
Year:
2012
Language:
english
File:
PDF, 342 KB
english, 2012
26

The Volatility Surface (A Practitioner's Guide) || The Heston Model

Gatheral, Jim
Year:
2012
Language:
english
File:
PDF, 164 KB
english, 2012
27

On stability of intermediate order statistics

Ursula Gather, Jim Tomkins
Journal:
Journal of Statistical Planning and Inference
Year:
1995
Language:
english
File:
PDF, 314 KB
english, 1995
28

The Volatility Surface (A Practitioner's Guide) || The Heston-Nandi Model

Gatheral, Jim
Year:
2012
Language:
english
File:
PDF, 114 KB
english, 2012
29

The Volatility Surface (A Practitioner's Guide) || Exotic Cliquets

Gatheral, Jim
Year:
2012
Language:
english
File:
PDF, 140 KB
english, 2012
30

The Volatility Surface (A Practitioner's Guide) || Adding Jumps

Gatheral, Jim
Year:
2012
Language:
english
File:
PDF, 551 KB
english, 2012
31

The Volatility Surface (A Practitioner's Guide) || Modeling Default Risk

Gatheral, Jim
Year:
2012
Language:
english
File:
PDF, 282 KB
english, 2012
33

The Volatility Surface (A Practitioner's Guide) || Volatility Surface Asymptotics

Gatheral, Jim
Year:
2012
Language:
english
File:
PDF, 226 KB
english, 2012
34

The Volatility Surface (A Practitioner's Guide) || Dynamics of the Volatility Surface

Gatheral, Jim
Year:
2012
Language:
english
File:
PDF, 99 KB
english, 2012
35

Fast Ninomiya-Victoir Calibration of the Double-Mean-Reverting Model

Bayer, Christian, Gatheral, Jim, Karlsmark, Morten
Journal:
SSRN Electronic Journal
Year:
2013
Language:
english
File:
PDF, 622 KB
english, 2013
36

The Volatility Surface (A Practitioner's Guide) || Barrier Options

Gatheral, Jim
Year:
2012
Language:
english
File:
PDF, 133 KB
english, 2012
38

Exponentiation of Conditional Expectations Under Stochastic Volatility

Alos, Elisa, Gatheral, Jim
Journal:
SSRN Electronic Journal
Year:
2017
Language:
english
File:
PDF, 210 KB
english, 2017
39

The Volatility Surface (A Practitioner's Guide) || Index

Gatheral, Jim
Year:
2012
Language:
english
File:
PDF, 97 KB
english, 2012
40

Optimal Execution with Nonlinear Transient Market Impact

Curato, Gianbiagio, Gatheral, Jim, Lillo, Fabrizio
Journal:
SSRN Electronic Journal
Year:
2014
Language:
english
File:
PDF, 369 KB
english, 2014