Jim Gatheral
Jim Gatheral | |
|---|---|
| Occupation(s) | Mathematical finance expert, professor |
| Years active | 1983–present |
| Known for | The Volatility Surface (2006) |
| Notable work | The Volatility Surface |
Jim Gatheral is an expert in mathematical finance, concentrating on the role of volatility in the valuation and risk management of derivative instruments. He is the author of The Volatility Surface (2006), a work inspired by a course he co-instructed with Nassim Taleb at New York University. His current research emphasizes market microstructure and algorithmic trading strategies.
In March 2010, Gatheral transitioned from Merrill Lynch—where he served as managing director and led Equity Quantitative Analytics for 17 years—to accept a tenured full professorship within the Financial Engineering Masters Program at Baruch College. His prior professional experience includes positions at Bank of America and Bankers Trust, alongside a 12-year tenure as an adjunct professor at NYU's Courant Institute.
He was appointed Presidential Professor at Baruch College in April 2013. Later, in February 2021, Gatheral, together with Professor Mathieu Rosenbaum, received the 2021 Quant of the Year award from Risk.net.
Gatheral earned his PhD in theoretical physics from Cambridge University in 1983, following a B.Sc. degree in Mathematics and Natural Philosophy from the University of Glasgow.
