Jim Gatheral

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1	Rough Volatility Jim Gatheral Baruch College (Dated: February 19, 2015) Starting from the observation that increments of the log-realized-volatility possess a remarkably simple scaling property, we show that log-volatili Add to Reading List Source URL: www.columbia.edu Language: English - Date: 2015-02-09 00:05:09 Statistics Volatility Stochastic volatility Hurst exponent Variance swap Volatility smile Implied volatility Mathematical finance Finance Financial economics
2	Join us at the OptionMetrics Research Conference! October 20, 2014 in New York, NY Register now for a discounted rate! Early bird registration ends on September 25th! OptionMetrics cordially invites you to attend the 201 Add to Reading List Source URL: www.efmaefm.org Language: English - Date: 2014-10-11 14:00:01 Jim Gatheral Finance Science Baruch College Volatility Implied volatility Computational finance Quantitative analyst Bruno Dupire Mathematical finance Mathematical sciences Year of birth missing
3	SIAM Activity Group on Financial Mathematics and Financial Engineering (SIAG/FME) BUSINESS MEETING July 10, 2012, 7:30 pm Add to Reading List Source URL: siam.org Language: English - Date: 2012-07-17 15:07:01 Mathematical finance Nicole El Karoui FME Jim Gatheral