Search Results - "Gatheral, Jim"

TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS by Gatheral, Jim, Schied, Alexander, Slynko, Alla

“…We consider the linear‐impact case in the continuous‐time market impact model with transient price impact proposed by Gatheral. In this model, the absence of…”
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ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS by Gatheral, Jim, Hsu, Elton P., Laurence, Peter, Ouyang, Cheng, Wang, Tai-Ho

“…Using an expansion of the transition density function of a one‐dimensional time inhomogeneous diffusion, we obtain the first‐ and second‐order terms in the…”
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Marco Avellaneda: Mathematician and trader by Gatheral, Jim

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Volatility is rough by Gatheral, Jim, Jaisson, Thibault, Rosenbaum, Mathieu

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No-dynamic-arbitrage and market impact by Gatheral, Jim

“…Starting from a no-dynamic-arbitrage principle that imposes that trading costs should be non-negative on average and a simple model for the evolution of market…”
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Arbitrage-free SVI volatility surfaces by Gatheral, Jim, Jacquier, Antoine

“…In this article, we show how to calibrate the widely used SVI parameterization of the implied volatility smile in such a way as to guarantee the absence of…”
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Pricing under rough volatility by Bayer, Christian, Friz, Peter, Gatheral, Jim

“…From an analysis of the time series of realized variance using recent high-frequency data, Gatheral et al. [Volatility is rough, 2014] previously showed that…”
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Special issue of Quantitative Finance in honor of Michael Dempster's 85th birthday by Gatheral, Jim, Tehranchi, Mike

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Affine forward variance models by Gatheral, Jim, Keller-Ressel, Martin

“…We introduce the class of affine forward variance (AFV) models of which both the conventional Heston model and the rough Heston model are special cases. We…”
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Valuation of volatility derivatives as an inverse problem by Friz, Peter, Gatheral, Jim

“…Ground-breaking recent work by Carr and Lee extends well-known results for variance swaps to arbitrary functions of realized variance, provided a…”
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Optimal execution with non-linear transient market impact by Curato, Gianbiagio, Gatheral, Jim, Lillo, Fabrizio

“…We study the problem of the optimal execution of a large trade in the propagator model with non-linear transient impact. From brute force numerical…”
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A generalization of the rational rough Heston approximation by Gatheral, Jim, Radoičić, Radoš

“…Previously, in Gatheral and Radoičić (Rational approximation of the rough Heston solution. Int. J. Theor. Appl. Finance, 2019, 22(3), 1950010), we derived a…”
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Exponentiation of conditional expectations under stochastic volatility by Alòs, Elisa, Gatheral, Jim, Radoičić, Radoš

“…We use the Itô Decomposition Formula (see Alòs [A decomposition formula for option prices in the Heston model and applications to option pricing approximation…”
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In memoriam Marco Avellaneda by Dempster, Michael, Gatheral, Jim

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In Memoriam Mardi Dungey by Dempster, Michael, Gatheral, Jim

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In memoriam Peter Carr by Dempster, Michael, Gatheral, Jim

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Convergence of Heston to SVI by Gatheral, Jim, Jacquier, Antoine

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Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact by Curato, Gianbiagio, Gatheral, Jim, Lillo, Fabrizio

“…•Optimal execution problem in presence of a concave instantaneous market impact.•Application of the homotopy analysis method to a weakly singular Urysohn…”
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Fast Ninomiya-Victoir calibration of the double-mean-reverting model by Bayer, Christian, Gatheral, Jim, Karlsmark, Morten

“…We consider the three-factor double mean reverting (DMR) option pricing model of Gatheral [Consistent Modelling of SPX and VIX Options, 2008], a model which…”
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The Zumbach effect under rough Heston by El Euch, Omar, Gatheral, Jim, Radoičić, Radoš, Rosenbaum, Mathieu

“…Previous literature has identified an effect, dubbed the Zumbach effect, that is nonzero empirically but conjectured to be zero in any conventional stochastic…”
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