Mat Study Guide for Trading for a Living: In the second lecture Gatyeral will show how to calibrate the widely-used SVI parameterization of the implied volatility surface in such a way as to guarantee the absence of static arbitrage. More recently his work has moved in the direction of market microstructureespecially as applied to algorithmic trading. Jum to Know Us. Implied Volatility in the Heston Model. Jim Gatheral is a researcher in the field of mathematical financewho has contributed to the study of volatility as applied to the pricing and risk jkm of derivatives. Damodaran on Valuation Aswath Damodaran.
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A native of Scotland, he attended the University of Glasgow as an undergraduate, where he majored in Mathematics and Natural Philosophy. Proving -- and, in his case, disproving -- scientific theories interested him enough to pursue and complete that PhD.
However a brief peek into the banking world in his final year of undergraduate work continued to creep back into his mind as he neared the end of his studies. It was an on-site visit from international banking industry professionals at Glasgow, his first real look into the business world, that planted the seed of possibility.
Previously, his work spanned the trading and banking worlds, working out of London, Tokyo, and finally New York. What does it mean to be a top quant? Gatheral considers with a smile. He remains an active and cited researcher in the field. Following the U. So even though employment has fallen, the proportion of employment in the financial industry that requires fairly advanced training in quantitative techniques is growing. Baruch MFE alum and now instructor in the program, Eugene Krel, helped prepare the team with the advisement of other department faculty, including Prof.
Gatheral, who took part in strategy sessions. Gatheral sees one of his key contributions as being his ability to help students digest difficult material while stressing practical applications.
With each new class, he selects references from the latest research that will be useful to students in their later careers. Although Gatheral has the business savvy, ambition, and range of interests to be a qualified leader in many fields, the pull of his research — and what the academic world is able to offer in support of it — has always been there.
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JIM GATHERAL PDF