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Jim Gatheral
ORCID
Publication Activity (10 Years)
Years Active: 2010-2019
Publications (10 Years): 2
Top Topics
Short Term
Arima Model
Electric Load Forecasting
Piecewise Linear
Top Venues
SIAM J. Financial Math.
Commun. Nonlinear Sci. Numer. Simul.
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Publications
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Omar El Euch
,
Masaaki Fukasawa
,
Jim Gatheral
,
Mathieu Rosenbaum
Short-Term At-the-Money Asymptotics under Stochastic Volatility Models.
SIAM J. Financial Math.
10 (2) (2019)
Gianbiagio Curato
,
Jim Gatheral
,
Fabrizio Lillo
Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact.
Commun. Nonlinear Sci. Numer. Simul.
39 (2016)
Jim Gatheral
,
Roel C. A. Oomen
Zero-intelligence realized variance estimation.
Finance Stochastics
14 (2) (2010)