Gatheral, Jim

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Jim Gatheral is a managing director in Global Equities at Merrill Lynch and also an adjunct professor at the Courant Institute of Mathematical Sciences, New York University. He is the author of The Volatility Surface: A Practitioner's Guide, John Wiley & Sons, 2006. Since obtaining a PhD in theoretical physics from Cambridge University in 1983, Jim Gatheral has been involved in all of the major derivative product areas as bookrunner, risk manager, and quantitative analyst in London, Tokyo, and New York. From 1997 to 2005, he headed the Equity Quantitative Analytics group at Merrill Lynch. His current research focus is equity market microstructure and algorithmic trading.


  • August 2006, The Volatility Surface: A Practioner's Guide, by Jim Gatheral with foreword by Nassim Taleb, Wiley.
  • December 2005, Valuing Volatility Derivatives as an Inverse Problem, Peter Friz and Jim Gatheral, Quantitative Finance.
  • November 1999: Implementing Option Pricing Models Using Software Synthesis, James Gatheral et al., Computing in Science and Engineering
  • March 1997: Delta Hedging with Uncertain Volatility in Volatility in the Capital Markets: State-of-the-Art Techniques for Modeling, Managing, and Trading Volatility, Israel Nelken (ed), Glenlake Publishing Company