Jim Gatheral

Jim Gatheral is a researcher in the field of Mathematical finance, who has contributed to the study of volatility as applied to the pricing and risk management of derivatives. He received his PhD in theoretical physics from Cambridge University (1983), and a B.Sc. in Mathematics and Natural Philosophy from the University of Glasgow. He worked at Bank of America and Bankers Trust before heading the Equity Quantitative Analytics group at Merrill Lynch in 1996, where he was a managing director for 17 years. In 1998 he became a fellow of the Masters Program of Mathematics in Finance at the Courant Institute of Mathematical Sciences of New York University, where he was an adjunct professor for 12 years. In March 2010, Jim Gatheral left his...