Dr. Jim Gatheral is Presidential Professor of Mathematics at Baruch College, CUNY, teaching mostly courses in the Masters of Financial Engineering (MFE) program.
Prior to joining the faculty of Baruch College, Jim was involved in all of the major derivative product areas as bookrunner, risk manager, and quantitative analyst in London, Tokyo and New York, in a career in the financial industry that spanned over 27 years.
Jim has served as a Managing Editor of the International Journal of Theoretical and Applied Finance and as Associate Editor of the SIAM Journal on Financial Mathematics; he currently serves as Joint Editor-in-Chief of Quantitative Finance with Michael Dempster.
His current research focus is on volatility modeling and modeling equity market microstructure for algorithmic trading. Jim (along with Mathieu Rosenbaum) was awarded 2021 ‘Quant of the Year’ by RISK Magazine for his recent work on ‘rough volatility’ modeling.
Jim is also a frequent speaker at both practitioner and academic conferences around the world. His best-selling book, The Volatility Surface: A Practitioner’s Guide (Wiley 2006) is one of the standard references on the subject of volatility modeling.
He received his Ph.D. in theoretical physics from Cambridge University.