Jim Gatheral is a researcher in the field of Mathematical finance

Mathematical finance

Mathematical finance is a field of applied mathematics, concerned with financial markets. The subject has a close relationship with the discipline of financial economics, which is concerned with much of the underlying theory. Generally, mathematical finance will derive and extend the mathematical...

, 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

Theoretical physics

Theoretical physics is a branch of physics which employs mathematical models and abstractions of physics to rationalize, explain and predict natural phenomena...

 from Cambridge University (1983), and a B.Sc. in Mathematics and Natural Philosophy from the University of Glasgow

University of Glasgow

The University of Glasgow is the fourth-oldest university in the English-speaking world and one of Scotland's four ancient universities. Located in Glasgow, the university was founded in 1451 and is presently one of seventeen British higher education institutions ranked amongst the top 100 of the...

.

He worked at Bank of America

Bank of America

Bank of America Corporation, an American multinational banking and financial services corporation, is the second largest bank holding company in the United States by assets, and the fourth largest bank in the U.S. by market capitalization. The bank is headquartered in Charlotte, North Carolina...

 and Bankers Trust

Bankers Trust

Bankers Trust was an historic American banking organization. The bank merged with Alex. Brown & Sons before being acquired by Deutsche Bank in 1998.-History:A consortium of banks created Bankers Trust to perform trust company services for their clients....

 before heading the Equity Quantitative Analytics group at Merrill Lynch

Merrill Lynch

Merrill Lynch is the wealth management division of Bank of America. With over 15,000 financial advisors and $2.2 trillion in client assets it is the world's largest brokerage. Formerly known as Merrill Lynch & Co., Inc., prior to 2009 the firm was publicly owned and traded on the New York...

 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

Courant Institute of Mathematical Sciences

The Courant Institute of Mathematical Sciences is an independent division of New York University under the Faculty of Arts & Science that serves as a center for research and advanced training in computer science and mathematics...

 of New York University

New York University

New York University is a private, nonsectarian research university based in New York City. NYU's main campus is situated in the Greenwich Village section of Manhattan...

, where he was an adjunct professor for 12 years.

In March 2010, Jim Gatheral left his position at Merrill Lynch to assume a tenured full professor position at the Financial Engineering Masters Program at Baruch College

Baruch College

Bernard M. Baruch College, more commonly known as Baruch College, is a constituent college of the City University of New York, located in the Flatiron district of Manhattan, New York City. With an acceptance rate of just 23%, Baruch is among the most competitive and diverse colleges in the nation...

, where he is teaching volatility surface modeling and market microstructure.

A recurrent subject in his books and papers is the volatility smile

Volatility Smile

In finance, the volatility smile is a long-observed pattern in which at-the-money options tend to have lower implied volatilities than in- or out-of-the-money options. The pattern displays different characteristics for different markets and results from the probability of extreme moves...

, and he published in 2006 a book 'The volatility surface' based on a course he taught for 6 years at New York University, along with Nassim Taleb

Nassim Taleb

Nassim Nicholas Taleb is a Lebanese American essayist whose work focuses on problems of randomness and probability. His 2007 book The Black Swan was described in a review by Sunday Times as one of the twelve most influential books since World War II....

. More recently his work has moved in the direction of Market microstructure

Market microstructure

Market microstructure is a branch of finance concerned with the details of how exchange occurs in markets. While the theory of market microstructure applies to the exchange of real or financial assets, more evidence is available on the microstructure of financial markets due to the availability of...

, especially as applied to Algorithmic Trading

Algorithmic trading

In electronic financial markets, algorithmic trading or automated trading, also known as algo trading, black-box trading or robo trading, is the use of electronic platforms for entering trading orders with an algorithm deciding on aspects of the order such as the timing, price, or quantity of the...

.

Book and publications

The Volatility Surface : A Practitioner's Guide

No-Dynamic-Arbitrage and Market Impact

Random Matrix Theory and Covariance Estimation