These lectures will survey recent work on the parameterization of volatility surfaces and the modeling of their dynamics. After reviewing the basics of volatility modeling, I will motivate the SVI "stochastic volatility inspired" parameterization of the volatility surface. I will show how to fit SVI to option prices whilst ensuring no static arbitrage. We will see that volatility surfaces have a characteristic shape that is not well described by conventional Markovian stochastic volatility models, with or without jumps.
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Follow this author. New articles by this author. New citations to this author. New articles related to this author's research. Email address for updates. My profile My library Metrics Alerts. Sign in. Get my own profile Cited by View all All Since Citations h-index 26 19 iindex 37 Peter K. Roel Oomen Deutsche Bank Verified email at db. Dan Stefanica Baruch College Verified email at baruch.
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Help Privacy Terms. No-dynamic-arbitrage and market impact J Gatheral Quantitative finance 10 7 , , Valuation of volatility derivatives as an inverse problem P Friz, J Gatheral Quantitative Finance 5 6 , ,
Prof. Jim GATHERAL (Baruch College, City University of New York)
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. A recurrent subject in his books and papers is the volatility smile , and he published in a book The Volatility Surface based on a course he taught for six years at New York University , along with Nassim Taleb. More recently his work has moved in the direction of market microstructure , especially as applied to algorithmic trading. In March ,  Jim Gatheral left his position at Merrill Lynch to assume a tenured full professor position at the Financial Engineering Masters Program  at Baruch College ,  where he is teaching volatility surface modeling and market microstructure. Prior to this, he worked at Bank of America and Bankers Trust  before heading the Equity Quantitative Analytics group at Merrill Lynch in , where he was a managing director for 17 years. From Wikipedia, the free encyclopedia.
The Department of Mathematics