The volatility surface: a practitioner's guide J Gatheral John Wiley & Sons, 2006 | 1650* | 2006 |
Volatility is rough J Gatheral, T Jaisson, M Rosenbaum Commodities, 659-690, 2022 | 881 | 2022 |
Pricing under rough volatility C Bayer, P Friz, J Gatheral Quantitative Finance 16 (6), 887-904, 2016 | 543 | 2016 |
No-dynamic-arbitrage and market impact J Gatheral Quantitative finance 10 (7), 749-759, 2010 | 443 | 2010 |
Exponentiation of eikonal cross sections in nonabelian gauge theories JGM Gatheral Physics Letters B 133 (1-2), 90-94, 1983 | 417 | 1983 |
Arbitrage-free SVI volatility surfaces J Gatheral, A Jacquier Quantitative Finance 14 (1), 59-71, 2014 | 279 | 2014 |
Optimal trade execution under geometric Brownian motion in the Almgren and Chriss framework J Gatheral, A Schied International Journal of Theoretical and Applied Finance 14 (03), 353-368, 2011 | 241 | 2011 |
A parsimonious arbitrage-free implied volatility parameterization with application to the valuation of volatility derivatives J Gatheral Presentation at Global Derivatives & Risk Management, Madrid, 0, 2004 | 199 | 2004 |
Transient linear price impact and Fredholm integral equations J Gatheral, A Schied, A Slynko Mathematical Finance: An International Journal of Mathematics, Statistics …, 2012 | 195 | 2012 |
Asymptotics of implied volatility in local volatility models J Gatheral, EP Hsu, P Laurence, C Ouyang, TH Wang Mathematical Finance: An International Journal of Mathematics, Statistics …, 2012 | 194 | 2012 |
Dynamical models of market impact and algorithms for order execution J Gatheral, A Schied Handbook on Systemic Risk, Jean-Pierre Fouque, Joseph A. Langsam, eds, 579-599, 2013 | 164 | 2013 |
Consistent modeling of SPX and VIX options J Gatheral Bachelier congress 37, 39-51, 2008 | 132 | 2008 |
Zero-intelligence realized variance estimation J Gatheral, RCA Oomen Finance and Stochastics 14 (2), 249-283, 2010 | 130 | 2010 |
Convergence of Heston to SVI J Gatheral, A Jacquier Quantitative Finance 11 (8), 1129-1132, 2011 | 102 | 2011 |
Affine forward variance models J Gatheral, M Keller-Ressel Finance and Stochastics 23, 501-533, 2019 | 87 | 2019 |
Valuation of volatility derivatives as an inverse problem P Friz, J Gatheral Quantitative Finance 5 (6), 531-542, 2005 | 84 | 2005 |
Roughening heston O El Euch, J Gatheral, M Rosenbaum Risk, 84-89, 2019 | 75 | 2019 |
The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem J Gatheral, P Jusselin, M Rosenbaum arXiv preprint arXiv:2001.01789, 2020 | 70 | 2020 |
Optimal execution with non-linear transient market impact G Curato, J Gatheral, F Lillo Quantitative Finance 17 (1), 41-54, 2017 | 60 | 2017 |
Rational approximation of the rough Heston solution J Gatheral, R Radoičić International Journal of Theoretical and Applied Finance 22 (03), 1950010, 2019 | 56 | 2019 |