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.
More recently his work has moved in the direction of market microstructure, especially as applied to algorithmic trading.
ISBN 0471792519) In March 2010,[1] Jim Gatheral left his position at Merrill Lynch to assume a tenured full professor position at the Financial Engineering Masters Program[2] at Baruch College,[3] 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 1996, where he was a managing director for 17 years.
In February 2021, together with Professor Mathieu Rosenbaum of École Polytechnique, Jim Gatheral was named 2021 Quant of the Year by Risk.net.