Jim Gatheral
- The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem
2020/01/06 by Jim Gatheral, Paul Jusselin, Gatheral, Jim +3 · 2 citations
Engineering · Materials Science · #3D Shape Modeling and Analysis #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Textile materials and evaluations
- Computing the SSR
2024/06/23 by Peter K. Friz, Jim Gatheral, Friz, Peter K. +1 · 1 citation
Biochemistry, Genetics and Molecular Biology · Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Computational Finance (q-fin.CP) #Diffusion and Search Dynamics #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Stochastic processes and financial applications