- Jim Gatheral
Jim Gatheral is a managing director at
Merrill Lynch , and a professor at the Courant Institute of Mathematical Sciences,New York University .He has a
PhD intheoretical physics fromCambridge University (1983), and a B.Sc. in Mathematics and Natural Philosophy from theUniversity of Glasgow .He headed the Equity Quantitative Analytics group in Merrill Lynch from 1997 to 2006,
A recurrent subject in his books and papers is the
volatility smile , and he published in 2006 a book 'The volatility surface' based on a course he taught for 6 years at New York University, along withNassim Taleb .External links
* [http://math.nyu.edu/fellows_fin_math/gatheral/gatheral.htm Homepage] at New York University
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