Baruch MFE Baruch MFE's Jim Gatheral - 2021 Risk Quant of the Year!


Baruch MFE Director
It is thrilling to let you know that our colleague Jim Gatheral was named 2021 Risk Quant of the Year by, along with Mathieu Rosenbaum, in recognition of their work on rough volatility.

Jim joined our Baruch MFE Program in 2010 from Merrill Lynch after a long and distinguished career in finance and has been Presidential Professor at Baruch College since 2012. A marvelous educator, Jim had an instant impact on the professional growth and success of our students, who endowed the Jim Gatheral Excellence Scholarship in 2017 in recognition of Jim's contribution to their success. Jim's research career, foretold by his best-selling "Volatility Surface" monograph published while working in the industry, has been nothing short of amazing. With wonderful taste in topics and great intuition, Jim collaborates with researchers on three continents. In particular, rough volatility has grown into a very active and flourishing branch of research, with well over a hundred new papers appearing since his initial paper with Jaisson and Rosenbaum.

Being named the 2021 Risk Quant of the Year is wonderful recognition for Jim's academic work. We are looking forward to the next chapters of Jim's work, both in research and with our Baruch MFE students.
“Now, I think H is typically closer to 0.05,” ... perhaps the age of multifractional Brownian motion is upon us. Thank you for sharing, Dr. Stefanica!