Nobody would blame Jim Gatheral if he had spent more time than usual in his Merrill Lynch's office yesterday. It was his last day at the firm where he has been Managing Director for the last 17 years.
Jim Gatheral, one of the top quants in the world and author of the best selling book The Volatility Surface: A Practitioner's Guide is joining the Baruch MFE program as a full-time tenured professor in the Math Department in Aug, the program announced via email and on Twitter yesterday.
The latest hiring caps off several recent high-profile faculty additions by the Baruch MFE program. In January, the program announced on its Twitter's page the hiring of Ken Abbott, Managing Director of Market Risk at Morgan Stanley who is teaching Risk Management in the program this semester. The program's website also lists Attilio Meucci among its latest faculty. Mr. Meucci, researcher at Bloomberg LLP., is headlining the 2010 Advanced Risk and Portfolio Management bootcamp (ARPM) at Baruch College, following the successful event last year.
When reached by email for comment, Dan Stefanica, Director of the Baruch MFE program confirmed the hiring of Jim Gatheral. According to Stefanica, Gatheral will teach two courses in the program; The Volatility Surface (in the Fall semester) and Mathematical Market Microstructure (in the Spring semester). "Dr. Gatheral will be teaching courses regularly in our program, on topics which are of interest to him, such as volatility surface modeling and market microstructure." - said Dan Stefanica.
According to Jim Gatheral's Wikipedia entry, his work has moved in the direction of Market Microstructure, especially as applied to Algorithmic Trading. This lead QuantNet to speculate about a future course offering in Algorithmic Trading at Baruch MFE. However, at this point, this has not been confirmed by the program.
In an email to QuantNet, Dan Stefanica explains the benefit of having Jim Gatheral in the program. "Being able to learn from a top practitioner who worked both on the trading side and on the modeling side represent a unique opportunity for our current and future students, as well as for our alumni who regularly take courses in our program." - said Stefanica.
He also gave hints about more changes coming to the program. "Equally important, <span class="pullquote]our faculty is looking forward to working with Dr. Gatheral on various research projects, as well as on further developing the curriculum of the MFE Program.</span>" - the email continued.
When asked about Gatheral's immediate involvement with the Baruch MFE program, Dan Stefanica confirmed that Jim will spend the next few months attending conferences and working at Baruch as a visiting professor. He will officially become a full-time tenured professor in August.
Many of the new faculties who join Baruch MFE recently also taught at NYU Mathematics in Finance program. Ken Abbott teaches courses at Baruch MFE, NYU and Rutgers programs. Jim Gatheral and Attilio Meucci have taught at NYU until recently.
Jim Gatheral is not available for comment on this article.