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Optimal trade execution under geometric Brownian motion in the Almgren and Chriss framework
Gatheral, Jim; Schied, Alexander - In: International journal of theoretical and applied finance 14 (2011) 3, pp. 353-368
Persistent link: https://www.econbiz.de/10009154914
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The heat-kernel most-likely-path approximation
Gatheral, Jim; Wang, Tai-Ho - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10009541999
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Rational approximation of the rough Heston solution
Gatheral, Jim; Radoičić, Radoš - In: International journal of theoretical and applied finance 22 (2019) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10012019824
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Tighter bounds for implied volatility
Gatheral, Jim; Matić, Ivan; Radoičić, Radoš; … - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-14
Persistent link: https://www.econbiz.de/10011733970