Baruch Professor Jim Gatheral Named “Quant of the Year”Earns a 2021 Risk Award, the longest running, most prestigious recognition for firms and individuals involved in the global derivatives markets and in risk management
February 25, 2021
Jim Gatheral, a Presidential Professor of mathematics at Baruch College’s Weissman School of Arts and Sciences, won a 2021 Risk Award and was named “Quant of the Year” by Risk.net, a leading trade publication covering the financial industry. Professor Gatheral was recognized alongside Mathieu Rosenbaum, a professor of probability and finance at École Polytechnique in Paris, for their work to develop new and improved methods of modeling volatility, a key metric of financial markets.
Their models, called “rough volatility models,” analyze high-frequency trading data to produce a fair price for a group of financial instruments known as options, which are versatile products regularly used by hedge funds, market-makers, banks, and other investors to navigate price fluctuations in underlying assets and securities.
Professors Gatheral and Rosenbaum first introduced the new models in a working paper published in 2014, and rough volatility has quickly grown into an active and flourishing branch of research since, with well over a hundred new papers published.
“I am deeply honored to receive the Quant of the Year Award together with Mathieu Rosenbaum. Rough volatility has finally found acceptance as the right way to model volatility, and people are actually using it in practice. It’s a great feeling to see this theory come of age,” Professor Gatheral said.
An Industry Expert Makes “An Instant Impact” on Students
Professor Gatheral joined Baruch’s faculty in 2010 after a distinguished, successful career in finance, which included a managing director position at Merrill Lynch for 17 years, and Bankers Trust for seven years, explained Dan Stefanica, PhD, co-director of Weissman’s Master of Financial Engineering Program (MFE).
“We are looking forward to the next chapters of Jim’s work, both in research and with our Baruch MFE students, said Professor Stefanica. “A marvelous educator, Jim had an instant impact on the professional growth and success of our students, and our alumni endowed the Jim Gatheral Excellence Scholarship in 2017 in recognition of Jim’s contribution to their success.”
Indeed, rough volatility easily made its way into Baruch’s classrooms, where Professor Gatheral regularly includes the theory in his course, “The Volatility Surface.” Speaking about his approach to teaching, he said “The finance industry is one where there are extremely close links between academics and practitioners.
“It is really a great pleasure to see my students succeed in the world of quantitative finance armed with the technical skills and approaches to continuous learning that are taught in the Baruch MFE program. Indeed, some of them grow to love quantitative finance so much as an intellectual pursuit that I could see them teaching it in the future.”
About The Risk Awards
According to Risk.net, “The Risk Awards are the longest-running and most prestigious awards for firms and individuals involved in the global derivatives markets and in risk management.” The Quant of the Year is selected by the editorial team based on papers submitted to the publication within the past 12 months. The professors were selected as winners of this year’s award based on a paper published on Risk.net in April of 2020, “The Quadratic Rough Heston Model and the Joint S&P 500/Vix Smile Calibration Problem.” For more information about The Risk Awards, please see here.