Jim Gatheral, Presidential Professor of Mathematics at Baruch College’s Weissman School of Arts and Sciences and University of Glasgow alumnus, was named “Quant of the Year” at the 2021 Risk Awards presented by Risk.net, a leading trade publication covering the financial industry. Professor Gatheral was recognised alongside Professor Mathieu Rosenbaum from the École Polytechnique in Paris for their work to develop new and improved methods of modelling volatility, a key metric of financial markets. 

Their models, called “rough volatility models”, analyse 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. 

“I am deeply honoured 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. 

Professor Gatheral graduated from the University of Glasgow with a BSc in Mathematics and Physics in 1979. He went on to have a successful career in finance, which included a Managing Director position at Merrill Lynch and Bankers Trust, before joining Baruch College in 2010.  

Illustration of Risk Awards Winners. Jim Gatheral is listed as Quant of the Year alongside Mathieu Rosenbaum.

Illustration credits to Risk.net

First published: 3 June 2021

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An image of Jim Gatheral smiling