4 citations · 5 across the 6 of their papers we have counts for
7 papers · 1 filter
Magic strikes for variance and gamma contracts, and other attainable claims
Florian Bourgey, Jim Gatheral
Building on the forest expansion of Alòs, Gatheral and Radoičić and on the explicit Bergomi-Guyon smile expansion derived by Bourgey and Gatheral (2026), we derive fixed-point appr…
Demystifying the Bergomi-Guyon expansion
Florian Bourgey, Jim Gatheral
Alòs, Gatheral and Radoičić derived the Bergomi-Guyon expansion of the implied variance smile from the forest expansion of the cumulant generating function. Its coefficients are su…
Computing the SSR
Peter K. Friz, Jim Gatheral
The skew-stickiness-ratio (SSR), examined in detail by Bergomi in his book, is critically important to options traders, especially market makers. We present a model-free expression…
Diamonds and forward variance models
Peter Friz, Jim Gatheral
In this non-technical introduction to diamond trees and forests, we focus on their application to computation in stochastic volatility models written in forward variance form, roug…
A rough SABR formula
Masaaki Fukasawa, Jim Gatheral
Following an approach originally suggested by Balland in the context of the SABR model, we derive an ODE that is satisfied by normalized volatility smiles for short maturities unde…
The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem
Jim Gatheral, Paul Jusselin, Mathieu Rosenbaum
Fitting simultaneously SPX and VIX smiles is known to be one of the most challenging problems in volatility modeling. A long-standing conjecture due to Julien Guyon is that it may…
Affine forward variance models
Jim Gatheral, Martin Keller-Ressel
We introduce the class of affine forward variance (AFV) models of which both the conventional Heston model and the rough Heston model are special cases. We show that AFV models can…