4 citations · 5 across the 6 of their papers we have counts for
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q-fin.TR2014★ 4 cited
Optimal execution with nonlinear transient market impact
Gianbiagio Curato, Jim Gatheral, Fabrizio Lillo
We study the problem of the optimal execution of a large trade in the presence of nonlinear transient impact. We propose an approach based on homotopy analysis, whereby a well beha…
q-fin.ST2014
Volatility is rough
Jim Gatheral, Thibault Jaisson, Mathieu Rosenbaum
Estimating volatility from recent high frequency data, we revisit the question of the smoothness of the volatility process. Our main result is that log-volatility behaves essential…