4 citations · 4 across the 2 of their papers we have counts for
2 papers
q-fin.MF2024
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…
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…