Jim Gatheral
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Jim Gatheral is a managing director at Merrill Lynch, and a professor at the Courant Institute of Mathematical Sciences, New York University.
He has a PhD in theoretical physics from Cambridge University (1983).
He headed the Equity Quantitative Analytics group in Merrill Lynch from 1997 to 2006,
A recurrent subject in his books and papers is the volatility smile, and he published in 2006 a book 'The volatility surface' based on a course he taught for 6 years at New York University, along with Nassim Taleb.
His homepage at New York University.
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