Implementing option-pricing models using software synthesis. - James Gatheral; Yonathan Epelbaum; Jining Han; Kishor Laud; Olga Lubovitsky; Elaine Kant; Curt Randall (Comput. Sci. Eng., 1999)

Zero-intelligence realized variance estimation. - Jim Gatheral; Roel C. A. Oomen (Finance Stochastics, 2010)

Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact. - Gianbiagio Curato; Jim Gatheral; Fabrizio Lillo (Commun. Nonlinear Sci. Numer. Simul., 2016)

Short-Term At-the-Money Asymptotics under Stochastic Volatility Models. - Omar El Euch; Masaaki Fukasawa; Jim Gatheral; Mathieu Rosenbaum (SIAM J. Financial Math., 2019)