Olivia Auster

Olivia Auster Email and Phone Number

PhD Student in Mathematics & Founder @ Queen Mary University of London
Olivia Auster's Location
United Kingdom, United Kingdom
Olivia Auster's Contact Details

Olivia Auster personal email

About Olivia Auster

Olivia is a PhD student in Mathematics at Queen Mary University of London. Her main research interests are in Random Matrix Theory and related fields such as Probability Theory, Stochastic Analysis and Linear Algebra. She is the founder of MV&H Model Validation and Harmonisation Ltd, a company dedicated to the validation of scientific models and the harmonisation of procedures. She was a senior quantitative analyst specialised in equity and commodity derivatives with knowledge of all other asset classes. Her professional experience within investment banks and a utility energy company gave her the opportunity to deal with pure financial assets as well as with physical ones.Her skills and research interests in applied mathematics, probability theory, and multivariate statistics grant her the capacity to achieve various projects related to modelling and pricing for portfolio management, trading, and risk management purposes.She holds a master’s degree in applied mathematics and scientific computing (numerical analysis, stochastic analysis, solid and fluid mechanics, optimisation methods, and analysis) from Sup Galilee French engineering school, a postgraduate degree in finance from HEC Paris as well as an undergraduate degree in mathematics, theoretical physics, and computer science from Sorbonne Paris Nord University.Olivia is passionate about music and takes photos from time to time.

Olivia Auster's Current Company Details
Queen Mary University of London

Queen Mary University Of London

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PhD Student in Mathematics & Founder
Olivia Auster Work Experience Details
  • Queen Mary University Of London
    Teaching Associate
    Queen Mary University Of London Oct 2024 - Present
    London Area, United Kingdom
    Mathematics
  • Mv&H
    Founder
    Mv&H Mar 2021 - Present
    London, England, United Kingdom
  • Bnp Paribas
    Senior Quantitative Analyst
    Bnp Paribas Sep 2017 - Aug 2019
    London, United Kingdom
    Stochastic modelling of equity stock and commodity prices self-assessment for counterparty credit risk purposes including documentation and implementation review to ensure compliance with the model risk governance framework in placeCommunication with the model validation team in this regard
  • Credit Suisse
    Quantitative Analyst
    Credit Suisse Jun 2014 - May 2017
    London, United Kingdom
    Quantitative research and implementation for stochastic modelling of equity prices in regards to counterparty credit risk managementEquity derivatives pricing for counterparty credit risk purposesModel review, documentation and validation remediation to ensure compliance with the model risk governance frameworkAnalyses for regulatory submissions of model changes and introduction of new modelsReview and interpretation of results related to ongoing model performance testsCommunication with the front office quantitative analysis team and the model validation teamManagement of several consultants for these purposes
  • Credit Suisse
    Quantitative Risk Analyst
    Credit Suisse Jul 2013 - Jun 2014
    London, United Kingdom
    Cross-asset risk analyses for counterparty credit risk purposesAnalyses for trade approvalsQuantitative support and implementation of analytical applications from scratch
  • Barclays Investment Bank
    Quantitative Analyst
    Barclays Investment Bank May 2012 - Jun 2012
    London, United Kingdom
    Research and prototyping of risk management models for counterparty credit risk purposes
  • Bank Of America Merrill Lynch
    Exotic Equity Derivatives Quant
    Bank Of America Merrill Lynch Oct 2009 - Nov 2011
    London, United Kingdom
    Implementation of specific quantitative library components maintained by the front office equity quantitative analytics groupQuantitative support and enhancement of analytical applications for the exotic equity index and single stocks trading desks
  • Engie
    Commodity Quantitative Analyst
    Engie Jan 2008 - Mar 2009
    Paris Area, France
    Communication with the quantitative research team for model validation and review proceduresStochastic models validation of legacy systems for the simulation of energy commodity prices and those used to optimise medium to long-term power generation strategies of physical assetsCooperation with portfolio managersQuantitative support and implementation of analytical applications for the investigation of energy markets risks
  • Hsbc
    Equity Quantitative Developer
    Hsbc May 2007 - Dec 2007
    Paris, Île-De-France, France
    Quantitative support and implementation of additional functionalities to existing analytical applications designed for the equity structuring desk
  • La Banque Postale Asset Management
    Cross-Asset Quantitative Analyst
    La Banque Postale Asset Management Jan 2006 - Mar 2007
    Paris, Île-De-France, France
    Quantitative research and implementation of stochastic modelsPricing of financial derivatives
  • La Banque Postale Asset Management
    Quantitative Analyst
    La Banque Postale Asset Management Jul 2005 - Dec 2005
    Paris, Île-De-France, France
    Study of stochastic and econometric models for the simulation and forecasting of equity volatilityPricing of volatility derivatives
  • Euronext
    Index Designer
    Euronext May 2004 - Sep 2004
    Paris, Île-De-France, France
    Design and review of Euronext stock market indices in the context of Paris stock exchange restructuring

Olivia Auster Education Details

Frequently Asked Questions about Olivia Auster

What company does Olivia Auster work for?

Olivia Auster works for Queen Mary University Of London

What is Olivia Auster's role at the current company?

Olivia Auster's current role is PhD Student in Mathematics & Founder.

What is Olivia Auster's email address?

Olivia Auster's email address is ol****@****ail.com

What schools did Olivia Auster attend?

Olivia Auster attended Queen Mary University Of London, Hec Paris, Sup Galilée, Université Sorbonne Paris Nord.

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