Olivia Auster Email and Phone Number
Olivia Auster personal email
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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.
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Teaching AssociateQueen Mary University Of London Oct 2024 - PresentLondon Area, United KingdomMathematics -
FounderMv&H Mar 2021 - PresentLondon, England, United Kingdom -
Senior Quantitative AnalystBnp Paribas Sep 2017 - Aug 2019London, United KingdomStochastic 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 -
Quantitative AnalystCredit Suisse Jun 2014 - May 2017London, United KingdomQuantitative 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 -
Quantitative Risk AnalystCredit Suisse Jul 2013 - Jun 2014London, United KingdomCross-asset risk analyses for counterparty credit risk purposesAnalyses for trade approvalsQuantitative support and implementation of analytical applications from scratch -
Quantitative AnalystBarclays Investment Bank May 2012 - Jun 2012London, United KingdomResearch and prototyping of risk management models for counterparty credit risk purposes -
Exotic Equity Derivatives QuantBank Of America Merrill Lynch Oct 2009 - Nov 2011London, United KingdomImplementation 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 -
Commodity Quantitative AnalystEngie Jan 2008 - Mar 2009Paris Area, FranceCommunication 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 -
Equity Quantitative DeveloperHsbc May 2007 - Dec 2007Paris, Île-De-France, FranceQuantitative support and implementation of additional functionalities to existing analytical applications designed for the equity structuring desk -
Cross-Asset Quantitative AnalystLa Banque Postale Asset Management Jan 2006 - Mar 2007Paris, Île-De-France, FranceQuantitative research and implementation of stochastic modelsPricing of financial derivatives -
Quantitative AnalystLa Banque Postale Asset Management Jul 2005 - Dec 2005Paris, Île-De-France, FranceStudy of stochastic and econometric models for the simulation and forecasting of equity volatilityPricing of volatility derivatives -
Index DesignerEuronext May 2004 - Sep 2004Paris, Île-De-France, FranceDesign and review of Euronext stock market indices in the context of Paris stock exchange restructuring
Olivia Auster Education Details
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Mathematics -
Postgraduate Degree -
Undergraduate Degree - General Academic Studies Degree
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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