Peter Austing


Peter Austing is a mathematician, financial engineer and computer scientist.

Peter is a member of the Libhpc high performance computing project in the Social Computing group at Imperial College. His other research interests include derivatives pricing theory, and his book Smile Pricing Explained is planned for publication in July 2014.

Peter originally trained in mathematics and then completed a PhD in theoretical physics, and his first research posts were (loosely) related to quantum gravity theory. He then moved into investment banking where he spent most of the following decade building mathematical models for derivatives trading. He returned to university research in October 2013, joining the Libhpc project with Professor John Darlington and Dr Jeremy Cohen.

Recent talks

Introduction to Quantitative Analysis
Queen Mary University of London, Math Finance Masters Programme, 28/02/2014

The (Local) Stochastic Volatility Puzzle or How to Relieve a Hangover
ICBI Global Derivatives, Amsterdam, 17/04/2013

Valuing with Correlation Smile
Oxford-Man Institute, 12/02/2014
ICBI Global Derivatives, Barcelona, 17/04/2012
Quant Congress Europe, London, 9/10/2012
The 8th Fixed Income Conference, Vienna, 11/10/2012

Valuing Basket Options with Asset Smile and Correlation Smile
Quant Congress Europe, London, 08/11/2011
Cass Business School Financial Engineering Workshop, London, 03/11/2011
Valuing Basket Options: On Smile and Correlation Skew
ICBI Global Derivatives, Paris, 14/04/2011

Repricing Spread Option Smiles with Methods from Foreign Exchange
(with Vladimir Piterbarg)
WBS Advanced Interest Rate Modelling Workshop, London, 25/03/2011
The 6th Fixed Income Conference, Madrid, 24/09/2010

Multi-Asset Modelling in Foreign Exchange: A Joint Density Repricing the Cross Smile
ICBI Global Derivatives, Paris, 20/05/2010


Repricing the Cross Smile: An Analytic Joint Density
Risk, July 2011

Polyakov lines in Yang-Mills matrix models
Journal of High Energy Physics, 2003 (with Graziano Vernizzi and John F. Wheater)

Adding a Myers term to the IIB matrix model
Journal of High Energy Physics, 2003 (with John F. Wheater)

Scalar solitons on the fuzzy sphere
Journal of High Energy Physics, 2002 (with Thordur Jonsson and Larus Thorlacius)

Yang-Mills Matrix Theory
DPhil thesis, University of Oxford, 2001

Convergent Yang-Mills matrix theories
Journal of High Energy Physics, 2001 (with John F. Wheater)

The convergence of Yang-Mills integrals
Journal of High Energy Physics, 2001 (with John F. Wheater)

The cohomological supercharge
Journal of High Energy Physics, 2001