Ben Hambly

Professor of Mathematics, Mathematical Institute, University of Oxford

Ben Hambly is a University Lecturer in Mathematics at the Mathematical Institute where he is a member of the Mathematical and Computational Finance Group and the Stochastic Analysis Group.

He has a PhD from the University of Cambridge and previously had lectureships in Edinburgh and Bristol. He is Co-editor in Chief of Applied Mathematical Finance.

His research interests in mathematical finance are in the modelling and pricing of financial derivatives. In particular he has worked on electricity spot price models and the pricing of complex derivative contracts in energy markets.

He is also interested in credit markets and the pricing of large portfolio credit baskets contracts. His other research interests include random walks and diffusion in random and fractal environments, rough paths, branching processes, random matrices and particle systems.

Related Research: Electronic Trading, Numerical Methods and High Performance Computing in Finance, Efficient Markets, Risk Premia and Market Anomalies
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Published Research

Hambly, B.M., Bush, N., Haworth, H., Jin, L. and Reisinger, C. (2009). Hambly, B.M., Bush, N., Haworth, H., Jin, L. and Reisinger, C. (2009) Stochastic evolution equations in portfolio credit modelling. SIAM Journal of Financial Mathematics. 2 (1), 627-664.. SIAM Journal of Financial Mathematics.
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Hambly, B.M., Biggins, J.D. and Jones, O.D. (2011). Hambly, B.M., Biggins, J.D. and Jones, O.D. (2011) Multifractal spectra for random self-similar measures via branching processes. Advances in Applied Probability. 43 (1), 1-39.. Appl. Prob 43, 1—39..
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Hambly, B.M. (2011) Asymptotics for functions associated with heat flow on the Sierpinski carpet, Canadian Journal of Mathematics. 63 (1), 153-180.

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Hambly, B.M. and Croydon, D.A. (2010) Spectral asymptotics for stable trees. Electronic Journal of Probabilities. 15, 1772—1801.

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Hambly, B.M. and Lyons, T.J. (2010). Hambly, B.M. and Lyons, T.J. (2010) Uniqueness for the signature of a path of bounded variation and the reduced path space. Annals of Mathematics, 171 (1), 109-167.. Annals of Mathematics, 171 (1), 109-167. .
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Hambly, B., Howison, S. and Kluge, T. (2009). Hambly, B., Howison, S. and Kluge, T. (2009) Modelling Spikes and Pricing Swing Options in Electricity Markets. Quantitative Finance, 9 (8), 937 - 949.. Quantitative Finance, 9 (8), 937 - 949..
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Hambly, B.M. and Kumagai, T. (2010). Hambly, B.M. and Kumagai, T. (2010) Diffusion on the scaling limit of the critical percolation cluster in the diamond hierarchical lattice. Communications in Mathematical Physics, 295 (1), 29-69.. Communications in Mathematical Physics, 295 (1), 29-69..
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