J.P. Morgan HQ
25 Bank St, London E14 5JP
I am currently an AI researcher at J.P. Morgan. Prior to joining J.P. Morgan, I was a Postdoctoral Research Associate in the Operations Research & Financial Engineering (ORFE) Department at Princeton University, supervised by Prof. Ronnie Sircar. I obtained my PhD degree in the Mathematical Institute at University of Oxford, supervised by Prof. Ben Hambly. I received my bachelor’s degrees from University of Manchester and Shandong University (2+2 programme). Please find my CV here.
My research interests lie broadly in the span of mathematical finance and machine learning, with a special focus on reinforcement learning, stochastic control, and game theory.
J.P. Morgan: Senior Associate AI Research, 2023 - present Princeton University: Postdoctoral Research Associate, 2022 - 2023
University of Oxford: PhD in Mathematics, 2018 - 2022 University of Machester: BSc in Mathematics with Financial Mathematics (2+2 dual degree), 2016 - 2018 Shandong University: BSc in Mathematics (2+2 dual degree), 2014 - 2016
B. Hambly, R. Xu, and H. Yang. Linear-quadratic Gaussian Games with Asymmetric Information: Belief Corrections Using the Opponents Actions. Submitted, 2023. B. Hambly, R. Xu, and H. Yang. Recent Advances in Reinforcement Learning in Finance (Journal Version). Mathematical Finance, 33, 437-503, 2023. B. Hambly, R. Xu, and H. Yang. Policy Gradient Methods Find the Nash Equilibrium in N-player General-sum Linear-quadratic Games (Journal Version). Journal of Machine Learning Research (JMLR), 24(139):1−56, 2023. B. Hambly, R. Xu, and H. Yang. Policy Gradient Methods for the Noisy Linear Quadratic Regulator over a Finite Horizon (Journal Version). SIAM Journal on Control and Optimization (SICON), 59 (5), pp. 3359-3391, 2021.
Minisymposia talk , SIAM Conference on Financial Mathematics and Engineering (FM23), Jun. 2023, Philadelphia. Program Committee Member at the 2022 ACM International Conference on AI in Finance (ICAIF), Nov. 2022, New York. Session Chair at the 2022 INFORMS Annual Meeting: Recent Advances in Reinforcement Learning in Finance, Oct. 2022, Indiana, USA. Talk, 12th Oxford-Princeton Workshop on Mathematical Finance and Stochastic Analysis, Oct. 2022, Oxford. Organizing Committee member at the InFoMM CDT Annual Meeting, cohort representative, Jun. 2022, Oxford. Talk, Industrial Maths in the 21st Century, Jun. 2022, Oxford. Talk, InFoMM Annual Meeting, Jun. 2022, Oxford. Contributed talk, UKIE National Student Chapter Conference, Jun. 2022, Edinburgh. Contributed talk, 2nd London-Oxford-Warwick Financial Mathematics Workshop, Apr. 2022, Warwick. Talk, Junior Applied Mathematics Seminar (JAMS), Feb. 2022, Oxford. Invited talk, UC Berkeley, Jan. 2022, virtual. Invited talk, Financial/Actuarial Mathematics Seminar, University of Michigan, Jan. 2022, virtual. Invited talk, 15th International Conference on Computational and Financial Econometrics (CFE 2021), Dec. 2021, King’s College London, UK Contributed talk, Workshop on Women in AI and Finance, 2nd ACM International Conference on AI in Finance (ICAIF'21), Nov. 2021, virtual. Invited talk, INFORMS 2021 Annual Meeting, Oct. 2021, virtual.