Ben M. Hambly

University of Oxford - St. Ann's College

Woodstock Road

Oxford OX2 6HS

United Kingdom

  • University of Oxford - St. Ann's College

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SCHOLARLY PAPERS

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Scholarly Papers (4)

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1.

Recent Advances in Reinforcement Learning in Finance

Number of pages: 60 Posted: 28 Nov 2021 Last Revised: 21 Dec 2021
Ben M. Hambly, Renyuan Xu and Huining Yang
University of Oxford - St. Ann's College, University of Southern California - Epstein Department of Industrial & Systems Engineering and University of Oxford - Mathematical Institute
Downloads 1,853 (12,765)

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Reinforcement Learning, Finance, Machine Learning, Quantitative Finance, Stochastic Control

2.

Policy Gradient Methods for the Noisy Linear Quadratic Regulator over a Finite Horizon

Number of pages: 49 Posted: 09 Jan 2021 Last Revised: 02 Aug 2021
Ben M. Hambly, Renyuan Xu and Huining Yang
University of Oxford - St. Ann's College, University of Southern California - Epstein Department of Industrial & Systems Engineering and University of Oxford - Mathematical Institute
Downloads 298 (143,454)

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Linear-quadratic regulator, reinforcement learning, policy gradient method, stochastic control, optimal execution, optimal liquidation

3.

Policy Gradient Methods Find the Nash Equilibrium in N-player General-sum Linear-quadratic Games

Number of pages: 48 Posted: 02 Aug 2021 Last Revised: 21 Jul 2022
Ben M. Hambly, Renyuan Xu and Huining Yang
University of Oxford - St. Ann's College, University of Southern California - Epstein Department of Industrial & Systems Engineering and University of Oxford - Mathematical Institute
Downloads 158 (258,874)

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Multi-agent reinforcement learning, linear-quadratic games, policy gradient methods, general-sum games, N-player games

4.

Monte Carlo Methods for the Valuation of Multiple-Exercise Options

Number of pages: 27 Posted: 21 Sep 2004
Nicolai Meinshausen and Ben M. Hambly
ETH Zürich - Department of Mathematics and University of Oxford - St. Ann's College
Downloads 21 (693,717)
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