Ben Hambly (Oxford): Some particle systems with singular interactions and their applications in systemic risk

Please join us for a seminar of the Advanced Financial Technologies Laboratory (AFTLab):

Time: Thursday, January 29, 2026, 5:00pm-6:00pm

Location: Huang 305

Speaker: Ben Hambly (Oxford)

Title: Some particle systems with singular interactions and their applications in systemic risk

Abstract: Systemic events in finance are driven by many factors and developing mathematical models requires a decision on what aspects to incorporate. We will discuss a general framework but then focus on simple models to capture particular aspects. Firstly feedback effects from the linkages between financial institutions, so that defaults in one will have knock on effects on others. Our second aspect will be liquidity crises where the efforts to raise liquidity for one bank can effect the liquidity of others, for instance through fire sales. We will discuss particle systems which capture some of these effects and consider their mean field limits. There are natural McKean-Vlasov equations that arise and their associated PDEs can explode or cease to exist past a certain time. These are closely related to classical free boundary problems such as the supercooled Stefan problem. We will briefly discuss aspects of control for a central bank trying to intervene in such systems to avoid the development of a crisis. 

Bio:Ben Hambly is a Professor in the Mathematical Institute, University of Oxford. He is a member of the Mathematical and Computational Finance group and the Stochastic Analysis groups and his research interests are in stochastic partial differential equations, interacting particle systems, diffusion in random and fractal media, reinforcement learning, systemic risk and limit order book modelling. He is a Fellow of the Institute for Mathematical Statistics and won the Ito prize in 2003. Before arriving in Oxford in 2000 he held faculty positions in Bristol and Edinburgh. He completed his doctoral work in probability at the University of Cambridge after an undergraduate degree from the University of Adelaide.