Imperial College London

ProfessorMarkDavis

Faculty of Natural SciencesDepartment of Mathematics

Senior Research Investigator
 
 
 
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Contact

 

+44 (0)20 7594 8486mark.davis Website

 
 
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Location

 

6M17Huxley BuildingSouth Kensington Campus

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Summary

 

Summary

Mark Davis

Mark Davis is a Professor of Mathematics at Imperial College London, specializing in stochastic analysis and financial mathematics, in particular in credit risk models, pricing in incomplete markets and stochastic volatility. He also acts as a consultant to Hanover Square Capital Partners, a newly-founded capital markets company. From 1995-1999 he was Head of Research and Product Development at Tokyo-Mitsubishi International, leading a front-office group providing pricing models and risk analysis for fixed-income, equity and credit-related products. Professor Davis holds a PhD from the University of California, Berkeley and is the author of three books on stochastic analysis and optimisation. He was a founding co-editor of the journal Mathematical Finance (1990-93) and is currently an  associate editor of Quantitative Finance. He was awarded the Naylor Prize in Applied Mathematics by the London Mathematical Society in 2002.

Professor Davis' personal web page can be found at http://www.ma.ic.ac.uk/~mdavis

Selected Publications

Journal Articles

Andruszkiewicz G, Davis MHA, Lleo S, 2017, Risk-sensitive investment in a finite-factor model, Stochastics-an International Journal of Probability and Stochastic Processes, Vol:89, ISSN:1744-2508, Pages:89-114

Davis MHA, 2016, Verification of internal risk measure estimates, Statistics & Risk Modeling, Vol:33, ISSN:2193-1402, Pages:67-93

Davis MHA, Pistorius MR, 2015, EXPLICIT SOLUTION OF AN INVERSE FIRST-PASSAGE TIME PROBLEM FOR LEVY PROCESSES AND COUNTERPARTY CREDIT RISK, Annals of Applied Probability, Vol:25, ISSN:1050-5164, Pages:2383-2415

Davis MHA, Zervos M, 1994, A PROBLEM OF SINGULAR STOCHASTIC CONTROL WITH DISCRETIONARY STOPPING, Annals of Applied Probability, Vol:4, ISSN:1050-5164, Pages:226-240

Davis MHA, Johansson MP, 2006, Malliavin Monte Carlo Greeks for jump diffusions, Stochastic Processes and Their Applications, Vol:116, ISSN:0304-4149, Pages:101-129

Davis MHA, Hobson DG, 2007, The range of traded option prices, Mathematical Finance, Vol:17, ISSN:0960-1627, Pages:1-14

Davis MHA, Mataix-Pastor V, 2007, Negative Libor rates in the swap market model, Finance and Stochastics, Vol:11, ISSN:0949-2984, Pages:181-193

Davis MHA, Guo X, Wu G, 2010, IMPULSE CONTROL OF MULTIDIMENSIONAL JUMP DIFFUSIONS, SIAM Journal on Control and Optimization, Vol:48, ISSN:0363-0129, Pages:5276-5293

Davis M, Lleo S, 2013, JUMP-DIFFUSION RISK-SENSITIVE ASSET MANAGEMENT II: JUMP-DIFFUSION FACTOR MODEL, SIAM Journal on Control and Optimization, Vol:51, ISSN:0363-0129, Pages:1441-1480

Davis M, Lleo S, 2011, Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model, SIAM Journal on Financial Mathematics, Vol:2, ISSN:1945-497X, Pages:22-54

Davis M, Obloj J, Raval V, 2014, ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS, Mathematical Finance, Vol:24, ISSN:0960-1627, Pages:821-854

DAVIS MHA, NORMAN AR, 1990, PORTFOLIO SELECTION WITH TRANSACTION COSTS, Mathematics of Operations Research, Vol:15, ISSN:0364-765X, Pages:676-713

DAVIS MHA, 1980, FUNCTIONALS OF DIFFUSION-PROCESSES AS STOCHASTIC INTEGRALS, Mathematical Proceedings of the Cambridge Philosophical Society, Vol:87, ISSN:0305-0041, Pages:157-166

DAVIS MHA, 1984, PIECEWISE-DETERMINISTIC MARKOV-PROCESSES - A GENERAL-CLASS OF NON-DIFFUSION STOCHASTIC-MODELS, Journal of the Royal Statistical Society. Series B. Methodological, Vol:46, ISSN:0035-9246, Pages:353-388

DAVIS MHA, 1976, MARTINGALES OF WIENER AND POISSON PROCESSES, Journal of the London Mathematical Society - Second Series, Vol:13, ISSN:0024-6107, Pages:336-338

DAVIS MHA, 1980, ON A MULTIPLICATIVE FUNCTIONAL TRANSFORMATION ARISING IN NON-LINEAR FILTERING THEORY, Zeitschrift fur Wahrscheinlichkeitstheorie und Verwandte Gebiete, Vol:54, ISSN:0044-3719, Pages:125-139

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