Mark H. A. Davis

Mark Herbert Ainsworth Davis
Nationality	English
Fields	Mathematician
Institutions	Imperial College London
Alma mater	Cambridge University (B.Sc.) UC Berkeley (Ph.D.)
Thesis	Dynamic Programming Conditions for Partially Observable Stochastic Systems (1971)
Doctoral advisor	Pravin Varaiya
Known for	Piecewise deterministic Markov process
Notable awards	Naylor Prize

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Mark Herbert Ainsworth Davis is Professor of Mathematics at Imperial College London, working on 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 to 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.

He obtained his PhD in 1971 at UC Berkeley under the supervision of Pravin Varaiya.

In 2002, he was awarded the Naylor Prize and delivered a lecture titled Optimal investment with randomly terminating income.^[1]

He was a founding co-editor of the journal Mathematical Finance (1990–93) and is currently an associate editor of Quantitative Finance.

He also is the author of three books on stochastic analysis and optimization.

Bibliography

Davis, Mark (1977). Linear Estimation and Stochastic Control (1st ed.).

Davis, Mark; Vintner, Richard B (1985). Stochastic modelling and control (1st ed.).

Davis, Mark H; Gabriel Burstein (1992). Deterministic methods in stochastic optimal control (1st ed.).

Davis, Mark (1993). Markov models and optimization (1st ed.).

Davis, Mark H; Alison Etheridge (2006). In Princeton University Press. Louis Bachelier's Theory of Speculation.

Davis, Mark H; Darrell Duffie,Wendell H. Fleming, Steven E. Shreve (1995). In Springer. Mathematical Finance.

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External links

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References

^ "REPORT ON THE LMS ANNUAL GENERAL MEETING". LMS. 21 November 2003. Retrieved 18 February 2013.

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Name	Davis, Mark Herbert Ainsworth
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Last modified on 1 March 2013, at 00:00