Mark H. A. Davis
|Mark Herbert Ainsworth Davis|
|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 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.
- 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.
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