| Mark H. A. Davis | |
|---|---|
| Nationality | United Kingdom |
| Fields | Mathematician |
| Institutions | Imperial College London |
| Alma mater | Cambridge University and UC Berkeley |
| Doctoral advisor | Pravin Varaiya |
| Notable awards | Naylor Prize |
Mark H. A. Davis is a 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.
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; 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.).