Mark H. A. Davis

Mark Davis
Born	Mark Herbert Ainsworth Davis 1945 (age 71–72)
Nationality	English
Fields	Mathematician
Institutions	Imperial College London
Alma mater	University of Cambridge (BA) University of California, Berkeley (PhD)
Thesis	Dynamic Programming Conditions for Partially Observable Stochastic Systems (1971)
Doctoral advisor	Pravin Varaiya^[1]
Doctoral students	Oswaldo Costa João do Val Elder Hemerly Sebastien Lleo Takashi Yoneyama ^[1]
Notable awards	Naylor Prize and Lectureship (2002)
Website www.imperial.ac.uk/people/mark.davis

Mark Herbert Ainsworth Davis (born 1945) is Professor of Mathematics at Imperial College London, working on stochastic analysis and mathematical finance,in particular in credit risk models, pricing in incomplete markets and stochastic volatility.

Education

Davis obtained his PhD in 1971 at UC Berkeley under the supervision of Pravin Varaiya.^[2]

Research

Davis 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.

In 2002, he was awarded the Naylor Prize by the London Mathematical Society for his "contributions to stochastic analysis, stochastic control theory and mathematical finance" and delivered a lecture titled Optimal investment with randomly terminating income.^[3]

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

He 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). Princeton University Press, ed. Louis Bachelier's Theory of Speculation.
Davis, Mark H; Darrell Duffie; Wendell H. Fleming; Steven E. Shreve (1995). Springer, ed. Mathematical Finance.

References

1 2 Mark H. A. Davis at the Mathematics Genealogy Project
↑ Davis, M. H. A.; Varaiya, P. (1973). "Dynamic Programming Conditions for Partially Observable Stochastic Systems". SIAM Journal on Control. 11 (2): 226. doi:10.1137/0311020.
↑ "REPORT ON THE LMS ANNUAL GENERAL MEETING". LMS. 21 November 2003. Retrieved 18 February 2013.

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