Nationality English Fields Mathematician | Role Professor of mathematics Name Mark A. | |
Thesis Dynamic Programming Conditions for Partially Observable Stochastic Systems (1971) Doctoral students Oswaldo CostaJoao do ValElder HemerlySebastien LleoTakashi Yoneyama Books Risk‑Sensitive Investment Management, Stochastic Modelling and Contr, Markov Models and Opti, Jump Processes and Their, Two Quick Derivations of the Bla | ||
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.
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Education
Davis obtained his PhD in 1971 at UC Berkeley under the supervision of Pravin Varaiya.
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.
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.