Mark H. A. Davis

Mark Davis
Born Mark Herbert Ainsworth Davis
1945 (age 7071)
Nationality English
Fields Mathematician
Institutions Imperial College London
Alma mater
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


References

  1. 1 2 Mark H. A. Davis at the Mathematics Genealogy Project
  2. 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.
  3. "REPORT ON THE LMS ANNUAL GENERAL MEETING". LMS. 21 November 2003. Retrieved 18 February 2013.
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