Mark H. A. Davis
|Born||Mark Herbert Ainsworth Davis
1945 (age 69–70)
|Institutions||Imperial College London|
|Thesis||Dynamic Programming Conditions for Partially Observable Stochastic Systems (1971)|
|Doctoral advisor||Pravin Varaiya|
|Notable awards||Naylor Prize and Lectureship (2002)|
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.
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.
- 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.
- 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.