Mark Davis: Curriculum Vitae

Mark Davis is a Senior Research Fellow in the Department of Mathematics at Imperial College London. He is also Quantitative Research Adviser to Hanover Square Capital (UK) Ltd, in connection with India-related investment funds. From 2000-2009 and 2011-12 he was Professor and Head of the Mathematical Finance group at Imperial College. His research concentrates on stochastic analysis and mathematical finance, in particular risk-sensitive investment models, pricing in incomplete markets, stochastic volatility, model-free finance and fundamentals of risk management. From 1995-1999 he was Head of Research and Product Development at the investment bank Tokyo-Mitsubishi International (now Mitsubishi UFJ Securitites International plc), leading a front-office group providing pricing models and risk analysis for fixed-income, equity and credit-related products. Dr Davis holds a PhD in Electrical Engineering and Computer Science from the University of California Berkeley and a DSc in Mathematics from Cambridge University. He is the author of six books on stochastic analysis, optimisation and finance, most recently "Risk-Sensitive Investment Management" (World Scientific 2014) written with Sebastien Lleo. He was a founding co-editor of the journal Mathematical Finance (1990-93) and is currently an associate editor of Quantitative Finance . He was awarded the Naylor Prize in Applied Mathematics by the London Mathematical Society in 2002.

Biographical data

  BA Cambridge University 1966 (Electrical Sciences)
  MS University of California, Berkeley 1968 (Elec Eng & Computer Sci)
  PhD University of California, Berkeley 1971 (Elec Eng & Computer Sci)
  ScD Cambridge University 1983 (Mathematics)
  1971-1984 Lecturer and Reader, Imperial College, London University
  1984-1995 Professor of System Theory, Imperial College
  1995-1999 Director and Head of Research and Product Development,
  Tokyo-Mitsubishi International, London
  2000 Visiting Professor, Technische Universitaet Wien
  2000-2009 Professor of Mathematics, Imperial College London
  2010-2011 Distinguished Research Fellow, Imperial College
  2011-2012 Professor of Mathematics, Imperial College London
  2012- Senior Research Fellow, Imperial College
  Six books and over 60 refereed journal articles on stochastic analysis, control theory, filtering and financial mathematics
  Stochastics and Stochastics Reports, Editor in Chief 1978-1995
  Mathematical Finance, Founding Co-editor 1990-1993
  Annals of Applied Probability, Associate Editor 1995-1998
  Quantitative Finance, Associate Editor 2000-
  SIAM Journal on Financial Mathematics, Associate Editor 2009-2012
Fellowships, Prizes, Societies:
  Naylor Prize of the London Mathematical Society, 2002
  Hon Fellow, Institute of Actuaries (elected 2001)
  Fellow, Institute of Mathematical Statistics (elected 1994)
  Fellow, Royal Statistical Society
  Member, London Mathematical Society, SIAM
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