Mark H. A. Davis: 21st Century Publications


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Books

  1. Mark H.A. Davis and Alison Etheridge (translators and editors) "Louis Bachelier's Theory of Speculation: the Origins of Modern Finance", Princeton University Press 2006 [PUP]
  2. Mark H.A. Davis and Sebastien Lleo "Risk-Sensitive Investment Management", World Scientific 2014 [WS]
  3. Mark H.A. Davis "Mathematical Finance: A Very Short Introduction", Oxford University Press, published 24-Jan-19. [OUP]
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Refereed journal publications

  1. Pricing weather derivatives by marginal value, Quantitative Finance 1 (2001) 305-308 [PDF]
  2. Infectious defaults Quantitative Finance 1 (2001) 382-387 (with Violet Lo) [PDF]
  3. Pricing, no-arbitrage bounds and robust hedging of installment options, Quantitative Finance 1 (2001) 597-610 (with Walter Schachermayer and Robert Tompkins) [PDF]
  4. The evaluation of venture capital as an installment option: Valuing real options using real options, (with W.Schachermayer and R.G.Tompkins), in: Real Options, T.Dangl, M.Kopel and W.Kuersten eds, Gabler Verlag (2004) pp.77-96.
  5. Installment options and static hedging, Risk Finance 3(2) (2002) 46-52 (with Walter Schachermayer and Robert Tompkins) [PDF]
  6. Complete-market models of stochastic volatility Proceedings of the Royal Society of London (A) 460 (2004) 11-26 [PDF]
  7. Giacomo Giampieri, Mark Davis and Martin Crowder, A Hidden Markov Model of default interaction, Quantitative Finance 5 (2005) 27-34 [PDF]
  8. Mark Davis and Martin Johansson, Malliavin Monte Carlo Greeks for Jump Diffusions Stochastic Processes and their Applications, 116 (2006) 101-129 [PDF]
  9. Mark Davis and David Hobson, The range of traded option prices, (July 2005), Mathematical Finance 17 (2007) 1-14 [PDF].
  10. Mark Davis and Vicente Mataix-Pastor, Negative Libor rates in the swap market model, Finance and Stochastics, 11 (2007) 181-193 [PDF].
  11. Mark Davis and Sebastien Lleo, Risk-sensitive benchmarked asset management, Quantitative Finance 8 (2008) 415-426. [PDF]
  12. Mark Davis and Juan Carlos Esparragoza Rodriguez, Large portfolio credit risk modelling, International Journal of Theoretical and Applied Finance 10 (2007) 653-678 [PDF]
  13. Mark Davis, Dorje C. Brody, Robyn L. Friedman and Lane P. Hughston, Informed Traders, Proceedings of the Royal Society of London (A) 465 (2009) 1103-1122 [PDF]
  14. Mark Davis and Vicente Mataix-Pastor, Arbitrage-free interpolation of the Swap Curve, International Journal of Theoretical and Applied Finance, 12 (2009) 969-1005[PDF]
  15. Tomas Bjork, Mark Davis and Camilla Landen, Optimal investment under partial information, Mathematical Methods of Operations Research 71 (2010) 371-399 [PDF]
  16. Mark H. A. Davis, Xin Guo and Guoliang Wu, Impulse control of multidimensional jump-diffusions, SIAM J. Cont. & Opt. 48 (2010) 5276-5293[arXiv]
  17. Mark H. A. Davis and Sebastien Lleo, Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion factor model, SIAM J. Fin. Math. 2 (2011) 22-54 [arXiv]
  18. Mark Davis, Jan Obloj and Vimal Raval, Arbitrage bounds for weighted variance swap prices, Mathematical Finance 24 (2014) 821-854 [arXiv]
  19. Grzegorz Andruszkiewicz, Mark Davis and Sebastien Lleo, Taming animal spirits: risk management with behavioural factors, Annals of Finance 9 (2013) 145-166 [SSRN]
  20. Mark H. A. Davis and Sebastien Lleo, Jump-diffusion Risk-Sensitive Asset Management II: Jump-diffusion Factor Model, SIAM J. Control Optim. 51 (2013) 1441-1480 [arXiv]
  21. Grzegorz Andruszkiewicz, Mark Davis and Sebastien Lleo, Estimating animal spirits: conservative risk calculation, Quantitative Finance Letters 2 (2014) 14-21 [PDF]
  22. Mark H.A. Davis and Martijn Pistorius, Explicit solution of an inverse first-passage time problem for Levy processes and counterparty credit risk, Ann. Appl. Prob. 25 (2015) 2383-2415 [arXiv]
  23. Mark H. A. Davis and Daisuke Yoshikawa, A note on utility-based pricing. Mathematics and Financial Economics 9 (2015) 215-230 [SSRN]
  24. Mark H. A. Davis and Daisuke Yoshikawa, A note on utility-based pricing in models with transaction costs. Mathematics and Financial Economics 9 (2015) 231-245 [SSRN]
  25. Mark H. A. Davis, Verification of internal risk measure estimates. Statistics and Risk Modeling 33 (2016) 67-93 [arXiv]
  26. Grzegorz Andruszkiewicz, Mark H.A. Davis and Sebastien Lleo, Risk-sensitive investment in a finite-factor model, Stochastics 89(1) (2017) 89-114 (published online February 2016) [DOI], [arXiv]
  27. Mark H.A. Davis and Sebastien Lleo, A Simple Procedure to Incorporate Predictive Models in a Continuous Time Asset Allocation, Quantitative Finance Letters 4 (1) (2016) 40-46 [SSRN]
  28. Mark H.A. Davis and Sebastien Lleo, A simple procedure for combining expert opinion with statistical estimates to achieve superior portfolio performance, Journal of Portfolio Management 42 (4) (2016) 49-58.
  29. Mark H.A. Davis, Jan Obloj and Pietro Siorpaes, Pathwise stochastic calculus with local times, Annales de l'Institut Henri Poincare (B), Probabilites et Statistiques 54 (1) (2018) 1-21 [PDF]
  30. Mark H.A. Davis, Discussion of "Elicitability and Backtesting: Perspectives for Banking Regulation" by N. Nolde and J.F. Ziegel, Annals of Applied Statistics 11 (4) (2017) 1886-1887 [PDF]
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Other publications

  1. Mathematics of financial markets, in Mathematics Unlimited: 2001 and Beyond, eds. Bjorn Engquist and Wilfried Schmid, Springer-Verlag Berlin 2001 [PDF]
  2. Taking convertibles for a spin, Derivatives Week vol. 9 no. 19, 8 May 2000
  3. Modelling default correlation in bond portfolios, in Mastering Risk Volume 2: Applications, ed. Carol Alexander, Financial Times Prentice Hall 2001, pp 141-151 (with Violet Lo)[PDF]
  4. Installment options and static hedging, in Mathematical Finance, eds. M. Kohlmann and S. Tang, Trends in Mathematics, Birkhauser, Basel 2001, pp130-139 (with W. Schachermayer and R. Tompkins) [PDF]
  5. Convertible bonds with market risk and credit risk, in Applied Probability, eds. R. Chan, Y-K. Kwok, D. Yao and Q. Zhang, Studies in Advanced Mathematics, American Mathematical Society/International Press 2002, pp 45-58 (with Fabian Lischka)
  6. Valuation, hedging and investment in incomplete financial markets, in Applied Mathematics Entering the 21st Century, eds. J.M. Hill and R. Moore, Society for Industrial and Applied Mathematics 2004, pp 49-70 [PDF]
  7. Martingale representation and all that, in Advances in Control, Communication Networks, and Transportation Systems: In Honor of Pravin Varaiya, E.H. Abed (Ed.), Systems and Control: Foundations and Applications Series, Birkhauser, Boston, 2005 [PDF]
  8. Optimal hedging with basis risk, in From Stochastic Calculus to Mathematical Finance, Y. Kabanov, R. Liptser and J. Stoyanov (eds) Springer, 2006 [PDF]
  9. Mark Davis and Juan Carlos Esparragoza Rodriguez, Large portfolio credit risk modelling, in A. Lipton and A.J.O. Rennie (eds.) Credit Correlation: Life after Copulas, World Scientific Publishing 2008
  10. Mark Davis and Jan Obloj, Market completion using options, in Advances in Mathematics of Finance, ed. L. Stettner, Banach Center Publications vol. 43 (2008) 49-60, Polish Academy of Sciences, Warsaw.[PDF]
  11. Dirk Becherer and Mark Davis, Arrow-Debreu Prices, in: Wiley Encyclopaedia of Quantitative Finance, 2010[PDF]
  12. Mark Davis, The Black-Scholes Formula, in: Wiley Encyclopaedia of Quantitative Finance, 2010[PDF]
  13. Pathwise nonlinear filtering with noise correlation, in Oxford Handbook of Nonlinear Filtering, eds. D. Crisan and B. Rozovsky, OUP 2010 (in press)[PDF]
  14. Contagion models in credit risk, in Oxford Handbook of Credit Derivatives, eds. A. Lipton and A. Rennie, OUP 2011[PDF]
  15. Michel Vellekoop and Mark Davis, An Optimal Investment Problem with Randomly Terminating Income, Proceedings of the Joint 48th IEEE Conference on Decision and Control & 28th Chinese Control Conference, Shanghai, 2009, pp. 3650-3655.[PDF]
  16. Mark H. A. Davis and Sebastien Lleo, Fractional Kelly strategies for benchmarked asset management, in The Kelly Capital Growth Investment Criterion, Handbook in Financial Economics vol. 3, eds. L. MacLean, E. Thorpe and W. Ziemba, pp385-407, World Scientific 2011 [PDF]
  17. Mark H. A. Davis and Sebastien Lleo, Fractional Kelly strategies in continuous time: recent developments, Chapter 32 in Handbook of the Fundamentals of Financial Decision Making, eds. L. MacLean and W. Ziemba, World Scientific 2013 [PDF]
  18. Mark H.A. Davis and Sebastien Lleo, Jump-diffusion risk-sensitive benchmarked asset management, in H. Gassmann and W.T. Ziemba (eds.), Stochastic Programming: Applications in Finance, Energy Planning and Logistics, World Scientific 2013 [PDF]
  19. Mark H A Davis, Model-free methods in valuation and hedging of derivative securities, in The Handbook of Post-Crisis Financial Modelling, E. Haven, P. Molyneux, J. O.S. Wilson, S. Fedotov and M. Duygun (eds.), pp 168-189, Palgrave-MacMillan 2016 [SSRN]
  20. Mark H. A. Davis, A Beaufort Scale of Predictability, in The Fascination of Probability, Statistics and their Applications, eds. M. Podolskij, R. Stelzer, S. Thorbjornsen and A. Veraart, pp 419-434, Springer 2016 [SSRN] ]
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