Mark Davis: Working Papers

  1. Note: papers that are in press will be found on the recent papers page
  2. My SSRN Author Home page is here

  1. Mark Davis, Walter Schachermayer and Rober Tompkins, The evaluation of venture capital as an instalment option: valuing real options using real options, submitted to Journal of Financial Economics, July 2002 [PDF]
  2. Mark Davis and Daisuke Yoshikawa, An equilibrium approach to indifference pricing: this version WP2010-[PDF]
  3. Mark Davis and Martijn Pistorius, Quantification of counterparty risk via Bessel bridges, December 2010 [SSRN]
  4. John Crosby and Mark Davis, Variance derivatives: pricing and convergence, May 2012 [SSRN]
  5. Mark Davis A note on the VIX formula, January 2017 [PDF]
  6. Mark Davis and Sebastien Lleo, Debiased expert opinions in continuous-time asset allocation, revised May 2018 [SSRN]
  7. Mark Davis and Sebastien Lleo, Debiased expert opinions in continuous-time asset allocation: supplementary material, May 2018 [SSRN]
  8. S. Badikov, M. Davis and A. Jacquier, Perturbation analysis of sub/super hedging problems, June 2018 [arXiv]

.. and one "golden oldie", by popular request ..
  1. Option pricing in incomplete markets, in Mathematics of Derivative Securities, eds M.A.H. Dempster and S.R. Pliska, Cambridge University Press 1998 [PDF]

Working Papers by Associates and Students

  1. Andrew Friend and Ebbe Rogge, Correlation at first sight, October 2004 [PDF], to appear in Economic Notes: Review of Banking, Finance and Monetary Economics

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