Mark H. A. Davis

Q: What Schools Are Affiliated With Mark H. A. Davis

Mark H. A. Davis is affiliated with the following schools: University of Cambridge, University of Bath, University of California, Berkeley, Imperial College London, University of Oxford

Mark H. A. Davis's AcademicInfluence.com Rankings

Mark H. A. Davis

Mathematics

#3138

World Rank

#4693

Historical Rank

Measure Theory

#1625

World Rank

#2005

Historical Rank

mathematics Degrees

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Mathematics

Why Is Mark H. A. Davis Influential?

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According to Wikipedia, Mark Herbert Ainsworth Davis was Professor of Mathematics at Imperial College London. He made fundamental contributions to the theory of stochastic processes, stochastic control and mathematical finance.

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Mark H. A. Davis's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Piecewise‐Deterministic Markov Processes: A General Class of Non‐Diffusion Stochastic Models (1984) (915)
European option pricing with transaction costs (1993) (415)
Linear estimation and stochastic control (1977) (281)
Pricing weather derivatives by marginal value (2001) (230)
THE RANGE OF TRADED OPTION PRICES (2007) (179)
Mathematics of Financial Markets (2001) (176)
An Introduction to Nonlinear Filtering (1981) (173)
Capacity and cutoff rate for Poisson-type channels (1980) (168)
Applied Stochastic Analysis (1991) (159)
The Representation of Martingales of Jump Processes (1976) (132)
Modelling default correlation in bond portfolios (1999) (127)
On a multiplicative functional transformation arising in nonlinear filtering theory (1980) (127)
Optimal investment under partial information (2010) (121)
Optimal Hedging with Basis Risk (2006) (113)
Malliavin Monte Carlo Greeks for jump diffusions (2006) (106)
Nonlinear filtering with counting observations (1975) (98)
A deterministic approach to optimal stopping with application to a prophet inequality (1993) (84)
Impulse Control of Multidimensional Jump Diffusions (2009) (81)
American options and transaction fees (1995) (79)
Strong Consistency of the PLS Criterion for Order Determination of Autoregressive Processes (1989) (74)
Analysis of default data using hidden Markov models (2005) (71)
Piecewise-deterministic Markov processes (1993) (68)
Risk-sensitive benchmarked asset management (2008) (67)
ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS (2010) (66)
The Multiplicity of an Increasing Family of $\Sigma$-Fields (1974) (62)
Control of piecewise-deterministic processes via discrete-time dynamic programming (1986) (61)
Martingale methods in stochastic control (1979) (58)
Pricing, No-Arbitrage Bounds and Robust Hedging of Installment Options (2000) (55)
A note on super-replicating strategies (1994) (53)
A note on the Poisson disorder problem (1976) (52)
Complete–market models of stochastic volatility (2004) (52)
The application of nonlinear filtering to fault detection in linear systems (1975) (52)
A Problem of Singular Stochastic Control with Discretionary Stopping (1994) (52)
On the Existence of Optimal Policies in Stochastic Control (1973) (52)
Informed traders (2008) (51)
Optimal Play in a Stochastic Differential Game (1981) (49)
Louis Bachelier’s “Theory of Speculation” (2008) (48)
Lectures on Stochastic Control and Nonlinear Filtering (1985) (44)
Verification of internal risk measure estimates (2014) (43)
Martingale Representation and All That (2005) (42)
A Hidden Markov Model of Default Interaction (2003) (42)
Functionals of diffusion processes as stochastic integrals (1980) (41)
Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model (2010) (41)
A Pathwise Solution of the Equations of Nonlinear Filtering (1982) (40)
Market completion using options (2007) (40)
A note on a comparison theorem for equations with different diffusions (1982) (39)
A Deterministic Approach To Stochastic Optimal Control With Application To Anticipative Control (1992) (38)
Installment Options and Static Hedging (2002) (36)
Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model (2011) (34)
The Evaluation of Venture Capital as an Instalment Option: Valuing Real Options Using Real Options (2004) (32)
Option Valuation and Hedging with Basis Risk (2000) (32)
Risk-Sensitive Investment Management (2014) (31)
Black–Litterman in continuous time: the case for filtering (2013) (30)
Information States for Linear Stochastic Systems (1972) (30)
Optimal control of a jump process (1977) (27)
Arbitrage Bounds for Weighted Variance Swap Prices (2010) (27)
The Separation Principle in Stochastic Control via Girsanov Solutions (1976) (25)
Consistency of Risk Measure Estimates (2013) (24)
Existence of Optimal Controls for Stochastic Jump Processes (1979) (24)
LARGE PORTFOLIO CREDIT RISK MODELING (2007) (24)
Piecewise-Deterministic Processes and Viscosity Solutions (1999) (23)
A Pair of Explicitly Solvable Singular Stochastic Control Problems (1998) (23)
A new proof of the discrete-time LQG optimal control theorems (1995) (23)
Quantification of Counterparty Risk Via Bessel Bridges (2010) (22)
Anticipative LQG Control (1989) (22)
A note on the forward measure (1997) (18)
Fractional Kelly Strategies for Benchmarked Asset Management (2011) (18)
Pathwise solutions and multiplicative functionals in nonlinear filtering (1979) (17)
Fractional Kelly Strategies in Continuous Time: Recent Developments (2012) (16)
Exact and approximate filtering in signal detection: An example (Corresp.) (1977) (16)
Stochastics and stochastics reports (1990) (15)
Martingales of Wiener and Poisson Processes (1976) (14)
On “predicted miss” stochastic control problems (1979) (14)
Variance Derivatives: Pricing and Convergence (2012) (14)
Sources of Return in Global Investing (2005) (14)
Pathwise nonlinear filtering for nondegenerate diffusions with noise correlation (1987) (12)
A Review of the Statistical Theory of Signal Detection (1989) (12)
On the Value of Information in Controlled Diffusion Processes (1991) (12)
Valuation , hedging and investment in incomplete financial markets (2003) (12)
A Target Recognition Problem: Sequential Analysis and Optimal Control (1996) (10)
Negative Libor rates in the swap market model (2007) (10)
Recursive Order Estimation of Autoregressions Without Bounding the Model Set (1991) (10)
A Simple Procedure for Combining Expert Opinion with Statistical Estimates to Achieve Superior Portfolio Performance (2016) (10)
Pathwise nonlinear filtering with correlated noise (2009) (9)
A new order estimation technique for time series modeling (1997) (9)
Arbitrage Bounds for Prices of Options on Realized Variance (2010) (9)
On Stochastic Differentiation (1976) (9)
New approach to filtering for nonlinear systems (1981) (9)
An Equilibrium Approach to Indifference Pricing (2012) (8)
Contagion Models in Credit Risk (2011) (8)
Martingale Integrals and Stochastic Calculus (1978) (8)
Taming animal spirits: risk management with behavioural factors (2012) (8)
Risk‐sensitive benchmarked asset management with expert forecasts (2021) (7)
Risk-sensitive investment in a finite-factor model (2014) (7)
Jump-diffusion asset–liability management via risk-sensitive control (2015) (7)
An optimal investment problem with randomly terminating income (2009) (7)
Guest Editorial Special Issue on Stochastic Control Methods in Financial Engineering (2004) (7)
An Equilibrium Approach to Indifference Pricing with Model Uncertainty (2016) (6)
Consistency of internal risk measure estimates (2014) (6)
Debiased expert forecasts in continuous-time asset allocation (2020) (6)
Jump-Diffusion Risk-Sensitive Asset Management (2009) (6)
Model-Free Methods in Valuation and Hedging of Derivative Securities (2015) (6)
Risk-Sensitive Asset Management (2014) (5)
Reducibility and unobservability of Markov processes: the linear system case (1992) (5)
Computational problems in nonlinear filtering (1980) (5)
Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach (2010) (5)
A note on utility-based pricing in models with transaction costs (2012) (5)
ARBITRAGE-FREE INTERPOLATION OF THE SWAP CURVE (2009) (5)
Black–Scholes Formula (2010) (4)
Detection, Mutual Information and Feedback Encoding: Applications of Stochastic Calculus (1978) (4)
A note on utility-based pricing (2010) (4)
Arrow–Debreu Prices (2010) (4)
A Beaufort Scale of Predictability (2014) (4)
The structure of jump processes and related control problems (1976) (4)
The Martingale Theory of Point Processes and its Application to the Analysis of Failure-Time Data (1983) (4)
Debiased Expert Forecasts in Continuous Time Asset Allocation (2018) (4)
Animal Spirits and Value at Risk Estimation (2014) (4)
On the minimum principle for controlled diffusions on manifolds (1989) (4)
Debiased Expert Opinions in Continuous Time Asset Allocation: Supplementary Material (2018) (4)
Jump-Diffusion Risk-Sensitive Benchmarked Asset Management (2013) (3)
Mathematical Finance: A Very Short Introduction (2019) (3)
Explicit solution of an inverse first-passage time problem for L\'{e}vy processes and counterparty credit risk (2013) (3)
A simple procedure to incorporate predictive models in a continuous time asset allocation (2016) (3)
Random conservation laws and global solutions of nonlinear SPDE application to the HJB SPDE of anticipative control (1992) (3)
Factorization of a multiplicative functional of nonlinear filtering theory (1981) (3)
Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model (2010) (3)
A Simple Procedure for Merging Expert Opinions to Achieve Superior Portfolio Performance (2015) (2)
Discussion of “Elicitability and backtesting: Perspectives for banking regulation” (2017) (2)
Jump-Diffusion Risk-Sensitive Benchmarked Asset Management with Traditional and Alternative Data (2022) (2)
Stochastic control with noisy observations (1982) (2)
Optimal timing of capacity expansion (1986) (2)
The martingale maximum principle and the allocation of labour surplus (1987) (2)
A Queueing Network Approach to Portfolio Credit Risk (2004) (2)
Estimating animal spirits: conservative risk calculation (2014) (2)
On the relation between partially observed, stochastic optimal control and deterministic infinite dimensional optimal control (1992) (1)
Deterministic Methods in Stochastic Optimal Control. (1992) (1)
Options: Basic Definitions (2010) (1)
Comments on "Weaker conditions for innovations informational equivalence in the independent Gaussian case" (1980) (1)
Corrections to A Target Recognition Problem: Sequential Analysis and Optimal Control (1998) (1)
Behavioral Benchmarked Investment Management with Expert Forecasts (2020) (1)
Stochastic control with tracking of exogenous parameters (1982) (1)
Behaviouralizing Black-Litterman: Expert Opinions and Behavioural Biases in a Diffusion Setting (2015) (1)
Metals and Energy Finance (2018) (1)
Perturbation analysis of sub/super hedging problems (2018) (1)
Stochastic Calculus and Applications (1984) (1)
TWO QUICK DERIVATIONS OF THE BLACK-SCHOLES OPTION PRICING FORMULA (1991) (1)
JUMP PROCESSES AND THEIR MARTINGALES (1991) (1)
The Merton Problem (2014) (0)
Sources of Return in Global Investing World markets are integrating, but only gradually. (2005) (0)
Jumps in Asset Prices (2014) (0)
Jump-diffusion asset–liability management via risk-sensitive control (2013) (0)
Filtering and smoothing: An introduction to martingales, stochastic integrals and estimation: V. Krishnan (1985) (0)
Risk-Sensitive Investment in a Market with Animal Spirits (2014) (0)
Management of Projects, Markets and Supplies (2018) (0)
Make or buy, feasibility of intermediate good production (2012) (0)
Risk/Arbitrage Strategies: A New Concept for Asset/Liability Management, Optimal Fund Design and Optimal Portfolio Selection in a Dynamic, Continuous-Time Framework Part IV: An Impulse Control Approach to Limited Risk Arbitrage (1998) (0)
Control by intervention (1993) (0)
The Kelly Criterion Portfolio and Fractional Kelly Strategies in the Merton World 2 . 1 The Kelly Criterion Portfolio in the Merton Model (2012) (0)
Factor Estimation: Filtering and Black-Litterman (2014) (0)
1 Martingale Representation and All That (2005) (0)
Analysis, probability and stochastic processes (1993) (0)
Risk/Arbitrage Strategies: A New Concept for Asset/Liability Management, Optimal Fund Design and Optimal Portfolio Selection in a Dynamic, Continuous-Time Framework Part I: Securities Markets (1998) (0)
1. Money, banking, and financial markets (2019) (0)
Infinite Horizon Problems (2014) (0)
A note on utility-based pricing in models with transaction costs (2015) (0)
LETTER Estimating animal spirits: conservative risk calculation (2014) (0)
Extractive Industry Finance and Mineral Economics (2018) (0)
General Jump-Diffusion Setting (2014) (0)
Managing Against a Benchmark: Jump-Diffusion Case (2014) (0)
A note on utility-based pricing (2015) (0)
Managing Against a Benchmark (2014) (0)
Fund Separation and Fractional Kelly Strategies (2014) (0)
8. The banking crisis and its aftermath (2019) (0)
Factor and Securities Models (2014) (0)
Taming animal spirits: risk management with behavioural factors (2012) (0)
3. The classical theory of option pricing (2019) (0)
Asset and Liability Management: Jump-Diffusion Case (2014) (0)

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What Schools Are Affiliated With Mark H. A. Davis?

Mark H. A. Davis is affiliated with the following schools: