Mark Davis: Curriculum Vitae
Mark Davis is Distinguished 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 he was Professor and Head of the Mathematical Finance group at Imperial College. His research concentrates on stochastic analysis and financial mathematics, in particular credit risk models, pricing in incomplete
markets and stochastic volatility.
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
from the University of California Berkeley and is the author
of five books on stochastic analysis, optimisation and finance, most recently "Louis Bachelier's Theory of Speculation" (Princeton University Press 2006) written with Alison Etheridge.
He was a founding co-editor of the journal
Mathematical Finance (1990-93) and is currently an
associate editor of Quantitative Finance and the SIAM Journal of Financial Mathematics. He was awarded the Naylor Prize in Applied Mathematics by the London Mathematical Society in 2002.
Biographical data
Degrees:
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)
Appointments:
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- Distinguished Research Fellow, Imperial College
Publications:
Five books and over 60 refereed journal articles on stochastic analysis,
control theory, filtering and financial mathematics
Editorships:
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-
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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