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 H. A. Davis and Sebastien Lleo, Jump-diffusion Risk-Sensitive Asset Management II: Jump-diffusion Factor Model, Revised January 2011 [arXiv]
3. Mark Davis, Jan Obloj and Vimal Raval, Arbitrage bounds for weighted variance swap prices, revised version June 2011 [arXiv]
4. Mark Davis and Daisuke Yoshikawa, An equilibrium approach to indifference pricing: this version WP2010-[PDF]
5. Grzegorz Andruszkiewicz, Mark Davis and Sebastien Lleo, Taming animal spirits: risk management with behavioural factors, April 2012 [SSRN]
6. John Crosby and Mark Davis, Variance derivatives: pricing and convergence, May 2012 [SSRN]

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