Mark Davis

Imperial College London

Distinguished Research Fellow

South Kensington Campus

London SW7 2AZ, SW7 2AZ

United Kingdom

http://www.ma.ic.ac.uk/~mdavis

SCHOLARLY PAPERS

20

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4,062

SSRN CITATIONS
Rank 19,966

SSRN RANKINGS

Top 19,966

in Total Papers Citations

9

CROSSREF CITATIONS

40

Scholarly Papers (20)

1.

Consistency of Risk Measure Estimates

Number of pages: 14 Posted: 19 Oct 2013
Mark Davis
Imperial College London
Downloads 668 (44,610)
Citation 10

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Value at risk, conditional value at risk, quantile estimation, prequential statistics, risk management, consistent estimates

2.

Model-Free Methods in Valuation and Hedging of Derivative Securities

Number of pages: 18 Posted: 16 Apr 2015
Mark Davis
Imperial College London
Downloads 500 (64,604)

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model-free methods, derivative pricing, Breedon-Litzenberger formula, Skorokhod embedding, optimal transport, linear programming

3.

Taming Animal Spirits: Risk Management with Behavioural Factors

Number of pages: 23 Posted: 12 Apr 2012
Imperial College London, NEOMA Business School and Imperial College London
Downloads 488 (66,532)
Citation 1

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collateralized loans, animal spirits, confidence indices, market-consistent valuation, numeraire portfolio, structural credit risk models

4.

Black-Litterman in Continuous Time: The Case for Filtering

Quantitative Finance Letters, Forthcoming
Number of pages: 11 Posted: 09 May 2013 Last Revised: 04 Jul 2013
Mark Davis and Sebastien Lleo
Imperial College London and NEOMA Business School
Downloads 327 (106,376)
Citation 2

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Black-Litterman, Kalman filter, stochastic control, risk-sensitive control, asset management, parameter estimation, expert opinion

5.

Debiased Expert Forecasts in Continuous Time Asset Allocation

Number of pages: 43 Posted: 22 Sep 2015 Last Revised: 23 Dec 2019
Mark Davis and Sebastien Lleo
Imperial College London and NEOMA Business School
Downloads 303 (115,563)

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Behavioral Finance; Black-Litterman; Expert Opinions; Kalman Filter; Portfolio Selection; Stochastic Control

6.

Variance Derivatives: Pricing and Convergence

Number of pages: 54 Posted: 01 May 2012
John Crosby and Mark Davis
affiliation not provided to SSRN and Imperial College London
Downloads 287 (122,353)
Citation 7

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variance swaps, discrete monitoring, log-forward contract, entropy-forward contract, continuous-time limit

7.

A Simple Procedure to Incorporate Predictive Models in a Continuous Time Asset Allocation

Quantitative Finance Letters, Forthcoming
Number of pages: 12 Posted: 13 Feb 2016
Mark Davis and Sebastien Lleo
Imperial College London and NEOMA Business School
Downloads 272 (129,487)

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Black-Litterman, Kalman filter, stochastic control, risk-sensitive control, asset management, expert opinion, equity market crashes, BSEYD, CAPE

8.

Quantification of Counterparty Risk Via Bessel Bridges

Number of pages: 16 Posted: 12 Dec 2010
Mark Davis and Martijn Pistorius
Imperial College London and Imperial College London
Downloads 244 (144,527)
Citation 3

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Counterparty risk, credit risk, structural model, swap, joint equity-credit modelling

9.

A Note on Utility-Based Pricing

Mathematics and Financial Economics, Vol. 9, No. 3, 2015
Number of pages: 7 Posted: 05 Aug 2010 Last Revised: 29 Jul 2015
Mark Davis and Daisuke Yoshikawa
Imperial College London and Hokkai-Gakuen University
Downloads 166 (205,844)
Citation 3

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utility-based pricing, utility indifference pricing, equilibrium, exponential utility

10.

An Equilibrium Approach to Indifference Pricing

In: M. Kijima, Y. Muromachi and T. Shibata (Eds.), Recent Advances in Financial Engineering, World Scientific, pp.29-56, (2016), with corrections and additional topics, as the title "An equilibrium approach to indifference pricing with model uncertainty".
Number of pages: 16 Posted: 11 Mar 2010 Last Revised: 07 Apr 2016
Mark Davis and Daisuke Yoshikawa
Imperial College London and Hokkai-Gakuen University
Downloads 151 (222,900)
Citation 7

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Indifference Pricing, Equilibrium

11.

Jump-Diffusion Asset-Liability Management via Risk-Sensitive Control

Number of pages: 29 Posted: 13 Nov 2013
Mark Davis and Sebastien Lleo
Imperial College London and NEOMA Business School
Downloads 137 (241,079)
Citation 2

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Asset and Liability Management, Risk-Sensitive Asset Management, Risk-Sensitive Control, Classical Solutions, Viscosity Solutions, Jump Diffusion Processes, Fund Separation Theorems

12.

A Beaufort Scale of Predictability

Number of pages: 11 Posted: 21 Dec 2014
Mark Davis
Imperial College London
Downloads 127 (255,592)
Citation 1

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prediction, theories of probability, states of randomness

13.

A Note on Utility-Based Pricing in Models with Transaction Costs

Mathematics and Financial Economics, Vol. 9, No. 3, 2015
Number of pages: 12 Posted: 30 Mar 2012 Last Revised: 29 Jul 2015
Mark Davis and Daisuke Yoshikawa
Imperial College London and Hokkai-Gakuen University
Downloads 114 (276,634)
Citation 1

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equilibrium, transaction costs, indifference pricing, utility-based price

14.

Animal Spirits and Value at Risk Estimation

Number of pages: 25 Posted: 18 Apr 2014
Imperial College London, Imperial College London and NEOMA Business School
Downloads 100 (302,785)
Citation 1

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animal spirits, behavioural finance, value at risk, hidden Markov models, estimation

15.

Risk-Sensitive Investment in a Market with Animal Spirits

Number of pages: 24 Posted: 05 Aug 2014
Imperial College London, Imperial College London and NEOMA Business School
Downloads 98 (306,780)

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jump-diffusion processes, Markov chains, piecewise deterministic process, risk-sensitive control, animal spirits, fund separation result, Kelly strategies.

16.

Debiased Expert Opinions in Continuous Time Asset Allocation: Supplementary Material

Number of pages: 9 Posted: 21 May 2018 Last Revised: 24 May 2018
Mark Davis and Sebastien Lleo
Imperial College London and NEOMA Business School
Downloads 41 (478,442)

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Behavioral Finance, Black-Litterman, Expert Opinions, Kalman Filter, Portfolio Selection, Stochastic Control

17.

Perturbation Analysis of Sub/Super Hedging Problems

Number of pages: 29 Posted: 28 Jun 2018
Imperial College London, Imperial College London and Imperial College London
Downloads 39 (487,365)

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duality, infinity-dimensional linear programming, super-hedging, perturbation methods

18.

A Simple Procedure for Merging Expert Opinions to Achieve Superior Portfolio Performance

Journal of Portfolio Management, Forthcoming
Posted: 18 Jul 2015 Last Revised: 19 Jul 2015
Mark Davis and Sebastien Lleo
Imperial College London and NEOMA Business School

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portfolio selection, expert opinion, behavioural finance, Black-Litterman, Kalman filter, benchmarked asset management, Asset and Liability Management, stochastic programming, stochastic control.

19.

Arbitrage Bounds for Prices of Weighted Variance Swaps

Mathematical Finance, Vol. 24, Issue 4, pp. 821-854, 2014
Number of pages: 34 Posted: 24 Sep 2014
Mark Davis, Jan Obłój and Vimal S Raval
Imperial College London, University of Oxford - Mathematical Institute and Imperial College London - Department of Mathematics
Downloads 0 (754,651)
Citation 2
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weighted variance swap, weak arbitrage, arbitrage conditions, model‐independent bounds, pathwise Itô calculus, semi‐infinite linear programming, fundamental theorem of asset pricing, model error

20.

Behavioral Benchmarked Investment Management with Expert Forecasts

Number of pages: 55
Sebastien Lleo and Mark Davis
NEOMA Business School and Imperial College London
Downloads 0

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active management, benchmark, expert opinions, Kalman filter, Kelly criterion, risk-sensitive stochastic control