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

19

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3,954

SSRN CITATIONS
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SSRN RANKINGS

Top 18,672

in Total Papers Citations

6

CROSSREF CITATIONS

40

Scholarly Papers (19)

1.

Consistency of Risk Measure Estimates

Number of pages: 14 Posted: 19 Oct 2013
Mark Davis
Imperial College London
Downloads 642 (42,481)
Citation 10

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

2.

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 481 (61,375)
Citation 1

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

3.

Model-Free Methods in Valuation and Hedging of Derivative Securities

Number of pages: 18 Posted: 16 Apr 2015
Mark Davis
Imperial College London
Downloads 478 (61,856)

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

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 324 (97,499)
Citation 1

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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 290 (110,106)

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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 286 (111,737)
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 269 (119,121)

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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 242 (132,864)
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 164 (190,202)
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 142 (214,601)
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 135 (223,432)
Citation 1

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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 121 (242,922)
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 113 (255,308)
Citation 1

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

14.

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 96 (285,517)

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

15.

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 96 (285,517)
Citation 1

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

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 38 (452,968)

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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 37 (457,157)

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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 (698,478)
Citation 1
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Abstract:

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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