World's Best Scientists 2026 revealed!

D-Index & Metrics

Mathematics

D-Index
43
Citations
11431
World Ranking
1660
National Ranking
114

Overview

Mark H. A. Davis was affiliated with Imperial College London in the United Kingdom. The primary field of study for Davis was Economics, Econometrics and Finance, with a focus predominantly on Finance. Their research encompassed several subfields including Psychiatry and Mental Health, Social Psychology, Genetics, and Economics and Econometrics.

Their work spanned several main topics, such as stochastic processes and financial applications, financial markets and investment strategies, financial risk and volatility modeling, empathy and medical education, human-animal interaction studies, credit risk and financial regulations, and sports analytics and performance.

The scientist published in frequent venues including Mathematical Finance, SSRN Electronic Journal, Journal of Banking & Finance, Social Psychological and Personality Science, and Annals of Operations Research.

Recent papers authored by Davis included:

  • Debiased expert forecasts in continuous-time asset allocation, 2020, Journal of Banking & Finance
  • Risk-sensitive benchmarked asset management with expert forecasts, 2021, Mathematical Finance
  • Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data, 2022, Annals of Operations Research
  • Is There Value in Including Information about Animal Cognition and Emotion in Zoo Messaging?, 2022, Visitor Studies

Frequent coauthors working with Davis were Sébastien Lleo, Sara Konrath, Alison Jane Martingano, Lauren Highfill, and Sergey Badikov.

Davis also contributed to book publications, including a title published by WORLD SCIENTIFIC (EUROPE) eBooks entitled Metals and Energy Finance (2024).

Best Publications

  • Portfolio selection with transaction costs

    M. H.A. Davis;A. R. Norman

  • Markov Models & Optimization

    Mark H. A. Davis

  • Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models

    M. H. A. Davis

  • European option pricing with transaction costs

    Mark H. A. Davis;Vassilios G. Panas;Thaleia Zariphopoulou

  • Linear estimation and stochastic control

    Mark Herbert Ainsworth Davis

  • THE RANGE OF TRADED OPTION PRICES

    Mark H. A. Davis;David G. Hobson

  • Pricing weather derivatives by marginal value

    Mark Davis

  • Dynamic Programming Conditions for Partially Observable Stochastic Systems

    M. H. A. Davis;P. Varaiya

  • Capacity and cutoff rate for Poisson-type channels

    M. Davis

  • An Introduction to Nonlinear Filtering

    M. H. A. Davis;Steven I. Marcus

  • OPTIMAL CAPACITY EXPANSION UNDER UNCERTAINTY

    M. H. A. Davis;M. A. H. Dempster;S. P. Sethi;D. Vermes

  • On a multiplicative functional transformation arising in nonlinear filtering theory

    M. H. A. Davis

  • The Representation of Martingales of Jump Processes

    M. H. A. Davis

  • Optimal Investment under Partial Information

    Tomas Björk;Mark H. A. Davis;Camilla Landén

  • Dispositional empathy and the hierarchical structure of personality.

    Todd A. Mooradian;Mark Davis;Kurt Matzler

  • Optimal Hedging with Basis Risk

    Mark H. A. Davis

  • Nonlinear filtering with counting observations

    A. Segall;M. Davis;T. Kailath

  • Malliavin Monte Carlo Greeks for jump diffusions

    Mark H.A. Davis;Martin P. Johansson

  • Strong Consistency of the PLS Criterion for Order Determination of Autoregressive Processes

    E. M. Hemerly;M. H. A. Davis

  • Mathematics of Financial Markets

    Mark Davis

  • Applied stochastic analysis

    M. H. A. Davis;Robert James Elliott

Frequent Co-Authors

Robert J. Elliott
Robert J. Elliott University of Calgary
Pravin Varaiya
Pravin Varaiya University of California, Berkeley
Walter Schachermayer
Walter Schachermayer University of Vienna
Wei Xing Zheng
Wei Xing Zheng Western Sydney University
Oswaldo Luiz do Valle Costa
Oswaldo Luiz do Valle Costa Universidade de São Paulo
Steven I. Marcus
Steven I. Marcus University of Maryland, College Park
Thomas Kailath
Thomas Kailath Stanford University
Suresh P. Sethi
Suresh P. Sethi The University of Texas at Dallas
Steven E. Shreve
Steven E. Shreve Carnegie Mellon University

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