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In memoriam: Mark H. A. Davis and his contributions to mathematical finance

Author

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  • Jan Obłój
  • Thaleia Zariphopoulou

Abstract

This Special Issue of Mathematical Finance celebrates the memory of Mark H. A. Davis, one of the founding editors of the journal, and his numerous contributions to mathematical finance.

Suggested Citation

  • Jan Obłój & Thaleia Zariphopoulou, 2021. "In memoriam: Mark H. A. Davis and his contributions to mathematical finance," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1099-1110, October.
    • Handle: RePEc:bla:mathfi:v:31:y:2021:i:4:p:1099-1110
    DOI: 10.1111/mafi.12338
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    References listed on IDEAS

    as
    1. Mark Davis & Sébastien Lleo, 2013. "Jump-Diffusion Risk-Sensitive Benchmarked Asset Management," World Scientific Book Chapters, in: Horand I Gassmann & William T Ziemba (ed.), Stochastic Programming Applications in Finance, Energy, Planning and Logistics, chapter 5, pages 97-127, World Scientific Publishing Co. Pte. Ltd..
    2. Mark Davis & Jan Obloj, 2007. "Market completion using options," Papers 0710.2792, arXiv.org, revised Oct 2008.
    3. Grzegorz Andruszkiewicz & Mark Davis & Sébastien Lleo, 2013. "Taming animal spirits: risk management with behavioural factors," Annals of Finance, Springer, vol. 9(2), pages 145-166, May.
    4. Carvalhais, Z. & Davis, M. H. A., 1986. "Optimal timing of capacity expansion," Journal of Economic Dynamics and Control, Elsevier, vol. 10(1-2), pages 89-91, June.
    5. Tomas Björk & Mark Davis & Camilla Landén, 2010. "Optimal investment under partial information," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(2), pages 371-399, April.
    6. Davis, Mark & Lleo, Sébastien, 2020. "Debiased expert forecasts in continuous-time asset allocation," Journal of Banking & Finance, Elsevier, vol. 113(C).
    7. Mark Davis & Vicente Mataix-Pastor, 2007. "Negative Libor rates in the swap market model," Finance and Stochastics, Springer, vol. 11(2), pages 181-193, April.
    8. Mark Davis & Sébastien Lleo, 2013. "Fractional Kelly Strategies in Continuous Time: Recent Developments," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part II, chapter 37, pages 753-787, World Scientific Publishing Co. Pte. Ltd..
    9. Mark H. A. Davis & Sébastien Lleo, 2014. "Risk-Sensitive Asset Management," World Scientific Book Chapters, in: RISK-SENSITIVE INVESTMENT MANAGEMENT, chapter 2, pages 17-40, World Scientific Publishing Co. Pte. Ltd..
    10. Mark H A Davis & Sébastien Lleo, 2014. "Risk-Sensitive Investment Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9026, January.
    11. M. H. A. Davis & A. R. Norman, 1990. "Portfolio Selection with Transaction Costs," Mathematics of Operations Research, INFORMS, vol. 15(4), pages 676-713, November.
    12. Mark H. A. Davis & Sébastien Lleo, 2014. "Asset and Liability Management," World Scientific Book Chapters, in: RISK-SENSITIVE INVESTMENT MANAGEMENT, chapter 4, pages 57-87, World Scientific Publishing Co. Pte. Ltd..
    13. Giacomo Giampieri & Mark Davis & Martin Crowder, 2005. "Analysis of default data using hidden Markov models," Quantitative Finance, Taylor & Francis Journals, vol. 5(1), pages 27-34.
    14. Mark Davis & SEBastien Lleo, 2008. "Risk-sensitive benchmarked asset management," Quantitative Finance, Taylor & Francis Journals, vol. 8(4), pages 415-426.
    15. Davis, M. H. A. & Gomez, G. L., 1987. "The martingale maximum principle and the allocation of labour surplus," Journal of Economic Dynamics and Control, Elsevier, vol. 11(2), pages 241-247, June.
    16. M. Davis, 2001. "Pricing weather derivatives by marginal value," Quantitative Finance, Taylor & Francis Journals, vol. 1(3), pages 305-308, March.
    17. Mark Davis & Sébastien Lleo, 2011. "Fractional Kelly Strategies for Benchmarked Asset Management," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 27, pages 385-407, World Scientific Publishing Co. Pte. Ltd..
    18. Mark Davis & Sebastien Lleo, 2011. "Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model," Papers 1102.5126, arXiv.org, revised Sep 2012.
    19. M. Farid & M.H.A. Davis, 1999. "Optimal consumption and exploration: A case studyin piecewise‐deterministic Markov modelling," Annals of Operations Research, Springer, vol. 88(0), pages 121-137, January.
    20. Mark H.A. Davis & Sébastien Lleo, 2021. "Risk‐sensitive benchmarked asset management with expert forecasts," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1162-1189, October.
    21. M. H. A. Davis & M. R. Pistorius, 2013. "Explicit solution of an inverse first-passage time problem for L\'{e}vy processes and counterparty credit risk," Papers 1306.2719, arXiv.org, revised Sep 2015.
    22. M. H. A. Davis & W. Schachermayer & R. G. Tompkins, 2001. "Pricing, no-arbitrage bounds and robust hedging of instalment options," Quantitative Finance, Taylor & Francis Journals, vol. 1(6), pages 597-610.
    23. Mark H. A. Davis & David G. Hobson, 2007. "The Range Of Traded Option Prices," Mathematical Finance, Wiley Blackwell, vol. 17(1), pages 1-14, January.
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