Complete-Market Models of Stochastic Volatility

Mark Davis is Professor of Mathematics at Imperial College London, specializing in financial mathematics, in particular in credit risk models, pricing in incomplete markets and stochastic volatility.

Event information
Date	31 October 2000
Time	13:00-14:00 (Timezone: Europe/London)
Venue	ICMA Centre, Room G03/04
Event types: Research Seminars

He also acts as a consultant to the BroadStreet Group, a newly-founded capital markets company. From 1995-1999 he was Head of Research and Product Development at Tokyo-Mitsubishi International, leading a front-office group providing pricing models and risk analysis for fixed-income, equity and credit-related products. Dr Davis holds a PhD from the University of California Berkeley and is the author of three books on stochastic analysis and optimisation. He was a founding co-editor of the journal Mathematical Finance (1990-93) and is currently an associate editor of Quantitative Finance.
http://www.ma.ic.ac.uk/~mdavis/

Complete-Market Models of Stochastic Volatility

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