34 citations · 37 across the 8 of their papers we have counts for
11 papers
Perturbation analysis of sub/super hedging problems
Sergey Badikov, Mark H. A. Davis, Antoine Jacquier
We investigate the links between various no-arbitrage conditions and the existence of pricing functionals in general markets, and prove the Fundamental Theorem of Asset Pricing the…
Verification of internal risk measure estimates
Mark H. A. Davis
This paper concerns sequential computation of risk measures for financial data and asks how, given a risk measurement procedure, we can tell whether the answers it produces are `co…
Risk-sensitive investment in a finite-factor model
Grzegorz Andruszkiewicz, Mark H. A. Davis, Sébastien Lleo
A new jump diffusion regime-switching model is introduced, which allows for linking jumps in asset prices with regime changes. We prove the existence and uniqueness of the solution…
Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model
Mark Davis, Sebastien Lleo
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem [SIAM J. Fin. Math. (2011) 22-54] by allowing jumps in both the factor process…
Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach
Mark Davis, Sebastien Lleo
In this paper, we extend the jump-diffusion model proposed by Davis and Lleo to include jumps in asset prices as well as valuation factors. The criterion, following earlier work by…
Arbitrage Bounds for Prices of Weighted Variance Swaps
Mark H. A. Davis, Jan Obloj, Vimal Raval
We develop robust pricing and hedging of a weighted variance swap when market prices for a finite number of co--maturing put options are given. We assume the given prices do not ad…