# Matt Davison

Professor

Office: NCB 240D

Phone: 519-661-2111 x83621

Email: mdavison@uwo.ca

Ph.D. University of Western Ontario, 1995

**Research Areas**

- Financial Mathematics
- Particularly Commodity Finance Mathematics and Data Science to study Financial Wellness Stochastic Optimal Control including Hamilton Jacobi Bellman PDE
- Applied Probability Theory
- Industrial Mathematics

**Graduate Students Supervision**

- Yuhao Zhou (2020 - present, co-supervised with Cristian Bravo Roman)

**Publications**

- J. Chen*, M. Davison, (2021). “Deterministic Asymmetric-cost Differential Games for Energy Production with Production Bounds”,
*Operations Research Forum***2**, article 50. - L.E. Nunes, M.V.A. Lima, A.L. daSilva-Leite, M. Davison, (2021). “Switch and Defer Options in Renewable Energy Projects: Evidence from Brazil”.
*Energy***231**, 120972 - J. Chen*, M. Davison, M. Escobar-Anel, G. Zolari. (2021). “Robust Portfolios with Commodities and Stochastic Interest Rates”.
*Quantitative Finance***21**(6): 991-1010. - M. Davison, Y. Lawryshyn and V. Miklyukh. (2020). “Optimal Inventory Policy Through Dual Sourcing”,
*Computational Management Science***17**(2): 327-255. - M. Davison, D. Leadbetter, B. Lu*, & J. Voll, (2019). “Are Counterparty Arrangements in Reinsurance a Threat to Financial Stability”
*Assurances et Gestion des Risques***86**(2-3): 191-234. - M. Rezamand, R. Carriveau, D. Ting, M. Davison. (2019). “Aggregate Reliability Analysis of Wind Turbine Generators”.
*IET Renewable Power Generation*.**13**(11): 1902-1910. - Lehmberg, D and Davison, M. (2018) “The impact of power distance and uncertainty avoidance on real options exercise: Potential for suboptimal time delays and value destruction”
*Journal of Behavioral Finance***19**(1), 62-72 - Owalabi,K. E. Pindza, E. and Davison, M. (2017). “Dynamical Study of two predators and one prey system with Fractional Fourier Transform Method”,
*Numerical Methods for Partial Differential Equations*. 1-23 - Ghafouri, B. & M. Davison, M. (2017), “A Forward Dynamic Optimization Strategy under Contago Storage Arbitrage with Frictions”,
*J. Energy Markets***10**(3), Sept 2017. - Chen, F, Mamon R & Davison, M (2017), “Inference for a Mean-reverting Stochastic Process with Multiple Change Points”,
*Electronic Journal of Statistics***11**, 2199-2257. - Krougly, Z Davison, M & S. Aiyar, S(2017). “The Role of High-Precision Arithmetic in Calcuating Numerical Laplace & Inverse Laplace Transforms”,
*Applied Mathematics***8**(4) 562. - Moosavi, H & Davison, M (2017) “Mathematical Properties and Financial Applications of a Novel Mean- reverting Random Walk in Discrete and Continuous Time”,
*J. Energy Markets***10**(1), March 2017 - Davison, M, Leadbetter, D, Lu, B & Voll, J (2016) “Are Counterparty Arrangements in Reinsurance a Threat to Financial Stability
*”, Bank of Canada Working Paper series*, Aug 18 2016 - Chong, M., Bravo, C. & Davison, M. (2015) "How much effort should be used to detect fraudulent applications when engaged in classifier-based lending?"
*Intelligent Data Analysis***19**(s1), s87-s101 - Mamon, R., Tenyakov, A. and Davison, M. (2016). Filtering of a Discrete-Time HMM-Driven Multivariate Ornstein-Uhlenbeck Model with Application to Forecasting Market Liquidity Regimes. IEEE Journal on Selected Topics in Signal Processing, 10 (6), 7445144: 994-1005.
- Davison, M. (2016). Privacy preserving predictive analytics with smart meters. Various Publications, 7584937 190-197.
- Kim, D., Ødegaard, F. and Davison, M. (2015). Do retailers set optimal prices in the case of the retail gasoline market?. International Journal of Revenue Management, 8 (3-4): 241-259.
- Maxwell, C. and Davison, M. (2015). Real options with regulatory policy uncertainty. Fields Institute Communications, 74: 239-273.
- Anderson, L., Davison, M. and Burke, N. (2015). Optimal management of wind energy with storage: Structural implications for policy and market design. Journal of Energy Engineering, 141 (1) B4014002.
- Mamon, R., Davison, M. and Tenyakov, A. (2015). Modelling high-frequency FX rate dynamics: A zero-delay multi-dimensional HMM-based approach. Knowledge-Based Systems, .
- Mamon, R., Xi, X. and Davison, M. (2014). A Higher-Order Hidden Markov Chain-Modulated Model for Asset Allocation. Journal of Mathematical Modelling and Algorithms , 13 (1): 59-85.
- Davison, M. and Maxwell, C. (2014). Using real option analysis to quantify ethanol policy impact on the firm's entry into and optimal operation of corn ethanol facilities. Energy Economics, 42: 140-151.
- Fan, S., Jiang, L. and Davison, M. (2013). Existence and uniqueness result for multidimensional BSDEs with generators of Osgood type. Frontiers of Mathematics in China, 8 (4): 811-824.
- Keller, H., Davison, M., Hope, A. and Meier, G. (2013). A novel dose-volume metric for optimizing therapeutic ratio through fractionation: Retrospective analysis of lung cancer treatments. Medical Physics, 40 (8), 084101 .
- Couillard, M., Fawcett, J. and Davison, M. (2012). Optimizing constrained search patterns for remote mine-hunting vehicles. Source of the Document IEEE Journal of Oceanic Engineering, 37 (1), 6104186: 75-84.
- Reesor, M., Whitehead, T. and Davison, M. (2012). A bias-reduction technique for Monte Carlo pricing of early-exercise options. Journal of Computational Finance, 15 (3): 33-69.
- Davison, M., Carriveau, R., Konrad, J., Simpson, F. and Ting, D. S. (2012). Geological compressed air energy storage as an enabling technology for renewable energy in Ontario, Canada. Int. J. Bifurcations and Chaos, 69 (2): 350-359.
- Davison, M., Choi, J. and Rasmussen, H. (2012). Fair value and risk profile for presale contracts of condominiums. Journal of Real Estate Finance and Economics, 44 (4): 472-504.
- Miransky, A., Reesor, M., Davison, M. and Murtaza, S. S. (2012). Using entropy measures for comparison of software traces. Information Sciences, 203: 59-72.
- Davison, M., Erlwein, C. and Mamon, R. (2011). An examination of HMM-based investment strategies for asset allocation. Applied Stochastic Models in Business and Industry, 27 (3): 204-221.
- Keller, H., Davison, M. and Kim, D. (2011). Radiotherapy dose fractionation under parameter uncertainty. AIP Conference Proceedings, 1368: 179-182.
- Fan, S., Jiang, L. and Davison, M. (2010). Uniqueness of solutions for multidimensional BSDEs with uniform continuous generators. Comptes Rendus Mathematique, 348: 683-686.
- Tian, D., Jiang, L. and Davison, M. (2010). On the existence of solutions to BSDEs with generalized uniformly continuous generators. Statistics and Probability Letters, 80: 903-909.
- Kirby, N. and Davison, M. (2010). Using a spark-spread valuation to investigate the impact of corn-gasoline correlation on ethanol plant valuation. Energy Economics, 32: 1221-1227.
- Deakin, A. S. and Davison, M. (2010). An analytic solution for Vasicek interest rate convertible bond model. Journal of Applied Mathematics, published online Jan 6 2010.
- Choi, J., Rasmussen, H. and Davison, M. (2010). Fair value and risk profile for presale contracts of condominiums. Journal of Real Estate Finance and Economics, published online Apr 13 2010.
- Bellhouse, D. R. and Davison, M. (2009). De Moivre's Poisson Approximation to the Binomial. International Statistical Review, 77(3): 451-459.
- Kay, J., Davison, M. and Rasmussen, H. (2009). The early exercise region for Bermudan options on multiple underlyings. Mathematical Computer Modelling, 50: 1448-1460.
- Zhao, G. and Davison, M. (2009). Valuing hydrological forecasts for a pump storage facility. Journal of Hydrology, 373: 453-462.
- Thompson, M., Davison, M. and Rasmussen, H. (2009). Natural gas storage valuation and optimization: a real options application. Naval Research Logistics, 56(3): 226-238.
- Zhao, G. and Davison, M. (2009). When does variable power pricing alter the behavior of hydroelectric facility operators?. Renewable Energy, 34: 1062-1077.
- Anderson, L. and Davison, M. (2009). Financial risk management in a deregulated electricity market. Journal of Human and Ecological Risk Assessment, 15(2): 253-269.
- Erlwein, C., Mamon, R. and Davison, M. (2009). An examination of HMM-based investment strategies for asset allocation. Applied Stochastic Models in Business and Industry, published online Dec 1 2009.
- Anderson, L. and Davison, M. (2008). A hybrid system-econometric model for electricity spot prices: considering spike sensitivity to forced outage distributions. IEEE Transactions on Power Systems, 23(3): 927-937.
- Naryshkin, R. and Davison, M. (2008). Numerical methods for portfolio optimization under habit formation and transaction costs. Proceedings of China-Canada Industry Workshop on Enterprise Risk Management, ISBN 978-1-926642-00-0.
- Miransky, A., Madhavji, N., Davison, M., Gittens, M., Wilding, M., Godwin, D. and Taylor, C. A. (2008). SIFT: A Scalable Iterative-Unfolding Technique for filtering execution traces. CASCON 2008, .
- Davison, M., Descurieux, J., Masse, C., McBean, G. and Parker, T. (2008). Value of weather, climate, and climate change information, Theme 1: needs, capacities, and experiences. SERA North, Economics of Weather, Climate, and Climate Change. Synthesis of a meeting held 21-22 February, Waterloo, Canada. Adaptation and Impacts Research Division, Environment Canada, ISBN 978-1-100-10248-9.
- Fisher, A., Seeger, S., Hoffmann, H., Essex, C. and Davison, M. (2007). Modelling anomalous superdiffusion. Journal of Physics A, 40: 11441-11452.
- Couillard, M., Fawcett, J., Myers, V. and Davison, M. (2007). Optimizing time-limited multi-aspect classification. Proceedings of the Institute of Acoustics, 29(6): 89-96.
- Miransky, A., Madhavji, N., Gittens, M., Davison, M., Wilding, M. and Godwin, D. (2007). An iterative, multi-level, and scalable approach to comparing execution traces. Proceedings of ESEC/FSE, 537-540.
- Zhao, J., Corless, R. and Davison, M. (2007). Compact finite difference method for American option pricing. Journal of Computational and Applied Mathematics, 26(1): 306-321.
- Davison, M., Chen, Z., Reesor, M. and Zhang, Y. (2007). An additivity of maximum expectations and its applications. Control Theory and Related Topics: In Memory of Xunjing (eds: Shanjian Tang and Jiongmin Yong) Li , 67-79. World Scientific.
- Keller, H. and Davison, M. (2007). Optimal dose-per-fraction schedules for simple drug radiosensization schedules. Proceedings of International Conference on Computers in Radiotherapy, 386-390.
- Davison, M., Reesor, M. and Whitehead, T. (2007). A bias reduction technique for the Monte Carlo pricing of early exercise options. Actuarial Research Clearing House (Society of Actuaries), Article 2007.1.
- Yao, W., Yu, P., Essex, C. and Davison, M. (2006). Competitive mode and their applications. Int. J. Bifurcations and Chaos, 16(3): 497-522.
- Zhao, J., Corless, R. and Davison, M. (2006). Financial applications of symbolically generated compact finite difference formulae. Symbolic-Numeric Computation (eds.: D. Wang & L. Zhi), 361-374.
- Doeschl, A. and Davison, M. (2006). Scale issues in natural and modelled braided rivers. Braided River: Processes, Deposits, Ecology, and Management (eds.: Sambrook Smith G.H., Best, J. L., Bristow, C., Gurnell, A. M. and Petts, G. E.), 177-198.Special Publication of the IAS, Blackwell Science, Oxford..
- Anderson, L. and Davison, M. (2005). An aggregate Weibull approach for modeling short-term system generating capacity. IEEE Transactions on Power Systems, 20(4): 1783-1789.
- Shiner, S. and Davison, M. (2005). Extended entropies and disorder. Advances in Complex Systems, 8(1): 125-158.
- Couillard, M. and Davison, M. (2005). A comment on measuring the Hurst exponent in financial time series. Physica A, 348: 404-418.
- Chen, Z., Chen, T. and Davison, M. (2005). Choquet expectation and Peng’s g-expectation. Annals of Probability, 33(3): 1179-1199.
- Davison, M. (2004). Publications 2004 and earlier. Various Publications, . Reprint.