Matt Davison
Matt is the Director of the Financial Wellness Lab of Canada and a Professor in the Departments of Mathematics and of Statistical & Actuarial Sciences at Western University, where he also serves as Dean of Science. He has authored more than 70 peerreviewed academic articles and a textbook on quantitative Finance.
Areas of Interest
Financial Mathematics; Commodity Finance Mathematics; Data Science; Stochastic Optimal Control including Hamilton Jacobi Bellman PDE; Applied Probability Theory; Industrial Mathematics.
Publications

J. Chen*, M. Davison, (2021). “Deterministic Asymmetriccost Differential Games for Energy Production with Production Bounds”, Operations Research Forum 2, article 50.

L.E. Nunes, M.V.A. Lima, A.L. daSilvaLeite, M. Davison, (2021). “Switch and Defer Options in Renewable Energy Projects: Evidence from Brazil”. Energy 231, 120972

J. Chen*, M. Davison, M. EscobarAnel, G. Zolari. (2021). “Robust Portfolios with Commodities and Stochastic Interest Rates”. Quantitative Finance 21(6): 9911010.

M. Davison, Y. Lawryshyn and V. Miklyukh. (2020). “Optimal Inventory Policy Through Dual Sourcing”, Computational Management Science 17(2): 327255.

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(23): 191234.

M. Rezamand, R. Carriveau, D. Ting, M. Davison. (2019). “Aggregate Reliability Analysis of Wind Turbine Generators”. IET Renewable Power Generation. 13(11): 19021910.

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), 6272

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. 123

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 Meanreverting Stochastic Process with Multiple Change Points”, Electronic Journal of Statistics 11, 21992257.

Krougly, Z Davison, M & S. Aiyar, S(2017). “The Role of HighPrecision 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 classifierbased lending?" Intelligent Data Analysis 19 (s1), s87s101

Mamon, R., Tenyakov, A. and Davison, M. (2016). Filtering of a DiscreteTime HMMDriven Multivariate OrnsteinUhlenbeck Model with Application to Forecasting Market Liquidity Regimes. IEEE Journal on Selected Topics in Signal Processing, 10 (6), 7445144: 9941005.

Davison, M. (2016). Privacy preserving predictive analytics with smart meters. Various Publications, 7584937 190197.

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 (34): 241259.

Maxwell, C. and Davison, M. (2015). Real options with regulatory policy uncertainty. Fields Institute Communications, 74: 239273.

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 highfrequency FX rate dynamics: A zerodelay multidimensional HMMbased approach. KnowledgeBased Systems, .

Mamon, R., Xi, X. and Davison, M. (2014). A HigherOrder Hidden Markov ChainModulated Model for Asset Allocation. Journal of Mathematical Modelling and Algorithms , 13 (1): 5985.

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: 140151.

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): 811824.

Keller, H., Davison, M., Hope, A. and Meier, G. (2013). A novel dosevolume 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 minehunting vehicles. Source of the Document IEEE Journal of Oceanic Engineering, 37 (1), 6104186: 7584.

Reesor, M., Whitehead, T. and Davison, M. (2012). A biasreduction technique for Monte Carlo pricing of earlyexercise options. Journal of Computational Finance, 15 (3): 3369.

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): 350359.

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): 472504.

Miransky, A., Reesor, M., Davison, M. and Murtaza, S. S. (2012). Using entropy measures for comparison of software traces. Information Sciences, 203: 5972.

Davison, M., Erlwein, C. and Mamon, R. (2011). An examination of HMMbased investment strategies for asset allocation. Applied Stochastic Models in Business and Industry, 27 (3): 204221.

Keller, H., Davison, M. and Kim, D. (2011). Radiotherapy dose fractionation under parameter uncertainty. AIP Conference Proceedings, 1368: 179182.

Fan, S., Jiang, L. and Davison, M. (2010). Uniqueness of solutions for multidimensional BSDEs with uniform continuous generators. Comptes Rendus Mathematique, 348: 683686.

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: 903909.

Kirby, N. and Davison, M. (2010). Using a sparkspread valuation to investigate the impact of corngasoline correlation on ethanol plant valuation. Energy Economics, 32: 12211227.

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): 451459.

Kay, J., Davison, M. and Rasmussen, H. (2009). The early exercise region for Bermudan options on multiple underlyings. Mathematical Computer Modelling, 50: 14481460.

Zhao, G. and Davison, M. (2009). Valuing hydrological forecasts for a pump storage facility. Journal of Hydrology, 373: 453462.

Thompson, M., Davison, M. and Rasmussen, H. (2009). Natural gas storage valuation and optimization: a real options application. Naval Research Logistics, 56(3): 226238.

Zhao, G. and Davison, M. (2009). When does variable power pricing alter the behavior of hydroelectric facility operators?. Renewable Energy, 34: 10621077.

Anderson, L. and Davison, M. (2009). Financial risk management in a deregulated electricity market. Journal of Human and Ecological Risk Assessment, 15(2): 253269.

Erlwein, C., Mamon, R. and Davison, M. (2009). An examination of HMMbased 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 systemeconometric model for electricity spot prices: considering spike sensitivity to forced outage distributions. IEEE Transactions on Power Systems, 23(3): 927937.

Naryshkin, R. and Davison, M. (2008). Numerical methods for portfolio optimization under habit formation and transaction costs. Proceedings of ChinaCanada Industry Workshop on Enterprise Risk Management, ISBN 9781926642000.

Miransky, A., Madhavji, N., Davison, M., Gittens, M., Wilding, M., Godwin, D. and Taylor, C. A. (2008). SIFT: A Scalable IterativeUnfolding 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 2122 February, Waterloo, Canada. Adaptation and Impacts Research Division, Environment Canada, ISBN 9781100102489.

Fisher, A., Seeger, S., Hoffmann, H., Essex, C. and Davison, M. (2007). Modelling anomalous superdiffusion. Journal of Physics A, 40: 1144111452.

Couillard, M., Fawcett, J., Myers, V. and Davison, M. (2007). Optimizing timelimited multiaspect classification. Proceedings of the Institute of Acoustics, 29(6): 8996.

Miransky, A., Madhavji, N., Gittens, M., Davison, M., Wilding, M. and Godwin, D. (2007). An iterative, multilevel, and scalable approach to comparing execution traces. Proceedings of ESEC/FSE, 537540.

Zhao, J., Corless, R. and Davison, M. (2007). Compact finite difference method for American option pricing. Journal of Computational and Applied Mathematics, 26(1): 306321.

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 , 6779. World Scientific.

Keller, H. and Davison, M. (2007). Optimal doseperfraction schedules for simple drug radiosensization schedules. Proceedings of International Conference on Computers in Radiotherapy, 386390.

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): 497522.

Zhao, J., Corless, R. and Davison, M. (2006). Financial applications of symbolically generated compact finite difference formulae. SymbolicNumeric Computation (eds.: D. Wang & L. Zhi), 361374.

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.), 177198.Special Publication of the IAS, Blackwell Science, Oxford..

Anderson, L. and Davison, M. (2005). An aggregate Weibull approach for modeling shortterm system generating capacity. IEEE Transactions on Power Systems, 20(4): 17831789.

Shiner, S. and Davison, M. (2005). Extended entropies and disorder. Advances in Complex Systems, 8(1): 125158.

Couillard, M. and Davison, M. (2005). A comment on measuring the Hurst exponent in financial time series. Physica A, 348: 404418.

Chen, Z., Chen, T. and Davison, M. (2005). Choquet expectation and Peng’s gexpectation. Annals of Probability, 33(3): 11791199.

Davison, M. (2004). Publications 2004 and earlier. Various Publications. Reprint.