People at UWO Applied Mathematics

Matt Davison
Professor

Department of Applied Mathematics Western Science Centre, room 221 London, ON, Canada N6A 5B7 tel: (519) 661-3621 fax: (519) 661-3523 email: mdavison@uwo.ca web: http://www.apmaths.uwo.ca/~mdavison/ Assistant Vice President, Equity Arbitrage, Deutsche Bank Canada, 1997-1999 Ph.D., Applied Mathematics, UWO, 1995 M.Sc., Applied Mathematics, UWO, 1993 B.A.Sc., Engineering Science, Univ. of Toronto, 1991

Research Interests

• Energy Finance (Electricity Spot price modelling; Weather Derivatives, Optimal control of generating assets)
• Real Options (Application of Financial Math Ideas to Operations Research Problems)
• Applied Probability Theory
• Partial Differential Equations

Representative Publications

• Guangzhi Zhao and Matt Davison (2009), "Valuing Hydrological Forecasts for a Pump Storage Facility", Journal of Hydrology 373, 453-462.
• Matt Thompson, Matt Davison and Henning Rasmussen (2009), "Natural Gas Storage Valuation and Optimization: A Real Options Application", Naval Research Logistics 56(3), 226-238.
• Guangzhi Zhao and Matt Davison (2009). "When does variable power pricing alter the behavior of hydroelectric facility operators?" Renewable Energy 34, 1064-1077.
• Lindsay Anderson & Matt Davison (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.
• Z. Chen, T. Chen and M. Davison (2005), "Choquet expectation and Peng's g-expectation", Annals of Probability 33(3) 1179-1199.
• A. Doeschl and M. Davison (2004), "A hyperbolic PDE with parabolic behaviour", SIAM Review 46 (1), 115-127.
• M. Thompson, M. Davison and H. Rasmussen (2004), "Valuation and Optimal Control of Electrical Power Plants in Deregulated Markets", Operations Research 52(4).