A Little About Me

I am full professor of Applied Mathematics, Statistical & Actuarial Sciences, and Business at Western University Canada, where I hold the Canada Research Chair in Quantitative Finance.

Prior to working at Western I was a front office trading floor quant at Deutsche Bank (1997-1999) and a postdoctoral researcher in theoretical physiology at the University of Bern (1995-1999).

I received my PhD in Applied Mathematics from Western in 1995.In 1991 I graduated with my B.A.Sc. in Engineering Science at the University of Toronto, where I specialized in Engineering Geophysics. I graduated from Westdale Secondary School in Hamilton in 1987.

My research interests include energy finance, quantitative risk management, and applied operations research. At the bottom of this web page is a list of my recent papers in each of these areas.

In energy finance I work on the optimal control of energy assets, pricing options on carbon markets, and the economic analysis of green energy sources. My background in engineering and my expertise in operational research, together with my research in modern quantitative finance all come in handy in this area.

In quantitative risk management my main interests are in pricing and hedging options, particularly on a large number of underlying assets. I am also working on final revisions of my financial math textbook which will appear later in 2013.

In applied operations research/industrial mathematics, I have helped organizations in industry, government, and health care solve problems ranging from cancer treatment optimization to the detection of naval mines.

I am very happy with my strong team of current graduate students in the department of Applied Mathematics at Western and in the Department of Statistical and Actuarial Sciences. I am also very proud of my many past students who go from professional success to professional success.

I am married to Christine, a speech therapist at the Thames Valley District School board and am the proud dad of two boys, Liam (11 years old) and Shawn (9 years old). My personal interests include the outdoors, swimming and boating, literature, and history.

Recent Energy Finance Papers

Analyzing the impact of environmental variables on the repayment time for solar farms under feed-in tariff

B. Lu and M. Davison
Environmental Systems Research 2(5), doi:10.1186/2193-2697-2-5,2013.

Geological Compressed Air Energy Storage as an enabling technology for renewable energy in Ontario, Canada

J. Konrad, R. Carriveau, M. Davison, F. Simpson, and D. Ting
The International Journal of Environmental Studies 69(2) 350-359, 2012.

Factors affecting the value of environmental predictions to the energy sector

M. Davison, O. Gurtuna, C. Masse & B. Mills
Environmental Systems Research 1(1), 2012

Using a Spark-Spread Valuation to Investigate the Impact of Corn-Gasoline Correlation on Ethanol Plant Valuation.

N. Kirby and M. Davison
Energy Economics 32, 1221-1227, 2010.

When does variable power pricing alter the behavior of hydroelectric facility operators?

Guangzhi Zhao and Matt Davison
Renewable Energy 34, 1064-1077, 2009.

Natural Gas Storage Valuation and Optimization: A Real Options Application

Matt Thompson, Henning Rasmussen, and Matt Davison
Naval Research Logistics 56(30) 226-238, 2009.

Valuing Hydrological Forecasts for a Pump Storage Facility

Guangzhi Zhao and Matt Davison, Journal of Hydrology 373, 453-462 2009

Recent Financial Mathematics and Risk Management Papers

A Bias-reduction Technique for Monte Carlo Pricing of Early-exercise Options

T.Whitehead, M.Davison, and R.M.Reesor
Journal of Computational Finance 15(3) 33-69, 2012.

Fair Value and Risk Profile for Presale Contracts of Condominiums

J. Choi, H. Rasmussen, and M. Davison
Journal of Real Estate Finance and Economics 44(4), 272-504, 2012.

Uniqueness of solutions for multidimensional BSDEs with uniformly continuous generators

S. Fan, L. Jiang and M. Davison
Comptes Rendus Mathematique 348, 683-686, 2010

Efficient Construction of Robust Hedging Strategies Under Jump Models

V. Surkov and Matt Davison
Canadian Applied Math Quarterly 17(4) 755-776, 2009.

The early exercise region for Bermudan options on multiple underlyings

Jeff Kay, Matt Davison, and Henning Rasmussen
Mathematical and Computer Modelling, 50 1448-1460. 2009.

Recent Applied Optimization and Industrial Mathematics Papers

A novel dose-volume metric for optimizing therapeutic ratio through fractionation: Retrospective analysis of lung cancer treatments

H. Keller, A. Hope, G. Meier, & M. Davison
To appear, Medical Physics 40(8)

Using entropy measures for comparison of software traces

A.V. Miranskyy, M. Davison, M. Reesor, and S.S. Murtaza
Information Sciences 203 59-72, 2012.

Optimizing Constrained Search Patterns for Remote Mine Hunting Vehicles

M. Couillard, J. Fawcett & M. Davison
IEEE J. Ocean Engineering, 37(1) 75-84, 2012