Recent Publications

If you wish to have a reprint of any of these papers, please send an e-mail to: mdavison@uwo.ca

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

T.Whitehead, M.Davison, and R.M.Reesor
Submitted to Journal of Computational Finance, September 2007; Revise & Resubmit decision May 2008.
Note: an earlier, very short, version of this paper appeared in Proceedings of the 41st Actuarial Research Conference, August 10-12, 2006, Centre de Recherches Mathematiques, Universite de Montreal, Montreal, QC, Actuarial Research Clearing House (ARCH) 2007.1, Society of Actuaries

45. 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.

44. Valuing Hydrological Forecasts for a Pump Storage Facility

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

43. De Moivre’s Poisson Approximation to the Binomial

David Bellhouse and Matt Davison International Statistical Review 77(3) 451-459 2009.

42. 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.

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

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

40. Financial Risk Management in a Deregulated Electricity Market

Lindsay Anderson and Matt Davison
Journal of Human and Ecological Risk Assessment, 15(2), 253-269, 2009

39. A Hybrid Simulation Model for Electricity Spot Price in a Deregulated Market

Lindsay Anderson & Matt Davison
IEEE Transactions on Power Systems, (3) 927-937. 2008.

38. An Additivity of Maximum Expectations and its Applications

Chen, Zengjing, Matt Davison, Mark Reesor, and Ying Zhang
Control Theory and Related Topics: In Memory of Xunjing Li, Shanjian Tang and Jiongmin Yong, eds. World Scientific. pp. 67-79, 2007

37. Scale issues in natural and modelled braided rivers

Doeschl, A., Ashmore, P. & Davison, M.
Pp 177-198 of Sambrook Smith G. H., Best, J. L., Bristow, C., Gurnell, A. M. and Petts, G. E. (eds.) Braided River: Processes, Deposits, Ecology, and Management. Special Publication of the IAS, Blackwell Science, Oxford(2006).

36. SIFT: A Scalable Iterative-Unfolding Technique for Filtering Execution Traces

A. Miransky, N. Madhavji, M. Davison, M. Gittens, M. Wilding and D. Godwin and C.A. Taylor
CASCON 2008, to appear.

35. An iterative, multi-level, and scalable approach to comparing execution traces

A. Miransky, , Madhavji, N., Gittens, M.., Davison, M. Wilding, M. and Godwin, D.
Proceedings of ESEC/FSE 2007, 537-540.

34. Optimal Dose-Per-Fraction Schedules for Simple Drug Radiosensization Schedules

Keller, H. and M. Davison
Proceedings of International Conference on Computers in Radiotherapy 2007.

33. Financial Applications of Symbolically Generated Compact Finite Difference Formulae

J. Zhao, R.M. Corless and M. Davison
Proc. Symbolic-Numeric Computation, Xi'an, China, D. Wang & L. Zhi, eds, (2005) 220--234. Texts republished in Symbolic-Numeric Computation, Birkhauser, D. Wang & L. Zhi, 2006, pp. 361--374}.In Proceedings of SNC2005, Dongming Wang & Lihong Zhi, eds. pp. 220-234.

32. Modelling Anomalous Superdiffusion

A. Fisher, S. Seeger, H. Hoffmann, C. Essex & M. Davison
J. Phys A 40 11441-11452 (2007).

31. Optimizing time-limited multi-aspect classification

M. Couillard, J. Fawcett, M. Davison and V. Myers
Proceedings of the Institute of Acoustics 29(6), 89-96 (2007).

30. Compact Finite Difference Method for American Option Pricing

J. Zhao, M. Davison & R. Corless
Journal of Computational and Applied Mathematics 26(1), 306-321 (2007).

29. Competitive modes and their applications

W. Yao, P. Yu. C. Essex, and M. Davison
Int. J. Bifurcation and Chaos, 16(3), 497-522 (2006)

28. An aggregate Weibull method for modeling system-wide generating capacity

L. Anderson and M. Davison
IEEE Transactions on Power Systems", November 2005, 20, 4, 1783-1789.

27. A Comment on Hurst Processes in Financial Time Series

M. Couillard and M. Davison
Physica A 348, 404-418 (2005)

26. Choquet expectation and Peng's g-expectation

Z. Chen. C. Chen, and M. Davison
Annals of Probability 33(3) 1179-1199 (2005)

25. Revenue Management: A real options approach

C. Anderson, M. Davison, and H. Rasmussen
To appear in Naval Logistics Research

24. A Measure of Predictability

W. Yao, P. Yu. C. Essex, and M. Davison
Phys Rev E 69(6) (2004)

23. Valuation and Optimal Control of Electrical Power Plants in Deregulated Markets

M. Thompson, M.Davison and H. Rasmussen
Operations Research 52(4) (2004).

22. A hyperbolic PDE with parabolic behavior

M Davison and A.B. Doeschl
SIAM Review 46(1) 115-127 (2004).

21. Quantifying the Connectivity of Scale-free and Biological Networks

J.S. Shiner and M.Davison
Chaos Solutions and Fractals 21(1) 1-8 (2004).

20. Global Predictability of Chaotic Epidemiological and Dynamics in Coupled Populations

M.Davison, J.S. Shiner and C. Essex
Open Systems and Information Dynamics 10(4) 311-320 (2003).

19. Fractional Diffusion, Irreversibility, and Entropy

X. Li, M.Davison, K.H. Hoffman and C. Shulzky
Journal of Nonequilibrium Thermodynamics 28(3) 279-291 (2003)

18. Many Entropies, Many Disorders

M.Davison and J. S. Shiner
invited review by Open Systems and Information Dynamics 10(3) 281-296 (2003)

17. Development of a Hybrid Model for Electrical Power Spot Prices

M. Davison, L. Anderson, B. Marcus, and K. Anderson
IEEE Trans. on Power Systems 17(2) 257-264 (2002)

16. Optimization in the Face of Contradictory Criteria - the Example of Muscle

M.Davison and J.S. Shiner
Journal of Nonequilibrium Thermodynamics 27(3) 205-216 (2002)

15. Oscillation and Stability of age-structured populations

X. Li, C. Essex and M.Davison
Far East Journal of Applied Mathematics 8(1) 13-41 (2002)

14. A Study of Gravitational Wave Form from Pulsars

S.R. Valluri, J.J. Drozd, F.A. Christie, R.G. Biggs, M.Davison, S. Dhurandar, B.S. Sathyaprakash
Classical and Quantum Gravity 19 1327-1334 (2002)

13. The Differential Equation Describing Random Walks on the Koch Curve

C. Essex, M.Davison, C.Schulkzy, A. Franz and K.H. Hoffmann
J. Phys A. 34 8397-8406 (2001)

12. A New Finite Difference Procedure for Fixed-Strike Asian Options

L. Anderson, H. Rasmussen, and M.Davison
Computational Intelligence: Methods and Applications, ICSC Academic Press/Canada/The Netherlands 302-306 (2001)

11. Clouds, Fibers, and Echoes: a new Approach to Studying Random Walks on Fractals

M.Davison, C. Essex, C.Schulkzy, A. Franz and K.H. Hoffmann
J. Phys A. 34 289-296 (2001)

10. The Similarity Group and Anomalous Diffusion Equations

C. Schulzky, C. Essex, M.Davison, A. Franz and K.H. Hoffmann
J. Phys A. 33, 5501-5511 (2000)

9. Numerical Monsters

C. Essex, M. Davison, and C. Schulzky
ACM SIGSAM Bulletin 134, 16-32 (2000)

8. Response to Comment on "Simple Measure for Complexity"

J.S. Shiner, M. Davison, and P.T. Landsberg
Physical Review E 62, 3000 (2000)

7. On a Simple Measure of Complexity

J.S. Shiner, M. Davison, and P.T. Landsberg
Physical Review E 59, 1459-1464 (1999)

6. On Measures for Order and its Relation to Complexity

J.S. Shiner, M. Davison, and P.T. Landsberg
Nonlinear Systems Approach to Cognitive Psychology and Cognitive Science 78, 108-116 (1999)

5. Fractional Differential Equations and Initial Value Problems

M. Davison and C. Essex
The Mathematical Scientist 23, 108-116 (1998)

4. Order and Complexity in the Genetic Code Hierarchy (Abstract)

J.S. Shiner, M. Davison and P.T. Landsberg
Biophysical Journal 74(2), A175 (1998)

3. Order, Disorder, and Complexity in Hierarchies

J.S. Shiner and M. Davison
Acta Polytechnica ScandinaviaMa91, 159-168 (1998)

2. Operator Uncertainty as a Pseudo-Error in Initial Conditions: A Scenario for Kinetic Scale Effects on Weather and Climate

C. Essex and M. Davison,
Open Systems and Information Dynamics 5, 125-138 (1998)

1. Resistance to Environmental Degradation in Tecoflex Polyurethene: Correlation of SEM and mechanical data, in Development and Design with Advanced Materials

J.M. Lee, M. Davison, and J.D. Spunt
G.C. Sih, S.V. Hoa, and J.T. Pindera, eds Elsevier (1994)