The University of Western Ontario
Matt Davison is Professor of Applied Mathematics and of Statistical & Actuarial Sciences at the University of Western Ontario, where is Director of the School of Mathematical & Statistical Sciences. Matt's research interest include Energy Finance, Industrial Mathematics, Options Pricing, and Risk Management. Matt is the 2017-2019 President of the Canadian Applied and Industrial Math Society.
Articles by Matt Davison
A forward dynamic optimization strategy under contango storage arbitrage with frictions
The goal of this paper is to explain and improve the offshore oil storage trade observed in a contango market using a forward dynamic optimization strategy. The strategy is developed using trades in forward contracts and contrasted with the literature.
Modeling energy spreads with a generalized novel mean-reverting stochastic process
In this paper, the authors investigate the new mean-reverting RW and its continuous-time limit, introduced by Moosavi and Davison (2016).