Mir Hashem Moosavi Avonleghi
The University of Western Ontario
Mir Hashem Moosavi Avonleghi earned his Ph.D. in Statistics (Financial Modeling) from the Department of Statistical and Actuarial Sciences (2010-2015) and his M.Sc in Financial Mathematics from the Department of Applied Mathematics (2009-2010), both at the University of Western Ontario (UWO), Canada. Since 2015 he has been a postdoctoral researcher at UWO. His research has focused on pricing commodity processes, pricing spread processes and optimal trading strategies for the spread process in commodity markets.
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In this paper, the authors investigate the new mean-reverting RW and its continuous-time limit, introduced by Moosavi and Davison (2016).