News & Events

 

PIMS Applied Mathematics Seminar Series: Dr. Matt Davison

Posted on 2019-11-29 in News, Events
Dec 12, 2019



PIMS Applied Mathematics Seminar Announcement




Date/Time: Thursday, December 12th @ 3:30 PM


Location: BIOL 106


Speaker: Matt Davison, School of Mathematical & Statistical Sciences Western University  



Title: Energy Real Options: Where Industrial Math meets Financial Math meets the Energy Sector



Abstract:

Life is filled with decisions which must be made with imperfect information.  Sometimes mathematicians can help by reducing uncertainty through improved predictions; but often the uncertainty cannot be avoided.  In this case, optimal decisions under uncertainty may still be made.  When the decisions are financial and the uncertainty can be described by a stochastic process, a great deal of progress can be made by casting problems as coupled sets of Hamilton Jacobi Bellman equations.    The solution of these problems gives optimal control rules and an associated expected financial value of the set of decisions.    A very similar set of ideas and mathematical techniques are used in the quantitative finance realm. 

My talk will describe some of the interesting problems I’ve solved over the past 20 years in the broad area of energy finance and the optimal operation of energy infrastructure.   This work requires the modelling of the important uncertainties facing a given piece of infrastructure, an understanding of the physics and engineering principles governing the operation of the facility, and allows important big picture and operational level insights to be drawn.


Bio:

Matt Davison is a Professor in the School of Mathematical & Statistical Sciences at Western University, where he has served as Dean of Science since July 2018.  Matt has been a faculty member at Western University since 1999, and earned a PhD in Applied Mathematics from that institution in 1995.  Matt held a Tier 2 CRC in Quantitative Finance between 2006 and 2016.  Matt’s research lies in the areas of financial mathematics and industrial mathematics, which combine in his major interest in the economic analysis and optimal control of energy infrastructure under price,  environmental, regulatory, and technological uncertainty.   With his 20 graduated PhD students and his colleagues, Matt is the author of 72 papers, 9 book chapters, and the textbook Quantitative Finance: A Simulation-based introduction using Excel.  Matt has served the Canadian Mathematics community as president of the Canadian Applied & Industrial Math Society (CAIMS-SCMAI) between 2017 and 2019, as a member of the Board of Directors of the Fields Institute for Research in the Mathematical Sciences and as a member of the NSERC Mathematics & Statistics Evaluation group. 


Facebook: https://www.facebook.com/events/1028419680839663/

Twitter: https://twitter.com/UofS_Math_Stats/status/1202260396029227008


Back to News Listing

Related Articles

Four faculty members honoured with College of Arts and Science research awards

Posted on 2019-11-27

The New Research Awards and Distinguished Research Awards are presented annually to faculty members who have had an exceptional impact in their field


Mathematics & Statistics Colloquium - Dr. Liqun Wang - Friday, September 27

Posted on 2019-09-19

Speaker: Liqun Wang, University of Manitoba; Title: Variable selection and estimation in generalized linear models with measurement error


Statistics Canada Information Session: University of Saskatchewan

Posted on 2019-09-13

Statistics Canada Information Session: University of Saskatchewan - Oct 1 @ 10:30 AM in ARTS 105


Quantum centre crosses disciplinary boundaries

Posted on 2019-08-09

The Centre for Quantum Topology and its Applications (quanTA) received approval from University Council in May and is now in operation