Quantitative and qualitative aspects of Asian and Australian options. While Asian options are highly popular and traded over the counter all over the world, they are traded on an institutional basis in only very few countries. Australia is one of them. Variable purchase options (VPO's), where the payoff is determined by the quotient of a stock and its average price, are traded on the Australian stock exchange since 1992. They build an important component of the Australian derivatives market and ....Quantitative and qualitative aspects of Asian and Australian options. While Asian options are highly popular and traded over the counter all over the world, they are traded on an institutional basis in only very few countries. Australia is one of them. Variable purchase options (VPO's), where the payoff is determined by the quotient of a stock and its average price, are traded on the Australian stock exchange since 1992. They build an important component of the Australian derivatives market and are particularly interesting for foreign investors, who are not able to find this sort of financial product on their domestic markets. A better understanding of these products is necessary to maximize the benefits for Australia's financial markets and economy. Read moreRead less
WaterLog - A mathematical model to implement recommendations of The Wentworth Group. In 2003, The Wentworth Group of Concerned Scientists released their 'Blueprint for a national water plan' with the primary objective to 'protect river health and the rights of all Australians to clean usable water'. Currently, there are significant water restrictions in all the Australian mainland capital cities. In January 2007, the Prime Minister of Australia, announced a bold plan to rescue the Murray-Darling ....WaterLog - A mathematical model to implement recommendations of The Wentworth Group. In 2003, The Wentworth Group of Concerned Scientists released their 'Blueprint for a national water plan' with the primary objective to 'protect river health and the rights of all Australians to clean usable water'. Currently, there are significant water restrictions in all the Australian mainland capital cities. In January 2007, the Prime Minister of Australia, announced a bold plan to rescue the Murray-Darling Basin. The plan incorporates political management changes, and an investment of $10Bn. Now is the time to develop improved techniques for management of water storage systems. This project will develop the fundamental mathematical principles required for this improved management.Read moreRead less
Problems of identification and inference for 'non-standard' models in complex systems with special reference to finance and teletraffic. The project is concerned with 'non-standard' models needed to deal with complex systems, such as those exhibiting scaling and fractal properties. There is a focus on methods for dealing with heavy tailed distributions and long range dependent observations, for which most standard statistical methods break down, and on applications in finance and telecommunicati ....Problems of identification and inference for 'non-standard' models in complex systems with special reference to finance and teletraffic. The project is concerned with 'non-standard' models needed to deal with complex systems, such as those exhibiting scaling and fractal properties. There is a focus on methods for dealing with heavy tailed distributions and long range dependent observations, for which most standard statistical methods break down, and on applications in finance and telecommunications. An important part of the project concerns model validation for Heyde's fractal activity time geometric Brownian motion model, a candidate minimal description risky asset model to replace the geometric Brownian motion paradigm.Read moreRead less
Using Mathematics to Maximize the Value of Open-Pit Mines. Mineral resources are one of Australia's greatest assets. Their effective management will bring substantial long-term benefits to the Australian economy. Planning the exploitation of a mineral resource is a highly complex task. Current methods are approximate, and do not fully consider two critical issues: (1) ore mined at different times must be blended to achieve saleable product and (2) resource markets may not evolve as predicted ....Using Mathematics to Maximize the Value of Open-Pit Mines. Mineral resources are one of Australia's greatest assets. Their effective management will bring substantial long-term benefits to the Australian economy. Planning the exploitation of a mineral resource is a highly complex task. Current methods are approximate, and do not fully consider two critical issues: (1) ore mined at different times must be blended to achieve saleable product and (2) resource markets may not evolve as predicted. In this project we shall develop creative mathematical solutions to maximise the expected net present value of mines with far greater accuracy, taking into account blending and the uncertain nature of future demand.Read moreRead less
Mechanism design for next generation random access wireless protocols. Australia is well placed to take the lead in replacing carbon-intensive travel by teleconferencing, because of its isolation and geographic dispersion. Because these large distances introduce inevitable delays, it is important that the network itself add as little delay as possible for such real-time services. Our novel and practical resource allocation scheme will enable Australians (including Australian industries and rural ....Mechanism design for next generation random access wireless protocols. Australia is well placed to take the lead in replacing carbon-intensive travel by teleconferencing, because of its isolation and geographic dispersion. Because these large distances introduce inevitable delays, it is important that the network itself add as little delay as possible for such real-time services. Our novel and practical resource allocation scheme will enable Australians (including Australian industries and rural communities) to receive better service at lower cost. This project will put Australia on the international stage as a leading contributor to wireless Internet technology. We will provide training for PhD students and postdoctoral fellows in this important area.Read moreRead less
Doubly Stochastic Matrices & The Hamiltonian Cycle Problem. The classical hard problem of determining whether a given graph possesses a Hamiltonian cycle contains the essential difficulty of the famous 'Travelling Salesman Problem'. A characterisation of this difficulty in terms of variability of returns (to the initial state) in a controlled stochastic process will be a significant conceptual advance with repercussions in a number of fields including optimisation and theoretical computer scien ....Doubly Stochastic Matrices & The Hamiltonian Cycle Problem. The classical hard problem of determining whether a given graph possesses a Hamiltonian cycle contains the essential difficulty of the famous 'Travelling Salesman Problem'. A characterisation of this difficulty in terms of variability of returns (to the initial state) in a controlled stochastic process will be a significant conceptual advance with repercussions in a number of fields including optimisation and theoretical computer science. Algorithmic advances exploiting such a characterisation will significantly contribute to existing technologies for solving problems in applications ranging from logistics to cryptography. Since TSP describes certain efficient ways of routing its applicability to information networks is clear.Read moreRead less
Queueing systems and their application to telecommunication systems and dams. The aim of this project is to investigate the behaviour of large queueing systems under critical load conditions and solve problems related to large telecommunication systems, information technologies and dams. The project will have significant economic and social benefits. It will lead to the solution of high priority problems of optimal control of water resources, as well as problems in design technology of high spee ....Queueing systems and their application to telecommunication systems and dams. The aim of this project is to investigate the behaviour of large queueing systems under critical load conditions and solve problems related to large telecommunication systems, information technologies and dams. The project will have significant economic and social benefits. It will lead to the solution of high priority problems of optimal control of water resources, as well as problems in design technology of high speed telecommunication networks. It will suggest new more profitable approaches to known problems such as effective bandwidth problem, analysis and design of computer networks, optimal control of dams, and anticipate not ordinary results and solutions. It will contribute to the mathematical culture in Australia and worldwide. Read moreRead less
A Mathematical Approach to Flexible Management of Open Pit Mines with Uncertain Geology and Unpredictable Demand. This project will create new mathematical algorithms to flexibly manage open pit mining projects. The development of strategic plans for mining operations is a highly complex task, based on incomplete geological information and uncertain future commodity demand. The smart mathematics we create will allow Australia to capitalise on upturns in international demand, while limiting unavo ....A Mathematical Approach to Flexible Management of Open Pit Mines with Uncertain Geology and Unpredictable Demand. This project will create new mathematical algorithms to flexibly manage open pit mining projects. The development of strategic plans for mining operations is a highly complex task, based on incomplete geological information and uncertain future commodity demand. The smart mathematics we create will allow Australia to capitalise on upturns in international demand, while limiting unavoidable negative outcomes, by flexibly adjusting the mining operation to prevailing geological and economic conditions. Australia's mineral exports are worth over $50b annually to the Australian economy. Our techniques will better manage Australia's mining projects and capture new, emerging markets, significantly impacting on Australia's balance of trade.Read moreRead less
Stochastic Scheduling for Production and Delivery of Perishable Products with Imperfect Information. Australia has a wide range of industries producing perishable goods such as wheat, fruit, vegetables, meat, milk, seafood and health products, as well as fashion and entertainment goods. These industries play a critical role in the Australian economy, as well as impacting on national health and the environment. This project will provide new strategies, models and techniques to increase efficiency ....Stochastic Scheduling for Production and Delivery of Perishable Products with Imperfect Information. Australia has a wide range of industries producing perishable goods such as wheat, fruit, vegetables, meat, milk, seafood and health products, as well as fashion and entertainment goods. These industries play a critical role in the Australian economy, as well as impacting on national health and the environment. This project will provide new strategies, models and techniques to increase efficiency in both the production and delivery of perishable products. The outcomes of the project will enable decision makers in industries handling perishable products to optimise the use of resources, reduce costs and waste, raise productivity and improve services. The nation will benefit with higher export income and better quality of consumer products.Read moreRead less