ASOR/DORS 2018 Conference December 2018

RO+OR - The Real Options and Operations Research Workshop

Part of the ASOR/DORS 2018 Conference, and presented jointly by ASOR, Data61 and Risklab Australia

9am-12.30pm, Thursday 6 December 2018, Rydges on Swanston Hotel, Carlton VIC.

Real options analysis originated in mathematical finance and is based on financial options pricing theory. As a technique, it typically involves the utilisation of optimal control techniques coupled with numerical simulation, and can be viewed as both time-sequential multi-stage optimal decision-making and project valuation in a highly uncertain environment with non-stationary dynamics. Real options analysis has most often been used for industrial applications such as mining, asset management, infrastructure, energy, defence, and agriculture.

The purpose of this workshop is to explore the concepts, progress and possibilities associated with combining real options methods with combinatorial optimisation in order to address decision making under severe uncertainty. The agenda is built around three insightful 30 minute presentations on theory and applications, from:

  • Prof. Margaret Armstrong (EMAp Fundacao Getulio Vargas Brazil) - real options in a mining context.
  • Dr. Hawthorne Beyer (University of Queensland / CEED)  - optimisation of resource allocation in ecological management problems
  • Dr. Olivia Smith (Telstra) - decision-making under uncertainty

The balance of the workshop will comprise a quick primer/tutorial on real options, and a panel and facilitated discussion led by Geoffrey Lee (Risklab/Data61). Our panel members are Margaret Armstrong, Hawthorne Beyer, Olivia Smith and Todd Sanderson (Data61 Sydney). Workshop discussion participants also include Nicolas Davey (U. Melb), Simon Dunstall (Data61), and Nicolas Langrene and Monica Chen (Risklab/Data61).