Details of the Demonstration/Presentation are:

TTA/ATT will be offering attendees a free AMX Server (software only), including installation and training, for placement in their company’s demonstration room at their premises.

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During Mr. Afshari’s week long visit to Sydney, TTA will be organizing a series of lunch time seminars to allow potential clients to inform themselves about the range and benefits of ATT’s alarm management solutions. (For details: AMX Server Demonstrations)

ATT’s AMX Server allows corporations large and small to respond quickly and efficiently to risk events that have the potential to adversely impact their businesses. The AMX Server will instantly respond to e.g. fire, water or equipment failures to mobilise groups or individuals within the organization to deal quickly with those potentially catastrophic events. In all such scenarios, the quicker a business can respond, means that harm to persons and infrastructure can be minimised. This AMX functionality can also be used to manually notify or alert individuals, small groups or even whole communities quickly and efficiently.

ATT has successfully deployed the AMX Server into the health and aged care industries, as well as in hotels and large corporations. The AMX Server is ideally suited to all those organisations and situations where the safety of individuals, groups and infrastructure is of paramount importance. A number of internationally renowned companies have already deployed the AMX in their businesses.

Download the PDF version of the press release here.

To find out more about AMX, please visit the AMX section.

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The talk will be presented by Stefan Trück, Department of Applied Finance and Actuarial Studies, Macquarie University, Sydney

Details are as follows:

Title:                           The Pass-Through Cost of Carbon in Australian Electricity Markets

Time:                          11:00am – 12:00pm, Thursday 3^rd May

Location:                    Access Grid Room 01.16.11. Room 11, Level 16, UTS Tower Building, 15 Broadway, Sydney

Registration:               This is a free talk – all are welcome.

Presentation:             Stefan Trück - The Pass-Through Cost of Carbon in Australian Electricity Markets (456KB)

Abstract

The aim of the Australian Carbon Tax Policy Mechanism is to encourage the reduction of greenhouse gas emissions by rewarding the production of power through green sources and penalising power produced by higher emitting sources. We investigate the impacts of the recently passed carbon tax on Australian electricity prices. Since the carbon tax only comes into effect on July 1, 2012, we consider electricity futures prices in order to investigate the pass-through costs of the tax on electricity prices. Using a regime-switching model for electricity spot prices and historical risk premiums for futures contracts we derive an additional ‘carbon premium’ from observed futures quotes.  We find that after controlling for risk premiums in electricity futures markets, there is still a significant anticipated increase in prices, indicating that market participants have already included the additional costs of the carbon tax in their pricing mechanism. However, estimated pass-through costs of carbon are generally lower than what could be expected based on emission intensities for the considered regional electricity markets.

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The workshop will be presented by distinguished Professor Gordon Sick, Professor of Finance at the Haskayne School of Business, University of Calgary, Canada. Professor Gordon Sick has a solid experience in consulting. His recent projects have included valuation of union merger gains and losses, real options analysis and valuation of spark spreads, real options analysis and valuation of mine development strategies, and valuation of liquidated damages on a long-term gas purchase contract including Kalman filter analysis of forward curves.

Details of the workshop are as follows:

Title:                           Valuing Power Plants with Spark Spread Options

Time:                          2:00pm – 5:10pm, Friday 8^th April

Location:                    Access Grid Room 01.16.11. Room 11, Level 16, UTS Tower Building, 15 Broadway, Sydney

Registration fee:         $450 (a discount of $70 applies to registrations taken by Monday 4^th April)

                                    Non-UTS academics are entitled to receive a 50% discount

                                    Non-UTS students are entitled to receive a 75% discount

                                    For UTS academics and UTS PG-students there will be a special arrangement

NEW!! For registered participants who will not be able attend the workshop at UTS, remote access from any PC/laptop to our Access Grid login facility will be available.

Additional information regarding the method of payment will be provided on registration.

Registration:              Click here to register or contact Alex Radchik (Alex.Radchik@uts.edu.au) for all other inquiries. Immediately before payment select your discount type (early bird, academic or student). Note when entering organisation name, click the New Organisation Name button if the form rejects your entry.

As the number of places is limited, please register as soon as possible. The FCFS policy (First-Come, First-Served) will be applied.

Abstract

It is common to refer to a gas-fired power plant as generating a spark spread: converting natural gas to electricity by burning. A spark spread has two correlated stochastic variables: electricity price and natural gas price. To lower the number of variables in a problem, we worked with heat rates. The market heat rate is the ratio of the electricity price to the natural gas price and the plant heat rate is the number of gigajoules (GJ) of gas needed to generate one MWh of electric power.

We estimate a stochastic model for market heat rates that incorporates time of day, day of week, month and the incidence or otherwise of a spike in heat rates. We use the model and its residuals in a bootstrap process simulating future market heat rates, and use a Least Squares Monte Carlo approach to determine the optimal operating policy.

We applied our model to existing power plant in Alberta, Canada. This plant is powered by two General Electric gas turbines combined with a steam generator that allows combined cycle operations. This power plant is popular in various power jurisdictions around the world as a turnkey power plant that can offer peaking capacity, and some baseload power delivery. 4 operating modes for the plant are considered: cold metal (off), 15 MW idle in combined cycle, full simple-cycle power (95 MW) and combined cycle full power (120 MW). The plant is valued in each of four modes and the whole approach is summarized in a simple, easy-to-use example in a spreadsheet model using historical data.

Note that TTA is currently hosting PREEM web postings and email notifications on a temporary basis until University resources are set up to do this. For the latest PREEM news including presentations of past events, please visit the PREEM index page.

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Prof. Dr Hans-Jakob Lüthi

Date: Tuesday 22 March 2011, 12:00 – 13:00.

Joint Seminar: UTS PREEM (QFRC Program for Research in Energy and Emissions Markets) and School of Mathematical Sciences 

Title: Optimization at Work: From Market Design for Emission Trading Schemes towards Robust Risk Measures 

Speaker: Prof. Dr Hans-Jakob Lüthi, Institute for Operations Research, ETHZ 

Venue: CB01.16.11 

Presentation: Prof. Dr Hans-Jakob Lüthi – Optimization at Work (12.3 MB)

Abstract: 
The focus of this lecture is to apply sound optimization concepts to socially relevant problems. In the first part I will present a recent project on the stochastic price formation of CO2 allowances in a cap and trade system such as the European Union Emission Trading Scheme (joint work with M. Fehr, J. Hinz and R. Carmona). In particular the following questions will be addressed: 
• Relation of allowance prices to fundamental price drivers such as stochastic production costs and demand; 
• Equilibrium price formation of goods whose manufacturing causes pollution; 
• Emergent systems properties such as windfall profits in relation to alternative market design like carbon tax, auctioning of allowances, relative allocation schema, etc; 
• Computational tractability and verification of the quality of approximate solutions using abstract LP duality theory. 

In the second part we will present an extension of coherent risk measures towards robust risk measures (joint work with A. Fertis, M. Baes). It is well known that abstract duality underlies the representation theorem of coherent and convex risk measures. In this work we suggest to incorporate another source of uncertainty into the concept of risk measures, namely the uncertainty with regard to the estimates of the underlying distribution’s parameters. Immunizing against this source of risk can be done in the spirit of robust optimization motivating, for example, a computationally tractable concept of robust CVaR. Again, the concept is based on abstract duality theory of optimization in topological vector spaces. Preliminary results applied to managing price and volume risk in energy markets will be presented.

Note that TTA is currently hosting PREEM web postings and email notifications on a temporary basis until University resources are set up to do this. For the latest PREEM news including presentations of past events, please visit the PREEM index page.

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Recent Events:

3rd May 2012 – The Pass-Through Cost of Carbon in Australian Electricity Markets (Stefan Trück)

8th April 2011 -  Valuing Power Plants with Spark Spread Options

22nd March 2011 - Optimization at Work: From Market Design for Emission Trading Schemes towards Robust Risk Measures (Prof. Hans-Jakob Lüthi)

9th March 2011 – Inaugural Seminar – An Industry Prospective

Note that TTA is currently hosting PREEM web postings and email notifications on a temporary basis until University resources are set up to do this.

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The seminar was very well received with positive feedback received from many who attended. At this stage, PREEM are planning to conduct a seminar such as this one on an annual basis.

The seminar, ‘An Industry Prospective’, featured a number of top speakers from the industry. Their presentations are listed below, for viewing or download.

Dean Price – Electricity Futures and Options (1.3 MB)

Alex Georgievski – Green Commodity Costs (803 KB)

Prof. Paul Simshauser – Boomerang Paradox (397 KB)

Ben Vanderwaal – Delivering Reliability of Supply (840 KB)

Dr. Alex Radchik & Dr. Igor Skryabin – Solar Derivatives (1.9 MB)

The original program and list of topics can be found here.

Note that TTA is currently hosting PREEM web postings and email notifications on a temporary basis until University resources are set up to do this. For the latest PREEM news including presentations of past events, please visit the PREEM index page.

PREEM Inaugural Seminar

Welcome from Prof. Erik Schlögl, director of QFRC

Prof. Alex Novikov introduces PREEM

Dean Price speaking on the Futures Markets

Alex Georgievski speaking on Green Commodity Costs

Prof. Paul Simshauser speaking on Fuel Poverty

Ben Vanderwaal speaking on Reliability of Supply

This event was made possible due to these event sponsors

Dr. Alex Radchik speaking on Solar Derivatives

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In order to mark the establishment of this Program, the QFRC is inviting industry participants, academics and others to  its inaugural seminar  ’An Energy Industry Prospective’ on Wednesday, the 9th of March. Confirmed speakers from the industry include Professor Paul Simshauser (Chief Economist & Group Head of Corporate Affairs, AGL Energy Limited), Ben Vanderwaal (Managing Director, ROAM Consulting Pty Ltd) and Dean Price (General Manager, d-cyphaTrade).

More information can be found at http://www.qfrc.uts.edu.au/energy/prospective.html

To RSVP, please contact Caroline Dobson, Ph. 9514 774

Trading Technology Australia is proud to support this Program.

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Origin Energy are cleared to purchase:

• EnergyAustralia;
• Country Energy;
• Integral Energy; or 
• both Country Energy and Integral Energy

together with one of the Eraring, Delta Coastal or Delta Western gentrader bundles and one of the generator development sites.

The ACCC also announced that it would not oppose the acquisitions by AGL of Country Energy or Integral Energy together with one of the Eraring, Delta Coastal or Delta Western Gentrader bundles and one or more of the generator development sites.

The ruling makes no mention of Gentrader contracts for Macquarie Generation’s capacity. Yesterday The Australian reported that “…none of the main bidders – AGL Energy, Origin Energy or CLP Holdings’ TRUenergy – lodged bids for the right to trade output from the Macquarie Generation plants.”

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