Integrated production and risk hedging with financial instruments
Haksöz, Çağrı and Seshadri, Sridhar (2010) Integrated production and risk hedging with financial instruments. In: Kouvelis, Panos and Dong, Lingxiu and Boyabatli, Onur and Li , Rong, (eds.) Handbook of Integrated Risk Management in Global Supply Chains. John Wiley & Sons, USA. (Accepted/In Press) AbstractWe review the existing literature on integrated production and risk hedging
with forwards/futures and options for a risk averse firm in single and multi
period settings. We illustrate the value of hedging joint price, basis, and yield
risks using forwards/futures and options. We then focus on a procurement
problem for a risk neutral commodity producer who sells to its buyer (with
a stochastic demand) via a long-term fixed-price contract, and trades intelligently in the spot market for the commodity. We solve a continuous time,
infinite horizon stochastic control problem in order to determine the optimal
policy for production and spot market trading. Available Versions of this Item- Integrated production and risk hedging with financial instruments. (deposited 26 Aug 2010 09:50) [Currently Displayed]
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