title   
  

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)

WarningThere is a more recent version of this item available.

[img]PDF - Registered users only - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
458Kb

Abstract

We 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.

Item Type:Book Section / Chapter
Subjects:H Social Sciences > HD Industries. Land use. Labor > HD0061 Risk Management
T Technology > TS Manufactures > TS0155-194 Production management. Operations management
H Social Sciences > HG Finance > HG176.6 Financial engineering
ID Code:14277
Deposited By:Çağrı Haksöz
Deposited On:26 Aug 2010 09:50
Last Modified:03 Nov 2011 11:10

Available Versions of this Item

Repository Staff Only: item control page