title
  

Integrated production and risk hedging with financial instruments

Warning The system is temporarily closed to updates for reporting purpose.

Haksöz, Çağrı and Seshadri, Sridhar (2011) Integrated production and risk hedging with financial instruments. In: Kouvelis, Panos and Dong, Lingxiu and Boyabatlı, Onur and Li , Rong, (eds.) Handbook of Integrated Risk Management in Global Supply Chains. John Wiley & Sons, USA, pp. 157-197. ISBN 9780470535127

This is the latest version of this item.

[img]PDF - Repository staff only - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
[img]PDF - Repository staff only - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader

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
Uncontrolled Keywords:Risk management, risk hedging, financial instruments, forwards, futures, options, production, stochastic control, spot markets, price/basis/yield risks
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:17374
Deposited By:Çağrı Haksöz
Deposited On:03 Nov 2011 11:10
Last Modified:17 Jul 2019 16:45

Available Versions of this Item

Repository Staff Only: item control page