Commodity Procurement with Operational and Financial Instruments

3834922552......Page 1
1.1 Motivation......Page 2
1.2 Research Questions......Page 6
1.3 Structure and Overview......Page 7
2.1.1 Financial Markets......Page 8
2.1.2 No-Arbitrage......Page 9
2.1.3 Option Contracts and Option Pricing......Page 10
2.2.1 Convenience Yield......Page 13
2.2.2 Commodity Prices......Page 14
Continuous Time Models......Page 16
Discrete Time Models......Page 18
Cournot Competition in Terms of Quantity Commitment......Page 23
Models Combining Aspects from Cournot and Bertrand Competition......Page 25
2.3.3 Literature on the Interface of Operations and Finance......Page 27
Uncertain Demands......Page 28
Uncertain Prices and Uncertain Demands......Page 29
3.1 Introduction......Page 31
3.2.1 Model Formulation......Page 32
Feasible Combinations of Control and State Variable......Page 35
Feasible Sequences of Policies......Page 36
Initial and Terminal Inventories......Page 38
Solution Algorithm......Page 40
Interpretation of Shadow Prices......Page 41
3.3 Procurement Model......Page 42
3.3.1 Model I: Uncapacitated Storage, no Backlogging......Page 45
Solution Algorithm......Page 48
Interpretation of Shadow Prices......Page 49
Model II.1......Page 51
Model II.2......Page 53
3.3.3 Model III: Capacitated Storage, no Backlogging......Page 55
Numerical Example......Page 57
Solution Algorithm......Page 58
3.4 Conclusions and Outlook......Page 59
4.1.1 Introduction......Page 62
4.1.2 Notation and Assumptions......Page 64
4.1.3 Expected Profit Optimization......Page 65
Analysis of the Salvage Value......Page 68
4.1.4 Mean-Variance Optimization......Page 71
Isolated Analysis of Mismatch Risk and Price Risk......Page 72
Influence of Correlation Between Price and Demand......Page 75
Comparison to Newsvendor Models......Page 76
4.1.5 Expected Utility Optimization......Page 79
Analysis of the Salvage Value......Page 82
4.1.6 Conclusions and Outlook......Page 83
4.2.1 Introduction......Page 84
4.2.2 Notation and Assumptions......Page 85
4.2.3 Procurement Strategy in a Monopoly......Page 87
4.2.4 Procurement Strategy in a Cournot Duopoly......Page 90
The Influence of Salvage Value......Page 93
4.2.5 Procurement Strategy in a Bertrand Duopoly......Page 96
4.2.6 Conclusions and Outlook......Page 102
5.1 Conclusions......Page 104
5.2 Outlook......Page 106
A.1.1 Analysis of the Expected NPV of the Profit......Page 107
A.1.2 The Influence of the Salvage Value......Page 112
A.2.1 Analysis of the Variance of the Profit......Page 113
A.2.2 Isolated Analysis of Mismatch and Price Risk......Page 116
A.3 Expected Utility Optimization......Page 119
B.1 Analysis of the Second Period......Page 120
B.2 Analysis of the First Period......Page 122
C.1 Analysis of the Second Period......Page 126
C.2 Analysis of the First Period......Page 127
C.3 Salvage Value......Page 133
D.1 Analysis of the Second Period......Page 134
D.2 Analysis of the First Period......Page 136
References......Page 139