Commodity Procurement with Operational and Financial Instruments

Online-Ressource (XIII, 152 p, online resource)

Literaturverz. S. 143 - 152

Acknowledgement; Contents; List of Figures; List of Tables; 1 Introduction; 1.1 Motivation; 1.2 Research Questions; 1.3 Structure and Overview; 2 Fundamentals and Literature Review; 2.1 Financial Fundamentals; 2.1.1 Financial Markets; 2.1.2 No-Arbitrage; 2.1.3 Option Contracts and Option Pricing; 2.2 Commodities; 2.2.1 Convenience Yield; 2.2.2 Commodity Prices; 2.3 Literature; 2.3.1 Operations Literature; Continuous Time Models; Discrete Time Models; 2.3.2 Industrial Organization Literature; Cournot Competition in Terms of Quantity Commitment

Models Combining Aspects from Cournot and Bertrand Competition2.3.3 Literature on the Interface of Operations and Finance; Uncertain Prices; Uncertain Demands; Uncertain Prices and Uncertain Demands; 3 Procurement with Deterministic Costs; 3.1 Introduction; 3.2 Manufacturing Model; 3.2.1 Model Formulation; 3.2.2 Model Solution; Feasible Combinations of Control and State Variable; Feasible Sequences of Policies; Initial and Terminal Inventories; Solution Algorithm; Numerical Example; Interpretation of Shadow Prices; 3.3 Procurement Model; 3.3.1 Model I: Uncapacitated Storage, no Backlogging

Initial and Terminal InventoriesSolution Algorithm; Numerical Examples; Interpretation of Shadow Prices; 3.3.2 Model II: Uncapacitated Storage and Backlogging; Model II.1; Numerical Example; Model II.2; Solution Algorithm; 3.3.3 Model III: Capacitated Storage, no Backlogging; Numerical Example; Solution Algorithm; 3.3.4 Model IV: Capacitated Storage and Backlogging; Numerical Example; 3.4 Conclusions and Outlook; 4 Procurement with Stochastic Costs; 4.1 Risk Management for Operational and Financial Commodity Procurement; 4.1.1 Introduction; 4.1.2 Notation and Assumptions

4.1.3 Expected Profit OptimizationAnalysis of the Salvage Value; 4.1.4 Mean-Variance Optimization; Isolated Analysis of Mismatch Risk and Price Risk; Influence of Correlation Between Price and Demand; Comparison to Newsvendor Models; Analysis of the Salvage Value; 4.1.5 Expected Utility Optimization; Analysis of the Salvage Value; 4.1.6 Conclusions and Outlook; 4.2 Operational and Financial Commodity Procurement in Competition; 4.2.1 Introduction; 4.2.2 Notation and Assumptions; 4.2.3 Procurement Strategy in a Monopoly; 4.2.4 Procurement Strategy in a Cournot Duopoly

The Influence of Salvage Value4.2.5 Procurement Strategy in a Bertrand Duopoly; 4.2.6 Conclusions and Outlook; 5 Conclusions and Outlook; 5.1 Conclusions; 5.2 Outlook; A Risk Management; A.1 Expected Profit Optimization; A.1.1 Analysis of the Expected NPV of the Profit; A.1.2 The Influence of the Salvage Value; A.2 Mean-Variance Optimization; A.2.1 Analysis of the Variance of the Profit; A.2.2 Isolated Analysis of Mismatch and Price Risk; A.3 Expected Utility Optimization; B Monopoly; B.1 Analysis of the Second Period; B.2 Analysis of the First Period; C Cournot Duopoly

C.1 Analysis of the Second Period

10.1007/978-3-8349-8654-2 [DOI]

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