Equilibrium Forward Contracts on Nonstorable Commodities in the Presence of Market Power

References

• Agrawal V., Seshadri S. Impact of uncertainty and risk aversion on price and order quantity in the newsvendor problem. Manufacturing Service Oper. Management (2000) 2(4):410–423Link, Google Scholar
• Allaz B., Vila J. Cournot competition, forward markets and efficiency. J. Econom. Theory (1993) 59(1):1–16Crossref, Google Scholar
• Araman V. F., Özer Ö. Capacity and inventory management in the presence of a long-term channel and a spot market. (2005) . Working paper, New York University, New YorkGoogle Scholar
• Bessembinder H., Lemmon M. L. Equilibrium pricing and optimal hedging in electricity forward markets. J. Finance (2002) 57:1347–1382Crossref, Google Scholar
• Brennan M. J., Crew N. I., Dempster M., Pliska S. Hedging long maturity commodity commitments with short-dated futures contracts. Mathematics of Derivative Securities (1996) (Cambridge University Press, Cambridge, UK) 165–189Google Scholar
• Cachon G. The allocation of inventory risk in a supply chain: Push, pull, and advance-purchase discount contracts. Management Sci. (2004) 50(2):222–238Link, Google Scholar
• Cachon G., Lariviere M. Contracting to assure supply: How to share demand forecasts in a supply chain. Management Sci. (2001) 47(5):30–44Link, Google Scholar
• Cachon G., Lariviere M. Supply chain coordination with revenue-sharing contracts: Strengths and limitations. Management Sci. (2005) 51(1):30–44Link, Google Scholar
• Caldentey R., Haugh M. Optimal control and hedging of operations in the presence of financial markets. (2004) . Working paper, New York University, New YorkGoogle Scholar
• Chambers M. J., Bailey R. E. A theory of commodity price fluctuations. J. Political Econom. (1996) 104(5):924–957Crossref, Google Scholar
• Chen F., Federgruen A. Mean-variance analysis of basic inventory models. (2000) . Working paper, Columbia Business School, New YorkGoogle Scholar
• Chen J. F., Yao D. D., Zheng S. H. Optimal replenishment and rework with multiple unreliable supply sources. Oper. Res. (2001) 49(3):430–443Link, Google Scholar
• Congressional Budget Office Causes and lessons of the California electricity crisis. (2001) . Congress of the United States, Congressional Budget Office, Washington, D.C.Google Scholar
• Ding Q., Dong L., Kouvelis P. On the integration of production and financial hedging decisions in global markets. Oper. Res. (2004) . ForthcomingGoogle Scholar
• Dong L., Durbin E. Markets for surplus components with a strategic supplier. Naval Res. Logist. (2005) 52(8):734–753Crossref, Google Scholar
• Eeckhoudt L., Gollier C., Schlesinger H. The risk-averse (and prudent) newsboy. Management Sci. (1995) 41(5):786–794Link, Google Scholar
• Eydeland A., Geman H. Pricing power derivatives. Risk (1999) 12:71–74Google Scholar
• Fong K. K., Gempesaw V. M., Ord J. K. Analysis of a dual sourcing inventory model with normal unit demand and Erlang mixture lead times. Eur. J. Oper. Res. (2000) 120(1):97–107Crossref, Google Scholar
• Gaur V., Seshadri S. Hedging inventory risk through market instruments. Manufacturing Service Oper. Management (2005) 7(2):103–120Link, Google Scholar
• Goel A., Gutierrez G. J. Integrating spot and futures commodity markets in the optimal procurement policy of an assemble-to-order manufacturer. (2004) . Working paper, University of Texas–Austin, Austin, TXGoogle Scholar
• Grey W., Olavson T., Shi D. The role of e-marketplaces in relationship-based supply chains: A survey. IBM System J. (2005) 44(1):109–123Crossref, Google Scholar
• IntercontinentalExchange IntercontinentalExchange announces 2004 results. (2004) . http://www.theice.com/press/20050302b.htmlGoogle Scholar
• Joskow P. L. California’s electricity crisis. Oxford Rev. Econom. Policy (2001) 17(3):365–388Crossref, Google Scholar
• Kawai M. Spot and futures prices of nonstorable commodities under rational expectations. Quart. J. Econom. (1983) 98:235–254Crossref, Google Scholar
• Kleinknecht J., Akella R., Weyant J. P. Supply contracts with options in e-business. (2002) . Working paper, Stanford University, Stanford, CAGoogle Scholar
• Lariviere M., Porteus E. Selling to the newsvendor: An analysis of price-only contracts. Manufacturing Service Oper. Management (2001) 3(4):293–305Link, Google Scholar
• Lau H. S., Zhao L. G. Dual sourcing cost-optimization with unrestricted lead-time distributions and order-split proportions. IIE Trans. (1994) 26(5):66–75Crossref, Google Scholar
• Laughlin K. Presentation: LMP system overview. (2003) . PJM Interconnection, LLC, Valley Forge, PAGoogle Scholar
• Lee H. L., Whang J. The impact of the secondary market on the supply chain. Management Sci. (2002) 48(6):719–731Link, Google Scholar
• Li C.-L, Kouvelis P. Flexible and risk-sharing supply contracts. Management Sci. (1999) 45(10):1378–1398Link, Google Scholar
• Litzenberger R. H., Rabinowitz N. Backwardation in oil futures markets: Theory and empirical evidence. J. Finance (1995) 50:1517–1545Crossref, Google Scholar
• Martínez-de-Albéniz V., Simchi-Levi D. A portfolio approach to procurement contracts. Production Oper. Management (2005) 14(1):90–114Crossref, Google Scholar
• Mas-Colell A., Whinston M. D., Green J. R.Microeconomic Theory (1995) (Oxford University Press, Oxford, UK) Google Scholar
• Milner J., Kouvelis P. Inventory and sourcing strategies for non-commodities: The role and the extent of use of speculative markets and supply contracts. (2002) . Working paper, Washington University, St. Louis, MOGoogle Scholar
• Nash J. F. The bargaining problem. Econometrica (1950) 28:155–162Crossref, Google Scholar
• Ng V. K., Pirrong S. C. Fundamentals and volatility: Storage, spreads and dynamics of metal prices. J. Bus. (1994) 67:203–230Crossref, Google Scholar
• Pindyck R. S., Rubinfeld D. L.Microeconomics (1995) 3rd ed.(Prentice-Hall, Englewood Cliffs, NJ) Google Scholar
• Pirrong C., Jermakyan M., Kaminski V. Valuing power and weather derivatives on a mesh using finite difference methods. Energy Modelling: Advances in the Management of Uncertainty (1999) 2nd ed.(Risk Books, London, UK) Google Scholar
• Ramasesh R. V., Ord J. K., Hayya J. C., Pan A. Sole versus dual sourcing in stochastic lead-time (s, Q) inventory models. Management Sci. (1991) 37(4):428–443Link, Google Scholar
• Routledge B. R., Seppi D. J., Spatt C. S. The “spark spread”: An equilibrium model of cross-commodity price relationships in electricity. (2001) . Working paper, Carnegie Mellon University, Pittsburgh, PAGoogle Scholar
• Seifert R. W., Thonemann U. W., Hausman W. H. Optimal procurement strategies for online spot markets. Eur. J. Oper. Res. (2004) 152(3):781–799Crossref, Google Scholar
• Taylor T. Coordination under channel rebates with sales effort effect. Management Sci. (2002) 48(8):992–1007Link, Google Scholar
• Tsay A. Quantity-flexibility contract and supplier-customer incentives. Management Sci. (1999) 45(10):1339–1358Link, Google Scholar
• Van Mieghem J. A. Capacity management, investment and hedging: Review and recent developments. Manufacturing Service Oper. Management (2003) 5(4):269–302Link, Google Scholar
• Van Mieghem J. A. Risk-averse newsvendor networks: Resource sharing, substitution, and operational hedging. (2004) . Working paper, Northwestern University, Evanston, ILGoogle Scholar
• Wu D. J., Kleindorfer P. R. Competitive options, supply contracting, and electronic markets. Management Sci. (2005) 51(3):452–466Link, Google Scholar
• Wu D. J., Kleindorfer P. R., Zhang J. E. Optimal bidding and contracting strategies for capital-intensive goods. Eur. J. Oper. Res. (2002) 137:657–676Crossref, Google Scholar
• Yi J., Scheller-Wolf A. Dual sourcing from a regular supplier and a spot market. (2001) . Working paper, Carnegie Mellon University, Pittsburgh, PAGoogle Scholar