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In the first model, we study the optimal procurement strategy in a two-period framework when both the spot market and the forward contract are considered. The forward contract is agreed upon in the first period, and is then delivered in the second period, when the spot market is also available. This is followed by production and demand. The objective of the buyer is to minimize his expected cost. We study the problem for two scenarios: the buyer cannot and can sell to the spot market. Through our analysis, when the buyer can not sell to the spot market, there exists a threshold forward price, under which the buyer will enter into the forward contract. This threshold is lower than the expected spot price. Furthermore, we analytically show that the optimal order quantities via forward contract increase in the mean of the spot price, but decrease in the variability of the spot price. However, the buyer only speculates using the forward contract when he can sell to spot market. / In the second model, we consider a problem in which a buyer makes procurement decisions when he faces periodic random demand and two supply sources, one is a long-term contract supplier and the other is a spot market. When he procures from the contract supplier, a fixed unit price is charged and a predetermined minimum quantity for each period must be committed, and when he procures from the spot market, a stochastic spot price plus a fixed setup cost is charged. The spot price is only realized at the beginning of each period. We show that the optimal policy consists three different (s, S) type policies. More important, we identify certain conditions under which there exist monotone properties between the policy parameters and the current spot price for a general Markov spot price process. Then, we can divide the price space into three regions, each of which corresponds to a specific policy, for each period. We also conduct numerical analysis to gain more insights into how the spot market impacts the buyer's performance. We find the buyers benefits from a more volatile market. / The last model extends the second model by incorporating an important feature that is widely seen; i.e., the procurement from the contract supplier should fulfill a total order quantity commitment (TOQC). The TOQC requires the buyer to procure no less than the predetermined commitment during the contract period, which we call the planning horizon. Thus, in each period, the buyer trades off between the possible lower cost now (by procuring from the spot market) and the reduced cost in the future (by reducing the remaining commitment). Two types of commitment contracts are considered: a minimal TOQC contract and a definite quantity contract. Our analysis characterizes an optimal procurement policy which depends on the spot price in each period and an optimal virtual remaining commitment level. Such a structured policy can be viewed as a combination of some policies of base-stock type, each of which can be computed through an equivalent system without any commitment. Moreover, some of these equivalent systems are of simple multiple-period newsvendor type. This greatly simplifies the computation of the optimal policies. We also numerically analyze how the TOQC and the spot market affects the buyer's performance. / This research develops mathematical models for inventory and procurement management in the presence of spot markets. More specifically, we consider those models by incorporating different types of supply contracts. Particular attention is paid to the quantity flexible contracts. This research is an attempt to understand how firms should adopt their operating policies in the presence of fluctuating commodity prices. In this thesis, we mainly consider the following three models. / Xue, Weili. / Adviser: Youhua Chen. / Source: Dissertation Abstracts International, Volume: 72-11, Section: B, page: . / Thesis (Ph.D.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (leaves 122-134). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [201-] System requirements: Adobe Acrobat Reader. Available via World Wide Web.

In this thesis, one methodology for natural gas storage valuation is developed and two methodologies are improved. Then all of the three methodologies are applied to a storage contract. The first methodology is called "intrinsic rolling with spot and forward", which takes both the spot and forward prices into account in the valuation. This method is based on the trading strategy by which a trader locks the spot and forward positions by solving an optimization problem based on the market information on the first day. In the following days, the trader can obtain added value by adjusting the positions based on new market information. The storage value is the sum of the first day's value and the added values in the following days. The problem can be expressed by a Bellman equation and solved recursively. A crucial issue in the implementation is how to compute the expected value in the next period conditioned on the information in current period. One way to compute the expected value is Monte Carlo simulation with ordinary least square regression. However, if all of the state variables, spot, and forward prices are incorporated in the regression there are too many terms, and the regression becomes uncontrollable. To solve this issue, three risk factors are chosen by performing principle component analysis. Dimension of the regression is greatly reduced by only incorporating the three risk factors. Both the second methodology and the third methodology only consider the spot price in the valuation. The second methodology uses Monte Carlo simulation with ordinary least square regression, which is based on the work of Boogert and Jong (2006). The third methodology uses stochastic dual dynamic programming, which is based on the work of Bringedal (2003). However, both methodologies are improved to incorporate bid and ask prices. Price models are crucial for the valuation. Forward prices of each month are assumed to follow geometric Brownian motions. Future spot price is also assumed to follow a geometric Brownian motion but for a specific month its expectation is set to the corresponding forward price on the valuation date. Since the simulation of spot and forward prices is separated from the storage optimization, alternative spot and forward models can be used when necessary. The results show that the value of the storage contract estimated by the first methodology is close to the market value and the value estimated by the Financial Engineering Associates (FEA) provided function. A much higher value is obtained when only spot price is considered, since the high volatility of the spot curve makes frequent position change profitable. However in the reality traders adjust their positions less frequently.

Thesis (Ph.D)--Industrial and Systems Engineering, Georgia Institute of Technology, 2009. / Committee Chair: Kleywegt, Anton J.; Committee Member: Ayhan, Hayriye; Committee Member: Dai, Jim; Committee Member: Erera, Alan; Committee Member: Ward, Amy R. Part of the SMARTech Electronic Thesis and Dissertation Collection.

This thesis examines the relationship between spot prices, futures prices, and ending stocks for storable commodities. We used Granger causality and DAGs to determine causal relationships and cointegration tests to determine long-run relationships. We use VAR/VECM and consider innovation accounting techniques to see how volatility in one market affects the price behavior and volatility in the other market. Results suggest that for agricultural commodities, innovations in futures price permanently increase the level of spot prices while accounting for much of spot price variance over time. For national oil, shocks to futures price decrease the level of spot price in the long run. In regional oil markets, there are transitory impulse responses. Futures price plays a small role in the volatility of spot prices for oil over time. Overall results are mixed, with oil suggesting futures markets may have a price stabilizing effect and agriculture commodities indicating spot price destabilization.

A disponibilidade de energia a preços competitivos é fundamental para a competitividade dos produtos da indústria nacional, que está imersa num ambiente concorrencial interno e externo. Essa indústria tem inserção maciça no cotidiano de toda sociedade, contribuindo decisivamente para o bom andamento da economia brasileira. O Modelo Setorial permite a um grande consumidor optar pela contratação de energia de forma regulada ou livre, pelo que a análise da melhor estratégia de contratação torna-se fundamental. No presente trabalho, é realizado o mapeamento da composição dos preços praticados no Ambiente de Contratação Livre (ACL) e Ambiente de Contratação Regulado (ACR). As regras são definidas através da análise da legislação setorial e do comportamento observado dos agentes de mercado. Após essa etapa, são realizadas simulações, partindo de premissas macroeconômicas e setoriais, que fornecem projeções de preços para ambos os ambientes e, por fim, realizadas comparações entre as diversas estratégias de contratação. / The availability of electrical energy at competitive prices is of fundamental importance for the competitiveness of products in each industry field, considering the strong competition in internal and external markets. The industry production plays an important role in society everyday life, contributing decisively to the smooth running of the Brazilian economy. Taking into account this perspective, the Brazilian electrical sector institutional model allows a big consumer to have the option to satisfy his energy needs in the regulated or free market. Therefore, the analysis of the best contracting strategy becomes crucial. In this work, the energy pricing in Regulated Contracting Market (ACR) and in the Free Contracting Market (ACL) is deeply analyzed. The rules are defined through the analysis of the electrical sector legislation and the observed behavior of market players. After this stage, simulations are performed considering sector and macroeconomic assumptions, which provide spot prices forecast and long term energy prices forecast for both environments and, finally, comparisons between the different contracting strategies are established.

A disponibilidade de energia a preços competitivos é fundamental para a competitividade dos produtos da indústria nacional, que está imersa num ambiente concorrencial interno e externo. Essa indústria tem inserção maciça no cotidiano de toda sociedade, contribuindo decisivamente para o bom andamento da economia brasileira. O Modelo Setorial permite a um grande consumidor optar pela contratação de energia de forma regulada ou livre, pelo que a análise da melhor estratégia de contratação torna-se fundamental. No presente trabalho, é realizado o mapeamento da composição dos preços praticados no Ambiente de Contratação Livre (ACL) e Ambiente de Contratação Regulado (ACR). As regras são definidas através da análise da legislação setorial e do comportamento observado dos agentes de mercado. Após essa etapa, são realizadas simulações, partindo de premissas macroeconômicas e setoriais, que fornecem projeções de preços para ambos os ambientes e, por fim, realizadas comparações entre as diversas estratégias de contratação. / The availability of electrical energy at competitive prices is of fundamental importance for the competitiveness of products in each industry field, considering the strong competition in internal and external markets. The industry production plays an important role in society everyday life, contributing decisively to the smooth running of the Brazilian economy. Taking into account this perspective, the Brazilian electrical sector institutional model allows a big consumer to have the option to satisfy his energy needs in the regulated or free market. Therefore, the analysis of the best contracting strategy becomes crucial. In this work, the energy pricing in Regulated Contracting Market (ACR) and in the Free Contracting Market (ACL) is deeply analyzed. The rules are defined through the analysis of the electrical sector legislation and the observed behavior of market players. After this stage, simulations are performed considering sector and macroeconomic assumptions, which provide spot prices forecast and long term energy prices forecast for both environments and, finally, comparisons between the different contracting strategies are established.

This dissertation contains two topics in operations research. The first topic is to design a distribution network to facilitate the repeated movement of shipments from many origins to many destinations. A method is developed to estimate transportation costs as a function of the number of terminals and moreover to determine the best number of terminals. The second topic is to study dynamics of a buyer's behavior when the buyer can buy goods through both option contracts and a spot market and the buyer attempts to learn the probability distribution of the spot price. The buyer estimates the spot price distribution as though it is exogenous. However, the spot price distribution is not exogenous but is endogenous because it is affected by the buyer's decision regarding option purchases.

The very specific features of the spot prices, especially occurrence of severe jumps, create a spot price risk for retailers who purchase electricity at unregulated highly volatile prices but resell it to consumers at fixed price. Therefore, it is of high im- portance to forecast whether jump is likely to occur during the next hour. However, to the best of our knowledge, such research has not been devoted to the Czech power market yet. Therefore, the aim of this thesis is to forecast the jump occurrence in the Czech day-ahead market. For this purpose we suggest four logit model spec- ifications, each containing various independent variables (for example, electricity demand, outside temperature, lagged price and various dummy variables) where the variable selection is supported by the previous literature and by the characteristic features of the spot prices. Within the in-sample period we compare the suggested models based on the values of pseudo-R squared and Bayesian information criterion. When evaluating the out-of sample performance of suggested models we apply jump prediction accuracy and confidence, but opposed to the previous literature we sug- gest a kind of sensitivity analysis which, to the best of our knowledge, has not be proposed by any other power research. JEL Classification C25, C32, C51,...

The thesis evaluates and quantifies the residual shape risk on the Czech nat- ural gas market. The risk stems from insufficient liquidity of forward mar- ket, when energy supplier has to hedge his short shaped sales by standard baseload products available at wholesale market. Hence, energy supplier is always left with residual position, which has to be closed at spot market. We model the residual shape risk as a difference between spot and forward prices weighted by residual position, which is derived from the shape of innogy En- ergie, s.r.o. household portfolio. In order to do so we develop model for a spot price dynamics based on the daily index OTE. We price forward contracts as expected spot price at delivery. The spot price dynamics is modelled as a mean-reverting Ornstein-Uhlenbeck process, while assuming two different driving stochastic processes for innovations. First, we model them as a mixed jump diffusion process. Second, we estimate control model assuming innova- tions to come from the normal inverse Gaussian distribution. The residual shape risk is then evaluated by Monte Carlo simulation of spot price paths, which we use for hedging the portfolio shape. Five percent Value-at-Risk and the Expected Shortfall measures for the jump mixed diffusion process yield costs of 0.013 and 0.016 EUR/MWh,...