Motivated by a production planning problem in an actual global manufacturing network, we examine the impact of exchange-rate uncertainty ... namely the volatility in an& correlations among exchange rates ... on the choice of various optimal production policies and the conditions which lead to them. A two-stage stochastic program with recourse is developed that provides opportunities to hedge fi...

We analyze optimal fiscal and monetary policy in an economy with distortionary labor income taxes, nominal rigidities and nominal debt of various maturities. Optimal policy prescribes the exclusive use of long term debt. Such debt mitigates the distortions associated with hedging fiscal shocks by allowing the government to allocate them efficiently across states and periods.

We consider an equity-linked contract whose payoff depends on the lifetime of policy holder and the stock price. We provide best strategy for an insurance company assuming the limited capital for the hedging.

In the current financial crisis, promoting rapid developments of gold industry, ensuring healthy operations of national economy, and actively developing the gold futures market are very important. Functioning of the gold futures market will determine the gold market maturity and integrity. Risk transfer is one of the two basic functions of futures market. The risk transfer function is realized ...

In this study a simulation-optimization model is developed for deriving operation rule-curves in drought ‎periods. To each reservoir, two rule-curves with adjustable monthly levels are introduced dividing the ‎reservoir capacity into three zones between the normal water level and minimum operation level. To each ‎zone of a reservoir and for each month of the year a hedging coefficient is introd...

The control of a stochastic manufacturing system that executes capital asset repairs and remanufacturing in an integrated system is examined. The remanufacturing resources respond to planned returns of worn-out equipments at the end of their expected life and unplanned returns triggered by major equipment failures. Remanufacturing operations for planned demand can be executed at different rates...

We propose a dynamic hedging strategy for jet fuel which strikes a balance between hedging against jumps in the price of jet fuel and placing bets that the price will rise, lowering the overall cost of jet fuel. We model the commodity price using an unobservable two-factor model that allows mean-reversion in short-term prices and uncertainty in the equilibrium level to which prices revert. We c...