Integrated Operational and Financial Hedging for Risk Management in Crude Oil Procurement

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• 作者：Xiaocong Ji ; Simin Huang ; Ignacio E. Grossmann
• 刊名：Industrial & Engineering Chemistry Research
• 出版年：2015
• 出版时间：September 23, 2015
• 年：2015
• 卷：54
• 期：37
• 页码：9191-9201
• 全文大小：470K
• ISSN：1520-5045

文摘

This Article presents a general framework for the integration of operational hedging and financial hedging strategy in the crude oil procurement process. The main purpose of the proposed approach is to manage the risk in the oil procurement process due to oil price fluctuation. The problem is formulated as a one-stage stochastic programming model that incorporates Conditional Value-at-Risk (CVaR) as the risk measure. By introducing production flexibility such as inventory and the nonlinear CDU Fractionation Index (FI) model, as well as financial derivatives like futures, put option, and call option, the integrated hedging strategy enables industrial managers to obtain the desired balance between profitability and risk tolerance. In addition, a Sample Average Approximation (SAA) method is applied to solve the stochastic problem. Numerical studies illustrate the benefits of the proposed approach and also provide useful managerial insights.