
University of Rochester
1.
Zhou, Jianer (1977 - ); Rudi, Nils.
Essays in interfaces of operations and finance in supply
chains.
Degree: PhD, 2011, University of Rochester
URL: http://hdl.handle.net/1802/14512
This dissertation is a collection of three essays
addressing interface issues of operations and finance in supply
chains.
In the first essay, we study pricing of financial hedging
contracts used by firms
to better respond to uncertainty in
product markets. We consider a single-period
problem in which a
firm has only one opportunity for resource acquisition before
demand uncertainty is resolved, and he makes the product pricing
decision based on
the realized demand function. To offset the risk
of his real investment, the firm buys
a tailor-made hedging
contract from an issuer with an underlying payoff partially
correlated with the uncertainty in the product market. We show the
contract effect
by formulating the negotiation process between
both parties in the framework of a
Stackelberg game and price
equilibrium. For each game-theoretic setting, we derive
the
equilibrium solution and present the comparative statics. We also
investigate
the case in which the issuer lays off her risk from
one contract by writing another
contract with a second firm, and
compare contract performance with a benchmark
case in which two
firms trade directly rather than through the issuer.
In the second
essay, we study a supply chain in which a retailer faces a classic
newsvendor problem with a financial constraint on his capacity to
order inventory. To sell more products, the manufacturer teams up
with a bank to offer an
interest-free loan program. We formulate
the interaction between the retailer and
the manufacturer as a
Stackelberg game in which the manufacturer has the dominant pricing
power. Our results indicate that the loan program can
significantly
improve each party's profit. The retailer becomes
more aggressive in ordering when
equilibrium order quantity is low
but demand risk is high. We also investigate open
account
financing in which the manufacturer allows a partial and delayed
payment,
equivalent to a loan to the retailer. Compared with open
account financing, bank
financing improves the entire supply chain
profit. Numerical experiments demonstrate the supply chain
performance under bank financing and indicate that demand
volatility may actually improve contract efficiency. We propose two
contract forms
that coordinate the supply chain of these three
parties.
In the last essay, we continue to consider such a supply
chain in a multi-period
setting. The retailer may be financially
constrained or even distressed in each period. Either the
manufacturer or the bank can offer a loan program and ultimately
bear the retailer's bankruptcy risk. Formulating these two
scenarios in Markov
decision processes with a finite horizon and
employing a Stackelberg game in each
period, we show that the bank
may "under-lend" to the small retailer in bank-led
financing and
that manufacturer-led financing outperforms its counterpart. The
manufacturer, however, may "over-lend" to the retailer, which
raises a concern of
excessive credit risk. Debt relief is a better
alternative to the manufacturer who is
more willing to save…
Subjects/Keywords: Financial hedging; Financial collaboration; Game theoretic application
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APA (6th Edition):
Zhou, Jianer (1977 - ); Rudi, N. (2011). Essays in interfaces of operations and finance in supply
chains. (Doctoral Dissertation). University of Rochester. Retrieved from http://hdl.handle.net/1802/14512
Chicago Manual of Style (16th Edition):
Zhou, Jianer (1977 - ); Rudi, Nils. “Essays in interfaces of operations and finance in supply
chains.” 2011. Doctoral Dissertation, University of Rochester. Accessed January 21, 2021.
http://hdl.handle.net/1802/14512.
MLA Handbook (7th Edition):
Zhou, Jianer (1977 - ); Rudi, Nils. “Essays in interfaces of operations and finance in supply
chains.” 2011. Web. 21 Jan 2021.
Vancouver:
Zhou, Jianer (1977 - ); Rudi N. Essays in interfaces of operations and finance in supply
chains. [Internet] [Doctoral dissertation]. University of Rochester; 2011. [cited 2021 Jan 21].
Available from: http://hdl.handle.net/1802/14512.
Council of Science Editors:
Zhou, Jianer (1977 - ); Rudi N. Essays in interfaces of operations and finance in supply
chains. [Doctoral Dissertation]. University of Rochester; 2011. Available from: http://hdl.handle.net/1802/14512