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Capacity reservation for capital-intensive technologies. An options approach. (English) Zbl 1103.91002
Lecture Notes in Economics and Mathematical Systems 525. Berlin: Springer (ISBN 3-540-00287-1/pbk). xvi, 138 p. EUR 36.95/net; $ 53.00; £ 26.00; SFR 63.50 (2003).

In this book business relationships between trading partners are investigated and answers to the following questions are developed: How can various sorts of exogenous risks be shared among trading partners and made explicit via trade terms? What amount of contractual flexibility is to be provided and what is the proper pricing of this flexibility? What sequence of market sessions can be utilized for early demand information gathering and thus improved capacity planning? The author uses a deductive approach by means of a general model. Moreover, results derived from the properties of this general model are tested against surveys of specific industries in order to illustrate and confirm the theoretical predictions. The book is divided into 5 chapters and has 139 pages.

After a short introduction the author reviews in Chapter 2 the relevant literature including options, supply contracts and management of demand uncertainty. Chapter 3 deals with the valuation of options on capacity. First market set-ups in theory and practice are described then analytical tools needed are introduced. These tools include expected utility theory, game theory, dynamic programming and multi-variate optimization. After that the buyer’s and the seller’s problem are modelled in separate sections. The remaining sections of this chapter deal with equilibrium quantity, welfare properties and conditions for trade. In Chapter 4 three extensions to the basic model described in Chapter 3 are developed: state-contingent execution fee, the impact of a competing technology present in the spot market and the limitation of the spot market size. The last chapter is concerned with managerial insights and conclusions. Specific scenarios are analyzed via examples from the air cargo industry, markets for electricity and the tourism industry. The book contains more than 140 references and is very well written and structured.


MSC:
91-02Research exposition (Social and behavioral sciences)
91B16Utility theory
91A30Utility theory for games
90C39Dynamic programming
91B28Finance etc. (MSC2000)