Dr. Hamed Ghoddus
Assistant Professor of Finance at the School of Business, Stevens Institute of Technology
We provide a model of a commodity production chain with endogenously determined input and output prices. We characterize the hedging policies with a financial contract on the price of the input, and show that hedging effectiveness is bounded. Our model allows firms to include forward-looking information; e.g., regarding future volatility, to the calculation of their hedging strategy. We estimate a parametrized version of our model for the crude oil to refined products supply chain, using the simulated method of moments. Our model approximates the dynamics in the crude oil and refined products markets, and can be used to study the impact of technological change, changes in volatility, and shocks to the supply side in the crude oil, refined products, and the refinery industries on the optimal hedging strategy.
Hamed Ghoddusi is an Assistant Professor of Finance at the School of Business, Stevens Institute of Technology. Before joining Stevens he was a postdoctoral associate at MIT. He has received his Ph.D. from the Vienna Graduate School of Finance (VGSF) and holds degrees in Quantitative Economics, Management Science, and Industrial Engineering from the Institute for Advanced Studies (IHS) and Sharif University of Technology (Tehran). His research interests include Resource and Energy Economics, OM/Finance Interface, Investment under Uncertainty, and Sustainability. Hamed has been a visiting scholar/consultant at the International Institute for Applied Systems Analysis (IIASA), Oxford Institute for Energy Studies (OIES), UT Austin, UC Berkeley, UNDP, and UNIDO.