Presenting a Mathematical Model of Futures Contracts to Cover Supply Chain Financial Risk

Authors

    Zeinab Doost Gharin Department of Industrial Management, ST.C., Islamic Azad University, Tehran, Iran.
    Abbas Raad * Assistant Prof, Department of Industrial Management and Information Technology, Management and Accounting Faculty, Shahid Beheshti University, G.C., Tehran, Iran a-raad@sbu.ac.ir
    Amirreza Alizadeh Majd Department of Business Management and Entrepreneurship, CT.C., Islamic Azad University, Tehran, Iran.

Keywords:

Supply chain, futures contracts, risk management, mathematical model, genetic algorithm

Abstract

The study aims to design a mathematical model of futures contracts to reduce and cover financial risks in supply chain management. This applied research employed a mathematical modeling approach. Genetic algorithms, particle swarm optimization, and a hybrid approach combining the two were used to solve the model. The proposed model was developed based on minimizing the total opportunity cost (TOC) and implemented as a case study in Iran Khodro Company. Data were collected through a field-based approach using the company’s operational information. The findings revealed that futures contracts effectively reduced price fluctuations and contributed to managing financial risks in the supply chain. The hybrid genetic–particle swarm algorithm demonstrated higher accuracy in predicting risks and optimizing supply chain performance compared to the individual algorithms. It minimized errors under different market conditions and provided estimates closer to real-world data. Futures contracts serve as an effective tool for mitigating financial risk in supply chains and improving companies’ financial performance. The use of hybrid algorithms in modeling enhances prediction accuracy and efficiency by overcoming the weaknesses of single methods, offering a practical solution for risk management in complex supply chain environments.

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References

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Published

2024-12-15

Submitted

2024-07-23

Revised

2024-10-31

Accepted

2024-11-07

How to Cite

Doost Gharin, Z. ., Raad, A., & Alizadeh Majd, A. . (1403). Presenting a Mathematical Model of Futures Contracts to Cover Supply Chain Financial Risk. Accounting, Finance and Computational Intelligence, 2(3), 156-174. https://jafci.com/index.php/jafci/article/view/185

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