A differential game of financial intermediaries: Bank's pricing behavior

Antonio Castellanos-Luis; Francisco Venegas-Martínez; Salvador Cruz-Aké

doi:10.12732/ijpam.v117i3.13

A differential game of financial intermediaries: Bank's pricing behavior

Antonio Castellanos-Luis, Francisco Venegas-Martínez, Salvador Cruz-Aké

Escuela Superior de Economía (ESE)

Research output: Contribution to journal › Article › peer-review

Abstract

© 2017 Academic Publications, Ltd. This paper deals with a non-cooperative duopoly differential game where financial intermediaries compete for setting spread interest rates in order to obtain the maximum profit. The game is constrained by two dynamic systems: a benchmark interest rate and macroeconomic expectation. We characterized the Nash equilibrium in both deterministic and stochastic frameworks.

Original language	American English
Pages (from-to)	503-519
Number of pages	17
Journal	International Journal of Pure and Applied Mathematics
DOIs	https://doi.org/10.12732/ijpam.v117i3.13
State	Published - 1 Jan 2017

Access to Document

10.12732/ijpam.v117i3.13

https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85041062945&origin=inward

Cite this

@article{3ff97f49446a4ea0b138edfab8d9b364,

title = "A differential game of financial intermediaries: Bank's pricing behavior",

abstract = "{\textcopyright} 2017 Academic Publications, Ltd. This paper deals with a non-cooperative duopoly differential game where financial intermediaries compete for setting spread interest rates in order to obtain the maximum profit. The game is constrained by two dynamic systems: a benchmark interest rate and macroeconomic expectation. We characterized the Nash equilibrium in both deterministic and stochastic frameworks.",

author = "Antonio Castellanos-Luis and Francisco Venegas-Mart{\'i}nez and Salvador Cruz-Ak{\'e}",

year = "2017",

month = jan,

day = "1",

doi = "10.12732/ijpam.v117i3.13",

language = "American English",

pages = "503--519",

journal = "International Journal of Pure and Applied Mathematics",

issn = "1311-8080",

publisher = "Academic Publications Ltd.",

}

TY - JOUR

T1 - A differential game of financial intermediaries: Bank's pricing behavior

AU - Castellanos-Luis, Antonio

AU - Venegas-Martínez, Francisco

AU - Cruz-Aké, Salvador

PY - 2017/1/1

Y1 - 2017/1/1

N2 - © 2017 Academic Publications, Ltd. This paper deals with a non-cooperative duopoly differential game where financial intermediaries compete for setting spread interest rates in order to obtain the maximum profit. The game is constrained by two dynamic systems: a benchmark interest rate and macroeconomic expectation. We characterized the Nash equilibrium in both deterministic and stochastic frameworks.

AB - © 2017 Academic Publications, Ltd. This paper deals with a non-cooperative duopoly differential game where financial intermediaries compete for setting spread interest rates in order to obtain the maximum profit. The game is constrained by two dynamic systems: a benchmark interest rate and macroeconomic expectation. We characterized the Nash equilibrium in both deterministic and stochastic frameworks.

U2 - 10.12732/ijpam.v117i3.13

DO - 10.12732/ijpam.v117i3.13

M3 - Article

SN - 1311-8080

SP - 503

EP - 519

JO - International Journal of Pure and Applied Mathematics

JF - International Journal of Pure and Applied Mathematics

ER -

A differential game of financial intermediaries: Bank's pricing behavior

Abstract

Access to Document

Fingerprint

Cite this