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)

Producción científica: Contribución a una revista › Artículo › revisión exhaustiva

Resumen

© 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.

Idioma original	Inglés estadounidense
Páginas (desde-hasta)	503-519
Número de páginas	17
Publicación	International Journal of Pure and Applied Mathematics
DOI	https://doi.org/10.12732/ijpam.v117i3.13
Estado	Publicada - 1 ene. 2017

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

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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.

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

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