IJPAM: Volume 117, No. 3 (2017)

Title

A DIFFERENTIAL GAME OF FINANCIAL INTERMEDIARIES:
BANK'S PRICING BEHAVIOR

Authors

Antonio Castellanos-Luis$^1$, Francisco Venegas-Martínez$^2$,
Salvador Cruz-Aké$^3$
$^{1,2,3}$Instituto Politécnico Nacional
Escuela Superior de Economía, MEXICO

Abstract

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.

History

Received: 2017-10-05
Revised: 2017-11-21
Published: January 15, 2018

AMS Classification, Key Words

AMS Subject Classification: 91A80, 49N70
Key Words and Phrases: differential games, duopoly, optimal control, Hamilton-Jacobi-Bellman, interest rate

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How to Cite?

DOI: 10.12732/ijpam.v117i3.13 How to cite this paper?

Source:
International Journal of Pure and Applied Mathematics
ISSN printed version: 1311-8080
ISSN on-line version: 1314-3395
Year: 2017
Volume: 117
Issue: 3
Pages: 503 - 519


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