Modeling of General International Financial Equilibrium in the Presence of Financial Futures: A Variational Inequality Approach

Anna Nagurney () and Stavros Siokos
Additional contact information
Anna Nagurney: Department of Finance and Operations Management, University of Massachusetts
Stavros Siokos: Department of Industrial Engineering and Operations Research, University of Massachusetts

Computing in Economics and Finance 1996 from Society for Computational Economics

Abstract: In this paper, a variational inequality approach for modeling competitive international financial equilibrium in the presence of financial futures is presented. The optimal composition of hedged and nonhedged assets and liabilities for each sector of each country, as well as the prices of all instruments and the exchange rates of all currencies, are obtained. We present both qualitative properties of the equilibrium pattern and propose an algorithm for the computation of the pattern, along with convergence results. This research is a first attempt to provide an integrated mathematical framework for the modeling and computation of general international financial equilibrium in the presence of futures, and expands the applicability of variational inequality theory to hedging strategies in international finance.

References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.unige.ch/ce/ce96/ps/nagurne2.eps (application/postscript)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf6:_040

Access Statistics for this paper

More papers in Computing in Economics and Finance 1996 from Society for Computational Economics Department of Econometrics, University of Geneva, 102 Bd Carl-Vogt, 1211 Geneva 4, Switzerland. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().