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Network modeling of international financialequilibria with hedging

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  • Anna Nagurney
  • Stavros Siokos

Abstract

In this paper, we develop an international financial equilibrium model with hedging inthe form of futures and options contracts. We identify the network structure of the individualsectors' optimization problems out of equilibrium and establish the network structureof the entire international financial economy in equilibrium. We formulate the governingequilibrium conditions as a finite-dimensional variational inequality problem and thenpresent some qualitative properties. Finally, we propose a computational procedure, alongwith convergence results, which resolves the variational inequality problem into networksubproblems with special structure, each of which can then be solved exactly and in closedform. Copyright Kluwer Academic Publishers 1998

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  • Anna Nagurney & Stavros Siokos, 1998. "Network modeling of international financialequilibria with hedging," Annals of Operations Research, Springer, vol. 82(0), pages 139-160, August.
    • Handle: RePEc:spr:annopr:v:82:y:1998:i:0:p:139-160:10.1023/a:1018950300861
    DOI: 10.1023/A:1018950300861
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    Cited by:

    1. E. Allevi & A. Gnudi & I. V. Konnov & G. Oggioni, 2018. "Evaluating the effects of environmental regulations on a closed-loop supply chain network: a variational inequality approach," Annals of Operations Research, Springer, vol. 261(1), pages 1-43, February.
    2. Matteo Cinelli & Giovanna Ferraro & Antonio Iovanella & Giulia Rotundo, 2021. "Assessing the impact of incomplete information on the resilience of financial networks," Annals of Operations Research, Springer, vol. 299(1), pages 721-745, April.

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