Financial Networks: Statics and Dynamics by Anna Nagurney

By Anna Nagurney

Financial research is anxious with the learn of capital flows over the years and house. This ebook offers a brand new thought of multi-sector, multi-instrument monetary platforms in line with the visualization of such structures as networks. The framework is either qualitative and computational and relies crucially at the methodologies of finite-dimensional variational inequality conception for the research of statics and equilibrium states and on projected dynamical platforms for the learn of dynamics and disequilibrium habit. furthermore, it provides a graphical size to the elemental monetary constitution of monetary structures and their evolution via time.

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A significant simplification of the BSM was done by Cox, Ross, and Rubinstein (1979), and an important application was demonstrated by Merton (1974) as to the pricing of corporate debt. The Black and Scholes (1973) model managed to offer a simple but reliable tool for option pricing, where the number of variables that determine an option price is small and the derivation of their value is simple. , Lessard (1973), Solnik (1974)) suggested that international portfolios outperform domestically diversified portfolios.

4 presented some of the foundations of international macroeconomics. The emphasis was on the parity conditions that govern international markets, and on asset pricing in an international context. For a more detailed presentation of these topics, we refer the reader to the work by Solnik (1974), Adler and Dumas (1983), and Dumas (1994). We note that relevant topics such as monetary economics and capital taxation were not presented in this section. These topics are deferred to Parts III and IV of this book where models with market imperfections such as taxes, transaction costs, and policies from monetary authorities will be presented and extensively studied.

A decision-maker is assumed to be able to rank all the alternatives according to his preferences and we assume that labeling is such that Xl is less preferred than X2 and so on. 16) Each alternative decision corresponds to a specific combination of commodities, and, consequently, a utility function can also be stated in terms of the quantities that the decision-maker (investor) consumes (invests) from each commodity (asset). 26 2 Foundations of Financial Economics Let Ci represent the quantity that the decision-maker consumes of commodity i, and assume, for simplicity, that the consumer has a choice only between two commodities.

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