Name
Title | ||
|---|---|---|
Functional inequalities, regularity and computation of the deficit and surplus variables in the financial equilibrium problem |
Abstract | ||
|---|---|---|
This paper is concerned with a general model of financial flows and prices related to individual entities, called sectors, which invest in financial instruments as assets and as liabilities. In particular, using delicate tools of Functional Analysis, besides existence results of financial equilibrium, in the dual formulation, the Lagrange functions $$\\rho _j^{*1}(t)$$źjź1(t) and $$\\rho _j^{*2}(t)$$źjź2(t), called \"deficit\" and \"surplus\" variables, appear and reveal to be very relevant in order to analyze the financial model and the possible insolvencies, which can lead to a financial contagion. In the paper the continuity of these Lagrange functions is proved. Finally, a procedure for the calculus of these variables is suggested. |
Year | DOI | Venue |
|---|---|---|
2016 | 10.1007/s10898-015-0382-4 | J. Global Optimization |
Keywords | Field | DocType |
Financial problem,Variational inequality formulation,Equilibrium conditions,Dual Lagrange formulation,Deficit and surplus variables,Financial contagion,90B50,49J40,91G80 | Financial modeling,Mathematical economics,Mathematical optimization,Financial contagion,Equilibrium problem,Equilibrium conditions,Financial instrument,Inequality,Finance,Mathematics,Computation | Journal |
Volume | Issue | ISSN |
65 | 3 | 0925-5001 |
Citations | PageRank | References |
2 | 0.43 | 9 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Patrizia Daniele | 1 | 113 | 16.01 |
| Sofia Giuffrè | 2 | 49 | 11.23 |
| mariagrazia lorino | 3 | 2 | 0.43 |