Geodesic
A bank liquidity management under random oscillations of interest rates
Matematičeskoe modelirovanie, Tome 16 (2004) no. 9, pp. 3-22 
M. Yu. Andreev; I. G. Pospelov. A bank liquidity management under random oscillations of interest rates. Matematičeskoe modelirovanie, Tome 16 (2004) no. 9, pp. 3-22. http://geodesic.mathdoc.fr/item/MM_2004_16_9_a0/
@article{MM_2004_16_9_a0,
     author = {M. Yu. Andreev and I. G. Pospelov},
     title = {A bank liquidity management under random oscillations of interest rates},
     journal = {Matemati\v{c}eskoe modelirovanie},
     pages = {3--22},
     year = {2004},
     volume = {16},
     number = {9},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/MM_2004_16_9_a0/}
}
TY  - JOUR
AU  - M. Yu. Andreev
AU  - I. G. Pospelov
TI  - A bank liquidity management under random oscillations of interest rates
JO  - Matematičeskoe modelirovanie
PY  - 2004
SP  - 3
EP  - 22
VL  - 16
IS  - 9
UR  - http://geodesic.mathdoc.fr/item/MM_2004_16_9_a0/
LA  - ru
ID  - MM_2004_16_9_a0
ER  - 
%0 Journal Article
%A M. Yu. Andreev
%A I. G. Pospelov
%T A bank liquidity management under random oscillations of interest rates
%J Matematičeskoe modelirovanie
%D 2004
%P 3-22
%V 16
%N 9
%U http://geodesic.mathdoc.fr/item/MM_2004_16_9_a0/
%G ru
%F MM_2004_16_9_a0

Voir la notice de l'article provenant de la source Math-Net.Ru

The mathematical model of management of liquidity of bank have been built. The economy rate of growth is considered to be constant, while interest rates of short instruments osculates randomly. It is supposed, that the bank maximizes the expected net present value. The concept of optimal strategy of bank is entered. It is shown, that optimal strategy should satisfy Bellman equation. Solution of the equation is found in an explicit form. Various strategies of bank are considered depending on how the income of bank depends on random values.

[1] Guriev S. M., Pospelov I. G., “Model deyatelnosti banka pri otsutstvii inflyatsii i ekonomicheskogo rosta”, Ekonomika i matematicheskie metody, 33:3 (1997), 35–47

[2] Avtukhovich E. V., Guriev S. M., Olenev N. N. i dr., Matematicheskaya model ekonomiki perekhodnogo perioda, VTs RAN, 1999, 143 pp. | MR

[3] Yaari M., “The Dual Theory of Choice under Risk”, Econometrica, 55 (1987), 95–115 | DOI | MR | Zbl

[4] Chukanov S. V., “Modelirovanie ekonomicheskogo povedeniya i metod dinamicheskogo profammirovaniya na beskonechnom vremennom intervale”, Matem. modelirovanie, 15:3 (2003), 109–121 | MR

[5] Prokhorov Yu. V., Rozanov Yu. A., Teoriya veroyatnostei. Osnovnye ponyatiya, predelnye teoremy, sluchainye protsessy, Nauka, 1967, 495 pp. | MR | Zbl

[6] Kolmogorov A. N., Osnovnye ponyatiya teorii veroyatnostei, 3-e izd., FAZIS, 1998, 144 pp. | MR