Abstract
Finance is concerned with the study of capital flows over space and time in the presence of risk. As a subject, it has benefited from numerous mathematical and engineering tools that have been developed and utilized for the modeling, analysis, and computation of solutions in the present complex economic environment. Indeed, the financial landscape today is characterized by the existence of distinct sectors in economies, the proliferation of new financial instruments, with increasing diversification of portfolios internationally, various transaction costs, the increasing growth of electronic transactions through advances in information technology and, in particular, the Internet, and different types of governmental policy interventions. Hence, rigorous methodological tools that can capture the complexity and richness of financial decision-making today and that can take advantage of powerful computer resources have never been more important and needed for financial quantitative analyses.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Ahuja RK, Magnanti TL, Orlin JB (1993) Network Flows, Prentice Hall, Upper Saddle River, New Jersey
Arrow KJ (1951) “An Extension of the Basic Theorems of Classical Welfare Economics,” Econometrica: 1305–1323
Barr RS (1972) “The Multinational Cash Management Problem: A Generalized Network Approach,” Working Paper, University of Texas, Austin, Texas
Board of Governors (1980) Introduction to Flow of Funds, Flow of Funds Section, Division of Research and Statistics, Federal Reserve System, Washington, DC, June
Boginski V, Butenko S, Pardalos, PM (2003) “On Structural Properties of the Market Graph,” in Innovations in Financial and Economic Networks, A Nagurney, Editor, Edward Elgar Publishing, Cheltenham, England, pp. 29–42
Charnes A, Cooper WW (1958) “Nonlinear Network Flows and Convex Programming over Incidence Matrices,” Naval Research Logistics Quarterly 5: 231–240
Charnes A, Cooper WW (1961) Management Models and Industrial Applications of Linear Programming, John Wiley & Sons, New York
Charnes A, Cooper, WW (1967) “Some Network Characterizations for Mathematical Programming and Accounting Approaches to Planning and Control,” The Accounting Review 42: 24–52
Charnes A, Miller M (1957) “Programming and Financial Budgeting,” Symposium on Techniques of Industrial Operations Research, Chicago, Illinois, June
Christofides N, Hewins, RD, Salkin, GR (1979) “Graph Theoretic Approaches to Foreign Exchange Operations,” Journal of Financial and Quantitative Analysis 14: 481–500
Claessens S, Jansen, M, Editors (2000) Internationalization of Financial Services, Kluwer Academic Publishers, Boston, Massachusetts
Claessens S, Dobos G, Klingebiel D, Laeven, L (2003) “The Growing Importance of Networks in Finance and Their Effects on Competition,” in Innovations in Financial and Economic Networks, A Nagurney, Editor, Edward Elgar Publishing, Cheltenham, England, pp. 110–135
Cohen J (1987) The Flow of Funds in Theory and Practice, Financial and Monetary Studies 15, Kluwer Academic Publishers, Dordrecht, The Netherlands
Copeland MA (1952) A Study of Moneyflows in the United States, National Bureau of Economic Research, New York
Cournot AA (1838) Researches into the Mathematical Principles of the Theory of Wealth, English Translation, Macmillan, London, England, 1897
Crum RL (1976) “Cash Management in the Multinational Firm: A Constrained Generalized Network Approach,” Working Paper, University of Florida, Gainesville, Florida
Crum RL, Klingman DD, Tavis LA (1979), “Implementation of Large-Scale Financial Planning Models: Solution Efficient Transformations,” Journal of Financial and Quantitative Analysis 14: 137–152
Crum RL, Klingman DD, Tavis LA (1983) “An Operational Approach to Integrated Working Capital Planning,” Journal of Economics and Business 35: 343–378
Crum RL, Nye DJ (1981) “A Network Model of Insurance Company Cash Flow Management,” Mathematical Programming Study 15: 86–101
Dafermos SC, Sparrow FT (1969) “The Traffic Assignment Problem for a General Network,” Journal of Research of the National Bureau of Standards 73B: 91–118
Dantzig GB, Madansky A (1961) “On the Solution of Two-Stage Linear Programs under Uncertainty,” in Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability 1, University of California Press, Berkeley, California, pp. 165–176
Debreu G (1951) “The Coefficient of Resource Utilization,” Econometrica 19: 273–292
Dong J, Nagurney A (2001) “Bicriteria Decision-Making and Financial Equilibrium: A Variational Inequality Perspective,” Computational Economics 17: 29–42
Dong J, Zhang D, Nagurney A (1996) “A Projected Dynamical Systems Model of General Financial Equilibrium with Stability Analysis,” Mathematical and Computer Modelling 24: 35–44
Doumpos M, Zopounidis C, Pardalos, PM (2000) “Multicriteria Sorting Methodology: Application to Financial Decision Problems,” Parallel Algorithms and Applications 15: 113–129
Dupuis P, Nagurney A (1993) “Dynamical Systems and Variational Inequalities,” Annals of Operations Research 44: 9–42
Enke S (1951) “Equilibrium Among Spatially Separated Markets,” Econometrica 10: 40–47
Euler L (1736) “Solutio Problematis ad Geometriam Situs Pertinentis,” Commetarii Academiae Scientiarum Imperialis Petropolitanae 8: 128–140
Fei JCH (1960) “The Study of the Credit System by the Method of Linear Graph,” The Review of Economics and Statistics 42: 417–428
Ferguson AR, Dantzig GB (1956) “The Allocation of Aircraft to Routes,” Management Science 2: 45–73
Ford LR, Fulkerson DR (1962) Flows in Networks, Princeton University Press, Princeton, New Jersey
Francis JC, Archer SH (1979) Portfolio Analysis, Prentice Hall, Englewood Cliffs, New Jersey
G-10 (2001) “Report on Consolidation in Financial Services,” Bank for International Settlements, Switzerland
Geunes J, Pardalos PM (2003) “Network Optimization in Supply Chain Management and Financial Engineering: An Annotated Bibliography,” Networks 42: 66–84
Hughes M, Nagurney A (1992) “A Network Model and Algorithm for the Estimation and Analysis of Financial Flow of Funds,” Computer Science in Economics and Management 5: 23–39
Korpelevich GM (1977) “The Extragradient Method for Finding Saddle Points and Other Problems,” Matekon 13: 35–49
Kim HM (1999) Globalization of International Financial Markets, Ashgate, Hants, England
Liu Z, Nagurney A (2005) “Financial Networks with Intermediation and Transportation Network Equilibria: A Supernetwork Equivalence and Reinterpretation of the Equilibrium Conditions with Computations,” to appear in Computational Management Science
Markowitz HM (1952) “Portfolio Selection,” The Journal of Finance 7: 77–91
Markowitz HM (1959) Portfolio Selection: Efficient Diversification of Investments, John Wiley & Sons, Inc., New York
Mulvey JM (1987) “Nonlinear Networks in Finance,” Advances in Mathematical Programming and Financial Planning 1: 253–271
Mulvey JM, Simsek KD, Pauling B (2003) “A Stochastic Network Optimization Approach for Integrated Pension and Corporate Financial Planning,” in Innovations in Financial and Economic Networks, A Nagurney, Editor, Edward Elgar Publishing, Cheltenham, England, pp. 110–135
Mulvey JM, Vladimirou H (1989) “Stochastic Network Optimization Models for Investment Planning,” Annals of Operations Research 20: 187–217
Mulvey JM, Vladimirou H (1991), “Solving Multistage Stochastic Networks: An Application of Scenario Aggregation,” Networks 21: 619–643
Nagurney A (1994) “Variational Inequalities in the Analysis and Computation of Multi-Sector, Multi-Instrument Financial Equilibria,” Journal of Economic Dynamics and Control 18: 161–184
Nagurney A (1999) Network Economics: A Variational Inequality Approach, Second and Revised Edition, Kluwer Academic Publishers, Dordrecht, The Netherlands
Nagurney A (2001) “Finance and Variational Inequalities,” Quantitative Finance 1: 309–317
Nagurney A, Editor (2003) Innovations in Financial and Economic Networks, Edward Elgar Publishing, Cheltenham, England
Nagurney A (2005) “Financial Networks,” Invited Chapter for Handbook of Financial Engineering, C. Zopounidis, M. Doumpos, and P. M. Pardalos, Editors, Springer, Berlin, Germany, to appear
Nagurney A, Cruz JM (2003) “International Financial Networks with Electronic Transactions,” in Innovations in Financial and Economic Networks, A. Nagurney, Editor, Edward Elgar Publishing, Cheltenham, England, pp. 135–167
Nagurney A, Cruz JM, Wakolbinger T (2004) “The Co-Evolution and Emergence of Integrated International Financial Networks and Social Networks: Theory, Analysis, and Computations,” to appear in Globalization and Regional Economic Modeling, RJ Cooper, KP Donaghy, GJD Hewings, Editors, Springer, Berlin, Germany
Nagurney A, Dong J (1996a) “Network Decomposition of General Financial Equilibria with Transaction Costs,” Networks 28: 107–116
Nagurney A, Dong J (1996b) “General Financial Equilibrium Modelling with Policy Interventions and Transaction Costs,” Computational Economics 9: 363–384
Nagurney A, Dong J (2002) Supernetworks: Decision-Making for the Information Age, Edward Elgar Publishers, Cheltenham, England
Nagurney A, Dong J, Hughes M (1992) “Formulation and Computation of General Financial Equilibrium,” Optimization 26: 339–354
Nagurney A, Hughes M (1992) “Financial Flow of Funds Networks,” Networks 22: 145–161
Nagurney A, Ke K (2001) “Financial Networks with Intermediation,” Quantitative Finance 1: 441–451
Nagurney A, Ke K (2003) “Financial Networks with Electronic Transactions: Modeling, Analysis, and Computations,” Quantitative Finance 3: 71–87
Nagurney A, Liu Z, Cojocaru MG, Daniele P (2005) “Dynamic Electric Power Supply Chains and Transportation Networks: An Evolutionary Variational Inequality Formulation,” to appear in Transportation Research E
Nagurney A, Siokos S (1997) “Variational Inequalities for International General Financial Equilibrium Modeling and Computation,” Mathematical and Computer Modelling 25: 31–49
Nagurney A, Wakolbinger T, Zhao L (2006) “The Evolution and Emergence of Integrated Social and Financial Networks with Electronic Transactions: A Dynamic Supernetwork Theory for the Modeling, Analysis, and Computation of Financial Flows and Relationship Levels,” Computational Economics 27: 353–393
Nagurney A, Zhang D (1996) Projected Dynamical Systems and Variational Inequalities with Applications, Kluwer Academic Publishers, Boston, Massachusetts
Pigou AC (1920) The Economics of Welfare, Macmillan, London, England
Quesnay F (1758) Tableau Economique, 1758, reproduced in facsimile with an introduction by H. Higgs by the British Economic Society, 1895
Rockafellar RT, Wets RJ-B (1991) “Scenarios and Policy in Optimization under Uncertainty,” Mathematics of Operations Research 16: 1–29
Rudd A, Rosenberg B (1979) “Realistic Portfolio Optimization,” TIMS Studies in the Management Sciences 11: 21–46
Rutenberg DP (1970), “Maneuvering Liquid Assets in a Multi-National Company: Formulation and Deterministic Solution Procedures,” Management Science 16: 671–684
Samuelson PA (1952) “Spatial Price Equilibrium and Linear Programming,” American Economic Review 42: 283–303
Shapiro AC, Rutenberg DP (1976) “Managing Exchange Risks in a Floating World,” Financial Management 16: 48–58
Soenen L A (1979) Foreign Exchange Exposure Management: A Portfolio Approach, Sijthoff and Noordhoff, Germantown, Maryland
Srinivasan V (1974) “A Transshipment Model for Cash Management Decisions,” Management Science 20: 1350–1363
Storoy S, Thore S, Boyer M (1975) “Equilibrium in Linear Capital Market Networks,” The Journal of Finance 30: 1197–1211
Takayama T, Judge GG (1971) Spatial and Temporal Price and Allocation Models, North-Holland, Inc., Amsterdam, The Netherlands
Thore S (1969) “Credit Networks,” Economica 36: 42–57
Thore S (1970) “Programming a Credit Network under Uncertainty,” Journal of Money, Banking, and Finance 2: 219–246
Thore S (1980) Programming the Network of Financial Intermediation, Universitetsforlaget, Oslo, Norway
Thore S (1984) “Spatial Models of the Eurodollar Market,” Journal of Banking and Finance 8: 51–65
Thore S, Kydland F (1972) “Dynamic for Flow-of-Funds Networks,” in Applications of Management Science in Banking and Finance, S Eilon and TR Fowkes, Editors, Gower Press, England, pp. 259–276
Wallace S (1986) “Solving Stochastic Programs with Network Recourse,” Networks 16: 295–317
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2008 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Nagurney, A. (2008). Networks in Finance. In: Seese, D., Weinhardt, C., Schlottmann, F. (eds) Handbook on Information Technology in Finance. International Handbooks Information System. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-49487-4_17
Download citation
DOI: https://doi.org/10.1007/978-3-540-49487-4_17
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-49486-7
Online ISBN: 978-3-540-49487-4
eBook Packages: Business and EconomicsEconomics and Finance (R0)