Mathematical Modeling of the Forward Contract Market

A. A. Vasin and A. G. Gusev

Department of Operation Research, Faculty of Computational Mathematics and Cybernetics,
Moscow State University, Moscow, 119991 Russia

e-mail: vasin@cs.msu.su; vmik@hotbox.ru

Received October 31, 2007

Abstract—A mathematical model of a market in which transactions are performed in two steps is stud-
ied. At the first step, forward contracts are concluded and the second step represents a single-price auc-
tion, where the residual demand is satisfied. The necessary and sufficient conditions for the existence of
the perfect subgame equilibrium in this model are obtained. The two-step market is compared with the
Cournot auction from the standpoint of consumers.

DOI:10.3103/S0278641908030047

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