Contract Theory in Continuous-Time Models

Name: Contract Theory in Continuous-Time Models
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 9783642141997
Price: 136.94 EUR
Availability: InStock

Autor: Jaksa Cvitanic, Jianfeng Zhang

Jazyk:

Väzba: Pevná

Vydavateľ: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

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In the recent years there has been a significant increase in the interest in continuous-time Princip...

Informácie o knihe

Autor

Jaksa Cvitanic, Jianfeng Zhang

Jazyk

Angličtina

Väzba

Kniha - Pevná

Vydalo

2012

Stránok

256

EAN

9783642141997

ISBN

3642141994

Enbook ID

01656183

Vydavateľ

Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Hmotnosť

5266

Rozmery

155 x 235 x 20

Kompletný popis

In the recent years there has been a significant increase in the interest in continuous-time Principal-Agent models, or contract theory, and their applications. Continuous-time models provide a powerful and elegant framework for solving stochastic optimization problems of finding the optimal contracts between two parties, under various assumptions on the information they have access to, and the effect they have on the underlying "profit/los" values. This monograph surveys recent results of the theory in a systematic way, using the approach of the so-called Stochastic Maximum Principle, in models driven by Brownian Motion.§Optimal contracts are characterized via a system of Forward-Backward Stochastic Differential Equations. In a number of interesting special cases these can be solved explicitly, enabling derivation of many qualitative economic conclusions.

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