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: 747.58 RON
Availability: InStock

Autor: Jaksa Cvitanic, Jianfeng Zhang

Limbă:

Legare: Copertă tare

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

Disponibilitate: În depozitul extern

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747.58 lei

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

Informații despre carte

Autor

Jaksa Cvitanic, Jianfeng Zhang

Limbă

engleză

Legare

Carte - Copertă tare

Publicat

2012

Pagini

256

EAN

9783642141997

ISBN

3642141994

Enbook ID

01656183

Editura

Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Greutate

5266

Dimensiuni

155 x 235 x 20

Descriere completă

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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Contract Theory in Continuous-Time Models

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