Téléchargez le livre : Contract Theory in Continuous-Time Models

Contract Theory in Continuous-Time Models



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Springer


Paru le : 2012-09-24



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Description

In recent years there has been a significant increase of 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/loss" 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.
Pages
256 pages
Collection
n.c
Parution
2012-09-24
Marque
Springer
EAN papier
9783642141997
EAN EPUB
9783642142000
Informations sur l'ebook
Nombre pages copiables
2
Nombre pages imprimables
25
Taille du fichier
3912 Ko
Ce livre est accessible aux handicaps Voir les informations sur l'accessibilité
Prix
94,94 €
Jakša Cvitanic held positions at Columbia University (Statistics), University of Southern California (Mathematics and Economics), and currently at Caltech (Social Sciences). He has served on the editorial boards of journals in the areas of Financial Mathematics, Applied Probability and Optimization, as well as on the Council of the Bachelier Finance Society. Jianfeng Zhang is currently associate professor at the University of Southern California (Mathematics Department).

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