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Contract Theory in Continuous-Time Models - Jianfeng Zhang
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Jianfeng Zhang:

Contract Theory in Continuous-Time Models - hardcover

2012, ISBN: 3642141994

[EAN: 9783642141997], Neubuch, [SC: 0.0], [PU: Springer Berlin Heidelberg], FINANZMATHEMATIK; MATHEMATIK / SPIELTHEORIE; SYSTEMTHEORIE; 91G80,93E20; FORWARD-BACKWARDSDES; OPTIMALCONTRACTS… More...

NEW BOOK. Shipping costs:Versandkostenfrei. (EUR 0.00) AHA-BUCH GmbH, Einbeck, Germany [51283250] [Rating: 5 (von 5)]
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Contract Theory in Continuous-Time Models / Jianfeng Zhang (u. a.) / Buch / Springer Finance / HC runder Rücken kaschiert / xii / Englisch / 2012 / Springer Berlin / EAN 9783642141997 - Zhang, Jianfeng
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Zhang, Jianfeng:

Contract Theory in Continuous-Time Models / Jianfeng Zhang (u. a.) / Buch / Springer Finance / HC runder Rücken kaschiert / xii / Englisch / 2012 / Springer Berlin / EAN 9783642141997 - hardcover

2012, ISBN: 9783642141997

[ED: Gebunden], [PU: Springer Berlin], In recent years there has been a significant increase of interest in continuous-time Principal-Agent models, or contract theory, and their applicati… More...

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Contract Theory in Continuous Time Models - Jaksa Cvitanic, Jianfeng Zhang
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Jaksa Cvitanic, Jianfeng Zhang:
Contract Theory in Continuous Time Models - new book

2012

ISBN: 3642141994

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 p… More...

Nr. 24516279. Shipping costs:, 2-5 Werktage, DE. (EUR 0.00)
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Contract Theory in Continuous-Time Models
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Contract Theory in Continuous-Time Models - new book

ISBN: 9783642141997

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 p… More...

Nr. 978-3-642-14199-7. Shipping costs:Worldwide free shipping, , DE. (EUR 0.00)
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Contract Theory in Continuous-Time Models - Jakša Cvitanic Jianfeng Z
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Jakša Cvitanic Jianfeng Z:
Contract Theory in Continuous-Time Models - First edition

2012, ISBN: 9783642141997

Hardcover

[ED: Gebunden], [PU: Springer Berlin Heidelberg], Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Reviewed by international experts Survey… More...

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Details of the book
Contract Theory in Continuous-Time Models
Author:
Title:
ISBN:

3642141994


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.

Details of the book - Contract Theory in Continuous-Time Models


EAN (ISBN-13): 9783642141997
ISBN (ISBN-10): 3642141994
Hardcover
Publishing year: 2012
Publisher: Springer Berlin
255 Pages
Weight: 0,574 kg
Language: Englisch

Book in our database since 2009-04-15T00:35:06+01:00 (London)
Detail page last modified on 2023-10-22T23:14:42+01:00 (London)
ISBN/EAN: 3642141994

ISBN - alternate spelling:
3-642-14199-4, 978-3-642-14199-7
Alternate spelling and related search-keywords:
Book author: jia, jian, zhang
Book title: theory finance, time within time, models, contract theory, doing time, how tell time, little time, time brief, theory wants

Information from Publisher

Author: Jakša Cvitanic; Jianfeng Zhang
Title: Springer Finance; Contract Theory in Continuous-Time Models
Publisher: Springer; Springer Berlin
256 Pages
Publishing year: 2012-09-26
Berlin; Heidelberg; DE
Printed / Made in
Language: English
149,79 € (DE)
153,99 € (AT)
165,50 CHF (CH)
POD
XII, 256 p.

BB; Hardcover, Softcover / Mathematik/Sonstiges; Angewandte Mathematik; Verstehen; Wirtschaft; 91G80, 93E20; forward-backward SDEs; optimal contracts; principal-agent problems; quantitative finance; stochastic maximum principle; Mathematics in Business, Economics and Finance; Game Theory; Systems Theory, Control; Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management; Spieltheorie; Kybernetik und Systemtheorie; BC

Preface.- PART I Introduction: 1.The Principal-Agent Problem.- 2.Single-Period Examples.- PART II First Best. Risk Sharing under Full Information: 3.Linear Models with Project Selection, and Preview of Results.- 4.The General Risk Sharing Problem.- PART III Second Best. Contracting Under Hidden Action- The Case of Moral Hazard: 5.The General Moral Hazard Problem.- 6.DeMarzo and Sannikov (2007), Biais et al (2007) – An Application to Capital Structure Problems: Optimal Financing of a Company.- PART IV Third Best. Contracting Under Hidden Action and Hidden Type – The Case of Moral Hazard and Adverse Selection: 7.Controlling the Drift.- 8.Controlling the Volatility-Drift Trade-Off with the First-Best.- PART IV Appendix: Backward SDEs and Forward-Backward SDEs.- 9.Introduction.- 10.Backward SDEs.- 11.Decoupled Forward Backward SDEs.- 12.Coupled Forward Backward SDEs.- References.- Index.
Reviewed by international experts Surveys recent results in a systematic way Enables derivation of many qualitative economic conclusions Includes supplementary material: sn.pub/extras

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