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Contract Theory in Continuous-Time Models (Springer Finance)

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Synopses & Reviews

Publisher Comments:

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.

Synopsis:

There has been increased interest in continuous-time Principal-Agent models and their applications. This monograph surveys results of the theory using the approach of the so-called Stochastic Maximum Principle, in models driven by Brownian Motion.

About the Author

Jakša Cvitanić 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).

Table of Contents

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.

Product Details

ISBN:
9783642141997
Author:
Cvitanic, Jaksa
Publisher:
Springer
Author:
Zhang, Jianfeng
Location:
Berlin, Heidelberg
Subject:
Finance
Subject:
91G80, 93E20
Subject:
forward-backward SDEs
Subject:
optimal contracts
Subject:
principal-agent problems
Subject:
Quantitative Finance
Subject:
stochastic maximum principle
Subject:
Game Theory, Economics, Social and Behav. Sciences
Subject:
Systems Theory, Control Reviewed by international experts. Surveys recent results in a systematic way. Enables derivation of many qualitative economic conclusions.
Subject:
Business-Accounting and Finance
Subject:
Game Theory
Subject:
Systems Theory, Control
Subject:
91G
Subject:
80, 93E20
Subject:
Applied
Subject:
Mathematics
Subject:
B
Subject:
mathematics and statistics
Subject:
Systems theory.
Copyright:
Edition Description:
2012
Series:
Springer Finance
Publication Date:
20110729
Binding:
HARDCOVER
Language:
English
Pages:
290
Dimensions:
235 x 155 mm

Related Subjects

Business » Accounting and Finance
History and Social Science » Sociology » General
Science and Mathematics » Mathematics » Applied
Science and Mathematics » Mathematics » Modeling
Science and Mathematics » Mathematics » Probability and Statistics » Statistics
Science and Mathematics » Mathematics » Systems Theory
Transportation » Aviation » General

Contract Theory in Continuous-Time Models (Springer Finance) New Hardcover
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Product details 290 pages Springer - English 9783642141997 Reviews:
"Synopsis" by , There has been increased interest in continuous-time Principal-Agent models and their applications. This monograph surveys results of the theory using the approach of the so-called Stochastic Maximum Principle, in models driven by Brownian Motion.
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