Electronic Resource

Contract theory in continuous-time models

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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.

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Ketersediaan

Informasi Detail

Judul Seri

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No. Panggil

E736

Penerbit

Jerman : Springer Berlin., 2013

Deskripsi Fisik

xii, 256

Bahasa

English

ISBN/ISSN

9783642142000

Klasifikasi

NONE

Tipe Isi

text

Tipe Media

computer

Tipe Pembawa

online resource

Edisi

Ed.1

Subjek

Keuangan Kuantitatif

Info Detail Spesifik

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Pernyataan Tanggungjawab

Jakša Cvitanić, Jianfeng Zhang

Versi lain/terkait

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