Contract Theory in Continuous-Time Models (Springer Finance)

Cvitanic, Jaksa, Zhang, Jianfeng

ISBN 10: 3642433529 / ISBN 13: 9783642433528

Editore: Springer, 2018

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268 pp., paperback, new, this is the 2018 printing. - If you are reading this, this item is actually (physically) in our stock and ready for shipment once ordered. We are not bookjackers. Buyer is responsible for any additional duties, taxes, or fees required by recipient's country.

Codice articolo ZB1315123

Dati bibliografici

• Titolo: Contract Theory in Continuous-Time Models (Springer Finance)
• Editore: Springer
• Data di pubblicazione: 2018
• Lingua: Inglese
• ISBN 10: 3642433529
• ISBN 13: 9783642433528
• Rilegatura: Brossura
• Condizione: Fine

Descrizione articolo

Riassunto

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.

Informazioni sull?autore

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).