Articles liés à Contract Theory in Continuous-time Models
Synopsis
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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À propos de l?auteur
Jaksa 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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Contract Theory in Continuous-Time Models
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Contract Theory in Continuous-Time Models (Springer Finance)
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Contract Theory in Continuous-Time Models
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Springer Berlin Heidelberg, 2012
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ISBN 13 : 9783642141997
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Buch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. N° de réf. du vendeur 9783642141997
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Contract Theory in Continuous-Time Models
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ISBN 10 : 3642141994
ISBN 13 : 9783642141997
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Buch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 268 pp. Englisch. N° de réf. du vendeur 9783642141997
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Contract Theory in Continuous-Time Models
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Springer Berlin Heidelberg, Springer Berlin Heidelberg Sep 2012, 2012
ISBN 10 : 3642141994
ISBN 13 : 9783642141997
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Couverture rigide
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Buch. Etat : Neu. Neuware -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.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 268 pp. Englisch. N° de réf. du vendeur 9783642141997
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Contract Theory in Continuous-Time Models (Springer Finance)
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ISBN 10 : 3642141994
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Contract Theory in Continuous-Time Models
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Contract Theory in Continuous-Time Models (Springer Finance)
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Contract Theory in Continuous-Time Models
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Contract Theory in Continuous-Time Models
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