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Více informací o knize Contract Theory in Continuous-Time Models

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Anotace knihy

In the recent years there has been a significant increase in the 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/los" 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.

Parametry knihy

Zařazení knihy Knihy v angličtině Reference, information & interdisciplinary subjects Research & information: general Information theory

• Plný název: Contract Theory in Continuous-Time Models
• Autor: Jaksa Cvitanic, Jianfeng Zhang
• Jazyk: Angličtina
• Vazba: Pevná
• Počet stran: 256
• EAN: 9783642141997
• ISBN: 3642141994
• ID: 01656183
• Nakladatelství: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
• Hmotnost: 5266 g
• Rozměry: 235 × 155 × 20 mm
• Datum vydání: 26. September 2012

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