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Contract Theory in Continuous-Time Models - Jianfeng Zhang
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Contract Theory in Continuous-Time Models - encadernado, livro de bolso

2012, ISBN: 3642141994

[EAN: 9783642141997], Neubuch, [SC: 0.0], [PU: Springer Berlin Heidelberg], FINANZMATHEMATIK; MATHEMATIK / SPIELTHEORIE; SYSTEMTHEORIE; 91G80,93E20; FORWARD-BACKWARDSDES; OPTIMALCONTRACTS… mais…

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Contract Theory in Continuous-Time Models / Jianfeng Zhang (u. a.) / Buch / Springer Finance / HC runder Rücken kaschiert / xii / Englisch / 2012 / Springer Berlin / EAN 9783642141997 - Zhang, Jianfeng
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Zhang, Jianfeng:

Contract Theory in Continuous-Time Models / Jianfeng Zhang (u. a.) / Buch / Springer Finance / HC runder Rücken kaschiert / xii / Englisch / 2012 / Springer Berlin / EAN 9783642141997 - encadernado, livro de bolso

2012, ISBN: 9783642141997

[ED: Gebunden], [PU: Springer Berlin], In recent years there has been a significant increase of interest in continuous-time Principal-Agent models, or contract theory, and their applicati… mais…

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Contract Theory in Continuous Time Models - Jaksa Cvitanic, Jianfeng Zhang
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Jaksa Cvitanic, Jianfeng Zhang:
Contract Theory in Continuous Time Models - novo libro

2012

ISBN: 3642141994

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 p… mais…

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Contract Theory in Continuous-Time Models
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Contract Theory in Continuous-Time Models - novo libro

ISBN: 9783642141997

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 p… mais…

Nr. 978-3-642-14199-7. Custos de envio:Worldwide free shipping, , DE. (EUR 0.00)
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Contract Theory in Continuous-Time Models - Jakša Cvitanic Jianfeng Z
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Jakša Cvitanic Jianfeng Z:
Contract Theory in Continuous-Time Models - primeira edição

2012, ISBN: 9783642141997

Edição encadernada

[ED: Gebunden], [PU: Springer Berlin Heidelberg], Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Reviewed by international experts Survey… mais…

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Contract Theory in Continuous-Time Models
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9783642141997


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.

Dados detalhados do livro - Contract Theory in Continuous-Time Models


EAN (ISBN-13): 9783642141997
ISBN (ISBN-10): 3642141994
Livro de capa dura
Ano de publicação: 2012
Editor/Editora: Springer Berlin
255 Páginas
Peso: 0,574 kg
Língua: Englisch

Livro na base de dados desde 2009-04-15T00:35:06+01:00 (Lisbon)
Página de detalhes modificada pela última vez em 2023-10-22T23:14:42+01:00 (Lisbon)
Número ISBN/EAN: 9783642141997

Número ISBN - Ortografia alternativa:
3-642-14199-4, 978-3-642-14199-7
Ortografia alternativa e termos de pesquisa relacionados:
Autor do livro: jia, jian, zhang
Título do livro: theory finance, time within time, models, contract theory, doing time, how tell time, little time, time brief, theory wants

Dados da editora

Autor: Jakša Cvitanic; Jianfeng Zhang
Título: Springer Finance; Contract Theory in Continuous-Time Models
Editora: Springer; Springer Berlin
256 Páginas
Ano de publicação: 2012-09-26
Berlin; Heidelberg; DE
Impresso / Feito em
Língua: Inglês
149,79 € (DE)
153,99 € (AT)
165,50 CHF (CH)
POD
XII, 256 p.

BB; Hardcover, Softcover / Mathematik/Sonstiges; Angewandte Mathematik; Verstehen; Wirtschaft; 91G80, 93E20; forward-backward SDEs; optimal contracts; principal-agent problems; quantitative finance; stochastic maximum principle; Mathematics in Business, Economics and Finance; Game Theory; Systems Theory, Control; Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management; Spieltheorie; Kybernetik und Systemtheorie; BC

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.
Reviewed by international experts Surveys recent results in a systematic way Enables derivation of many qualitative economic conclusions Includes supplementary material: sn.pub/extras

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