Contract theory in continuous-time models
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 betwe...
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| Main Authors: | , |
|---|---|
| Format: | Livre numérique |
| Language: | Anglais |
| Published: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer
[20..].
Cham : Springer Nature |
| Series: | Springer Finance
|
| Online Access: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Note: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Contract Theory in Continuous-Time Models, Jakša Cvitanić, Jianfeng Zhang., Berlin, Heidelberg, Springer, 2013, 1 vol. (255 p.), Springer Finance, 978-3-642-14199-7 |
Table of Contents:
- 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