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Könyv Contract Theory in Continuous-Time Models Jaksa Cvitanic

Contract Theory in Continuous-Time Models

Szerző: Jaksa Cvitanic, Jianfeng Zhang
Nyelv: Angol
Kötés: Kemény kötésű
Kiadó: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Elérhetőség: Beszállítói készleten
Küldés 10-13 napon belül
52 785 Ft
In the recent years there has been a significant increase in the interest in continuous-time Princip...

Információk a könyvről

Szerző
Jaksa Cvitanic, Jianfeng Zhang
Nyelv
Angol
Kötés
Könyv - Kemény kötésű
Kiadva
2012
oldal
256
EAN
9783642141997
ISBN
3642141994
Enbook ID
01656183
Kiadó
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Súly
5266
Méretek
155 x 235 x 20

Teljes leírás

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.

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