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...

Πλήρης περιγραφή

Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριοι συγγραφείς: Cvitanić, Jakša (Συγγραφέας), Zhang, Jianfeng (Συγγραφέας)
Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
Γλώσσα:English
Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013.
Σειρά:Springer Finance,
Θέματα:
Διαθέσιμο Online:Full Text via HEAL-Link
Πίνακας περιεχομένων:
  • 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.