Contract Theory in Continuous-Time Models

• Main Authors: Cvitanić, Jakša (Author), Zhang, Jianfeng (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013.
• Series: Springer Finance,
• Subjects: Mathematics.; Game theory.; Economics, Mathematical.; System theory.; Quantitative Finance.; Game Theory, Economics, Social and Behav. Sciences.; Systems Theory, Control.

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...

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.