Description |
1 online resource (xii, 255 pages) |
Series |
Springer finance, 1616-0533 |
|
Springer finance.
|
Contents |
Part 1. Introduction -- Principal-Agent Problem -- Single-Period Examples -- Part 2. First Best: Risk Sharing Under Full Information -- Linear Models with Project Selection, and Preview of Results -- The General Risk Sharing Problem -- Part 3. Second Best: Contracting Under Hidden Action -- the Case of Moral Hazard -- Mathematical Theory for General Moral Hazard Problems -- Special Cases and Applications -- An Application to Capital Structure Problems: Optimal Financing of a Company -- Part 4. Third Best: Contracting Under Hidden Action and Hidden Type--The Case of Moral Hazard and Adverse Selection -- Adverse Selection -- Part 5. Backward SDE's and Forward-Backward SDE's -- Backward SDEs -- Stochastic Maximum Principle -- Forward-Backward SDEs |
Summary |
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 |
Analysis |
Mathematics |
|
Finance |
|
Systems theory |
|
Quantitative Finance |
|
Game Theory, Economics, Social and Behav. Sciences |
|
Systems Theory, Control |
Bibliography |
Includes bibliographical references and index |
Notes |
English |
|
Print version record |
In |
Springer eBooks |
Subject |
Mathematical statistics.
|
|
Business mathematics.
|
|
Mathematics.
|
|
Finance.
|
|
Mathematics
|
|
finance.
|
|
MATHEMATICS -- Probability & Statistics -- General.
|
|
Estadística matemática
|
|
Matemáticas financieras
|
|
Matemáticas
|
|
Finanzas
|
|
Business mathematics
|
|
Mathematical statistics
|
|
Kontrakttheorie
|
|
Agency-Theorie
|
|
Stochastische Kontrolltheorie
|
|
Finanzmathematik
|
Form |
Electronic book
|
Author |
Zhang, Jianfeng (Mathematician)
|
ISBN |
9783642142000 |
|
3642142001 |
|
3642141994 |
|
9783642141997 |
|
1283640473 |
|
9781283640473 |
|