Description 
1 online resource (xii, 255 pages) 
Series 
Springer finance, 16160533 

Springer finance.

Contents 
Part 1. Introduction  PrincipalAgent Problem  SinglePeriod 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 TypeThe Case of Moral Hazard and Adverse Selection  Adverse Selection  Part 5. Backward SDE's and ForwardBackward SDE's  Backward SDEs  Stochastic Maximum Principle  ForwardBackward SDEs 
Summary 
In recent years there has been a significant increase of interest in continuoustime PrincipalAgent models, or contract theory, and their applications. Continuoustime 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 socalled Stochastic Maximum Principle, in models driven by Brownian Motion. Optimal contracts are characterized via a system of ForwardBackward 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 
Subject 
Mathematical statistics.


Business mathematics.


MATHEMATICS  Probability & Statistics  General.


Business mathematics.


Mathematical statistics.


Kontrakttheorie


AgencyTheorie


Stochastische Kontrolltheorie


Finanzmathematik

Genre/Form 
Electronic books

Form 
Electronic book

Author 
Zhang, Jianfeng (Mathematician)

ISBN 
9783642142000 

3642142001 

3642141994 

9783642141997 
