Description: Contract Theory in Continuous-Time Models Please note: this item is printed on demand and will take extra time before it can be dispatched to you (up to 20 working days). Author(s): Jaksa Cvitanic, Jianfeng Zhang Format: Hardback Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, Germany Imprint: Springer-Verlag Berlin and Heidelberg GmbH & Co. K ISBN-13: 9783642141997, 978-3642141997 Synopsis 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.
Price: 92.28 GBP
Location: Aldershot
End Time: 2025-01-16T09:09:32.000Z
Shipping Cost: 37.2 GBP
Product Images
Item Specifics
Return postage will be paid by: Buyer
Returns Accepted: Returns Accepted
After receiving the item, your buyer should cancel the purchase within: 60 days
Return policy details:
Book Title: Contract Theory in Continuous-Time Models
Number of Pages: 256 Pages
Publication Name: Contract Theory in Continuous-Time Models
Language: English
Publisher: Springer-Verlag Berlin AND Heidelberg Gmbh & Co. KG
Item Height: 235 mm
Subject: Accounting, Computer Science, Mathematics
Publication Year: 2012
Type: Textbook
Item Weight: 5266 g
Author: Jianfeng Zhang, Jaksa Cvitanic
Item Width: 155 mm
Series: Springer Finance
Format: Hardcover
