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Contract Theory in Continuous-Time Models (Hardcover, 2012) Loot Price: R4,263
Discovery Miles 42 630
Contract Theory in Continuous-Time Models (Hardcover, 2012): Jaksa Cvitanic, Jianfeng Zhang

Contract Theory in Continuous-Time Models (Hardcover, 2012)

Jaksa Cvitanic, Jianfeng Zhang

Series: Springer Finance

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Loot Price R4,263 Discovery Miles 42 630 | Repayment Terms: R400 pm x 12*

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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.

General

Imprint: Springer-Verlag
Country of origin: Germany
Series: Springer Finance
Release date: September 2012
First published: 2013
Authors: Jaksa Cvitanic • Jianfeng Zhang
Dimensions: 235 x 155 x 15mm (L x W x T)
Format: Hardcover
Pages: 256
Edition: 2012
ISBN-13: 978-3-642-14199-7
Categories: Books > Business & Economics > Finance & accounting > General
Books > Reference & Interdisciplinary > Communication studies > Information theory > Cybernetics & systems theory
Books > Science & Mathematics > Mathematics > Optimization > Game theory
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LSN: 3-642-14199-4
Barcode: 9783642141997

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