Contract Theory in Continuous-Time Models 2024 pdf epub mobi 电子书

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发表于2024-12-28

Contract Theory in Continuous-Time Models 2024 pdf epub mobi 电子书

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出版者:Springer

作者:Jakša Cvitanic

出品人:

页数:268

译者:

出版时间:2012-9-26

价格:GBP 53.99

装帧:Hardcover

isbn号码:9783642141997

丛书系列:

图书标签: MicroEcon EconGameTheory 金融经济学数学 finance Microeconomics Math

Contract Theory in Continuous-Time Models 2024 pdf epub mobi 电子书图书描述

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.

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