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Contract Theory in Continuous-Time Models by Jak a. Cvitanic, Jianfeng Zhang - Paperback
407.10 AED

Contract Theory in Continuous-Time Models by Jak a. Cvitanic, Jianfeng Zhang - Paperback

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Category Type
Mathematics
ISBN
9783642433528
Author
Jak a. Cvitanic, Jianfeng Zhang
Publisher
Springer
Description:

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 ...

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PRODUCT INFORMATION

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    Specifications

    Category Type
    Mathematics
    ISBN
    9783642433528
    Languages
    English
    Item EAN
    2724437250828
    People
    Author
    Jak a. Cvitanic, Jianfeng Zhang
    Category Type
    Mathematics
    ISBN
    9783642433528
    Languages
    English
    Item EAN
    2724437250828
    People
    Author
    Jak a. Cvitanic, Jianfeng Zhang
    People
    Publisher
    Springer
    Technical Information
    Binding
    Paperback
    Languages and countries
    Book Language
    English
    Read more
  •  

    Description:

    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

    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.

    Product Features:
    • Category: Mathematics
    • Binding: Paperback
    • Language of Text: English
    • Author(s): Jak a. Cvitanic, Jianfeng Zhang
    • Publisher: Springer
    • ISBN: 9783642433528
    • Number of Pages: 256
    • Dimensions: 9.21 x 6.14 x 0.56 inches
 

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