Contract Theory in Continuous-Time Models

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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.

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2015-4-16 18:39:51 上传

Springer Finance Series
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Product Details

• Series: Springer Finance
• Hardcover: 256 pages
• Publisher: Springer; 2013 edition (September 27, 2012)
• Language: English
• ISBN-10: 3642141994
• ISBN-13: 978-3642141997
• Product Dimensions: 9.2 x 6.1 x 0.8 inches
• Shipping Weight: 1.2 pounds (View shipping rates and policies)
• Average Customer Review: 5.0 out of 5 stars See all reviews(1 customer review)
  

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关键词：Continuous contract Theory models model framework contract increase interest problems

好书一本

好书一本

好书一本

lasgpope 发表于 2015-4-16 18:54
In recent years there has been a significant increase of interest in continuous-time Principal-Agent ...

谢谢分享！

nice nice

目测是好书

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