000			03399nam a22004935i 4500
001			978-3-642-14200-0
003			DE-He213
005			20140220082843.0
007			cr nn 008mamaa
008			120925s2013 gw | s |||| 0|eng d
020			_a9783642142000 _9978-3-642-14200-0
024	7		_a10.1007/978-3-642-14200-0 _2doi
050		4	_aHB135-147
072		7	_aKF _2bicssc
072		7	_aMAT003000 _2bisacsh
072		7	_aBUS027000 _2bisacsh
082	0	4	_a519 _223
100	1		_aCvitanić, Jakša. _eauthor.
245	1	0	_aContract Theory in Continuous-Time Models _h[electronic resource] / _cby Jakša Cvitanić, Jianfeng Zhang.
264		1	_aBerlin, Heidelberg : _bSpringer Berlin Heidelberg : _bImprint: Springer, _c2013.
300			_aXII, 255 p. _bonline resource.
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
347			_atext file _bPDF _2rda
490	1		_aSpringer Finance, _x1616-0533
505	0		_aPreface -- PART I Introduction: 1.The Principal-Agent Problem -- 2.Single-Period Examples -- PART II First Best. Risk Sharing under Full Information: 3.Linear Models with Project Selection, and Preview of Results -- 4.The General Risk Sharing Problem -- PART III Second Best. Contracting Under Hidden Action- The Case of Moral Hazard: 5.The General Moral Hazard Problem -- 6.DeMarzo and Sannikov (2007), Biais et al (2007) – An Application to Capital Structure Problems: Optimal Financing of a Company -- PART IV Third Best. Contracting Under Hidden Action and Hidden Type – The Case of Moral Hazard and Adverse Selection: 7.Controlling the Drift -- 8.Controlling the Volatility-Drift Trade-Off with the First-Best -- PART IV Appendix: Backward SDEs and Forward-Backward SDEs -- 9.Introduction -- 10.Backward SDEs -- 11.Decoupled Forward Backward SDEs -- 12.Coupled Forward Backward SDEs -- References -- Index.
520			_aIn 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.
650		0	_aMathematics.
650		0	_aFinance.
650		0	_aSystems theory.
650	1	4	_aMathematics.
650	2	4	_aQuantitative Finance.
650	2	4	_aGame Theory, Economics, Social and Behav. Sciences.
650	2	4	_aSystems Theory, Control.
700	1		_aZhang, Jianfeng. _eauthor.
710	2		_aSpringerLink (Online service)
773	0		_tSpringer eBooks
776	0	8	_iPrinted edition: _z9783642141997
830		0	_aSpringer Finance, _x1616-0533
856	4	0	_uhttp://dx.doi.org/10.1007/978-3-642-14200-0
912			_aZDB-2-SMA
999			_c96734 _d96734