Contract theory in continuous-time models:
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Berlin [u.a.]
Springer
2013
|
| Series: | Springer finance
|
| Subjects: | |
| Online Access: | Inhaltstext Inhaltsverzeichnis |
| Physical Description: | XII, 255 S. 235 mm x 155 mm |
| ISBN: | 9783642141997 |
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Record in the Search Index
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IMAGE 1
TABLE OF CONTENTS
PART I INTRODUCTION
1 PRINCIPAL-AGENT PROBLEM 3
1.1 PROBLEM FORMULATION 3
1.2 FURTHER READING 6
REFERENCES 6
2 SINGLE-PERIOD EXAMPLES 7
2.1 RISK SHARING 7
2.2 HIDDEN ACTION 8
2.3 HIDDEN TYPE 10
2.4 FURTHER READING 14
REFERENCES 14
PART II FIRST BEST: RISK SHARING U N D E R FULL INFORMATION
3 LINEAR MODELS WITH PROJECT SELECTION, AND PREVIEW O F RESULTS . . . .
17
3.1 LINEAR DYNAMICS AND CONTROL O F VOLATILITY 17
3.1.1 T H E MODEL 17
3.1.2 RISK SHARING, FIRST BEST SOLUTION 18
3.1.3 IMPLEMENTING THE FIRST BEST SOLUTION 2 0
3.1.4 OPTIMAL CONTRACT AS A FUNCTION O F OUTPUT 21
3.1.5 EXAMPLES 2 2
3.2 FURTHER READING 2 4
REFERENCES 2 4
4 THE GENERAL RISK SHARING PROBLEM 2 5
4.1 T H E MODEL AND THE PA PROBLEM 2 5
4.2 NECESSARY CONDITIONS FOR OPTIMALITY 2 6
4.2.1 F B S D E FORMULATION 2 7
4.2.2 ADJOINT PROCESSES 2 8
4.2.3 MAIN RESULT 2 8
I X
HTTP://D-NB.INFO/1003136508
IMAGE 2
X TABIC O F CONTENTS
4.3 SUFFICIENT CONDITIONS FOR OPTIMALITY 30
4.4 OPTIMAL CONTRACTS 31
4.4.1 IMPLEMENTING THE FIRST BEST SOLUTION 31
4.4.2 ON UNIQUENESS O F OPTIMAL CONTRACTS 32
4.5 EXAMPLES 3 4
4.5.1 LINEAR DYNAMICS 34
4.5.2 NONLINEAR VOLATILITY SELECTION WITH EXPONENTIAL UTILITIES . . 35
4.5.3 LINEAR CONTRACTS 37
4.6 DUAL PROBLEM 3 8
4.7 A MORE GENERAL MODEL WITH CONSUMPTION AND RECURSIVE UTILITIES 4 0
4.8 FURTHER READING 43
REFERENCES 43
PART III SECOND BEST: CONTRACTING U N D E R HIDDEN ACTION-THE CASE O F
MORAL HAZARD
5 MATHEMATICAL THEORY FOR GENERAL MORAL HAZARD PROBLEMS 4 7
5.1 THE MODEL AND THE PA PROBLEM 47
5.2 LIPSCHITZ CASE 51
5.2.1 AGENT'S PROBLEM 51
5.2.2 PRINCIPAL'S PROBLEM 5 4
5.2.3 PRINCIPAL'S PROBLEM BASED ON PRINCIPAL'S TARGET ACTIONS . . 57
5.2.4 PRINCIPAL'S PROBLEM BASED ON PRINCIPAL'S TARGET ACTIONS: ANOTHER
FORMULATION 6 0
5.3 QUADRATIC CASE 64
5.3.1 AGENT'S PROBLEM 64
5.3.2 PRINCIPAL'S PROBLEM 67
5.4 SPECIAL CASES 6 9
5.4.1 PARTICIPATION CONSTRAINT AT TIME ZERO 69
5.4.2 SEPARABLE UTILITY AND PARTICIPATION CONSTRAINT AT TIME ZERO 72
5.4.3 INFINITE HORIZON 7 4
5.4.4 HJB APPROACH IN MARKOVIAN CASE 7 6
5.5 A M O R E GENERAL MODEL WITH CONSUMPTION AND RECURSIVE UTILITIES 77
5.6 FURTHER READING 83
REFERENCES 84
6 SPECIAL CASES AND APPLICATIONS 85
6.1 EXPONENTIAL UTILITIES AND LUMP-SUM PAYMENT 85
6.1.1 T H E MODEL 85
6.1.2 NECESSARY CONDITIONS DERIVED FROM THE GENERAL THEORY . . 86 6.1.3
A DIRECT APPROACH 9 0
6.1.4 A SOLVABLE SPECIAL CASE WITH QUADRATIC COST 9 3
6.2 GENERAL RISK PREFERENCES, QUADRATIC COST, AND LUMP-SUM PAYMENT 9 4
6.2.1 T H E MODEL 9 4
IMAGE 3
TABIC O F CONTENTS XI
6.2.2 NECESSARY CONDITIONS DERIVED FROM THE GENERAL THEORY . . 9 4
6.2.3 A DIRECT APPROACH 9 8
6.2.4 EXAMPLE: RISK-NEUTRAL PRINCIPAL AND LOG-UTILITY AGENT . . 100 6.3
RISK-NEUTRAL PRINCIPAL AND INFINITE HORIZON 103
6.3.1 THE MODEL 103
6.3.2 NECESSARY CONDITIONS DERIVED FROM THE GENERAL THEORY . . 103 6.3.3
A DIRECT APPROACH 106
6.3.4 INTERPRETATION AND DISCUSSION 109
6.3.5 FURTHER ECONOMIC CONCLUSIONS AND EXTENSIONS 110
6.4 FURTHER READING 112
REFERENCES 113
7 AN APPLICATION TO CAPITAL STRUCTURE PROBLEMS: OPTIMAL FINANCING O F A
C O M P A N Y 115
7.1 T H E MODEL 115
7.2 AGENT'S PROBLEM 117
7.3 PRINCIPAL'S PROBLEM 121
7.3.1 PRINCIPAL'S PROBLEM UNDER PARTICIPATION CONSTRAINT 121
7.3.2 PROPERTIES O F THE PRINCIPAL'S VALUE FUNCTION 125
7.3.3 OPTIMAL CONTRACT 126
7.4 IMPLEMENTATION USING STANDARD SECURITIES 129
7.5 COMPARATIVE STATICS 130
7.5.1 EXAMPLE: AGENT OWNS THE FIRM 131
7.5.2 COMPUTING PARAMETER SENSITIVITIES 131
7.5.3 SOME COMPARATIVE STATICS 133
7.6 FURTHER READING 134
REFERENCES 134
PART IV THIRD BEST: CONTRACTING U N D E R HIDDEN ACTION A N D H I D D E
N TYPE-THE CASE O F MORAL HAZARD AND ADVERSE SELECTION
8 ADVERSE SELECTION 1 37
8.1 THE MODEL AND THE PA PROBLEM 137
8.1.1 CONSTRAINTS FACED BY THE PRINCIPAL 138
8.2 QUADRATIC COST AND LUMP-SUM PAYMENT 138
8.2.1 TECHNICAL ASSUMPTIONS 139
8.2.2 SOLUTION TO THE AGENT'S PROBLEM 140
8.2.3 PRINCIPAL'S RELAXED PROBLEM 143
8.2.4 PROPERTIES O F THE CANDIDATE OPTIMAL CONTRACT 144
8.3 RISK-NEUTRAL AGENT AND PRINCIPAL 145
8.4 CONTROLLING VOLATILITY 149
8.4.1 THE MODEL 149
8.4.2 MAIN RESULT: SOLVING THE RELAXED PROBLEM 150
8.4.3 COMPARISON WITH THE FIRST BEST 152
8.5 FURTHER READING 153
REFERENCES 153
IMAGE 4
XLL
TABLE O F CONTENTS
PART V BACKWARD S D E S AND FORWARD-BACKWARD S D E S
9 BACKWARD S D E S 157
9.1 INTRODUCTION 157
9.1.1 EXAMPLE: OPTION PRICING AND HEDGING 158
9.2 LINEAR BACKWARD S D E S 159
9.3 WELL-POSEDNESS O F B S D E S 160
9.4 COMPARISON THEOREM AND STABILITY PROPERTIES O F B S D E S 165
9.5 MARKOVIAN B S D E S AND P D E S 170
9.5.1 NUMERICAL METHODS 172
9.6 B S D E S WITH QUADRATIC GROWTH 173
9.7 FURTHER READING 181
REFERENCES 181
10 STOCHASTIC M A X I M U M PRINCIPLE 183
10.1 STOCHASTIC CONTROL O F B S D E S 183
10.2 STOCHASTIC CONTROL O F F B S D E S 188
10.3 STOCHASTIC CONTROL O F HIGH-DIMENSIONAL BSDES 195
10.4 STOCHASTIC OPTIMIZATION IN WEAK FORMULATION 2 0 3
10.4.1 WEAK FORMULATION VERSUS STRONG FORMULATION 2 0 3
10.4.2 SUFFICIENT CONDITIONS IN WEAK FORMULATION 2 0 5
10.4.3 NECESSARY CONDITIONS IN WEAK FORMULATION 211
10.4.4 STOCHASTIC OPTIMIZATION FOR HIGH-DIMENSIONAL BSDES . . . 215
10.4.5 STOCHASTIC OPTIMIZATION FOR F B S D E S 218
10.5 S O M E TECHNICAL PROOFS 221
10.5.1 HEURISTIC DERIVATION O F THE RESULTS O F SECT. 4.7 221
10.5.2 HEURISTIC DERIVATION O F THE RESULTS O F SECT. 5.5 2 2 2
10.5.3 SKETCH O F PROOF FOR THEOREM 5.2.12 224
10.6 FURTHER READING 2 2 6
REFERENCES 2 2 7
11 FORWARD-BACKWARD S D E S 2 2 9
11.1 F B S D E DEFINITION 2 2 9
11.2 FIXED POINT APPROACH 2 3 0
11.3 FOUR-STEP S C H E M E - T H E DECOUPLING APPROACH 2 3 6
11.4 METHOD O F CONTINUATION 2 4 3
11.5 FURTHER READING 247
REFERENCES 248
REFERENCES 2 4 9
INDEX 2 5 3 |
| any_adam_object | 1 |
| author | Cvitanić, Jakša 1962- Jianfeng Zhang |
| author_GND | (DE-588)124044662 (DE-588)1026790034 |
| author_facet | Cvitanić, Jakša 1962- Jianfeng Zhang |
| author_role | aut aut |
| author_sort | Cvitanić, Jakša 1962- |
| author_variant | j c jc j z jz |
| building | Verbundindex |
| bvnumber | BV036668308 |
| classification_rvk | QC 135 SK 980 |
| ctrlnum | (OCoLC)812053726 (DE-599)DNB1003136508 |
| dewey-full | 332.01519233 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.01519233 |
| dewey-search | 332.01519233 |
| dewey-sort | 3332.01519233 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| indexdate | 2024-07-20T10:46:24Z |
| institution | BVB |
| isbn | 9783642141997 |
| language | English |
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| physical | XII, 255 S. 235 mm x 155 mm |
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| spelling | Cvitanić, Jakša 1962- Verfasser (DE-588)124044662 aut Contract theory in continuous-time models Jakša Cvitanić ; Jianfeng Zhang Berlin [u.a.] Springer 2013 XII, 255 S. 235 mm x 155 mm txt rdacontent n rdamedia nc rdacarrier Springer finance Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Kontrakttheorie (DE-588)4128260-7 gnd rswk-swf Stochastische Kontrolltheorie (DE-588)4263657-7 gnd rswk-swf Agency-Theorie (DE-588)4126353-4 gnd rswk-swf Kontrakttheorie (DE-588)4128260-7 s Agency-Theorie (DE-588)4126353-4 s Stochastische Kontrolltheorie (DE-588)4263657-7 s Finanzmathematik (DE-588)4017195-4 s DE-604 Jianfeng Zhang Verfasser (DE-588)1026790034 aut X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=3487303&prov=M&dok_var=1&dok_ext=htm Inhaltstext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020587460&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Cvitanić, Jakša 1962- Jianfeng Zhang Contract theory in continuous-time models Finanzmathematik (DE-588)4017195-4 gnd Kontrakttheorie (DE-588)4128260-7 gnd Stochastische Kontrolltheorie (DE-588)4263657-7 gnd Agency-Theorie (DE-588)4126353-4 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4128260-7 (DE-588)4263657-7 (DE-588)4126353-4 |
| title | Contract theory in continuous-time models |
| title_auth | Contract theory in continuous-time models |
| title_exact_search | Contract theory in continuous-time models |
| title_full | Contract theory in continuous-time models Jakša Cvitanić ; Jianfeng Zhang |
| title_fullStr | Contract theory in continuous-time models Jakša Cvitanić ; Jianfeng Zhang |
| title_full_unstemmed | Contract theory in continuous-time models Jakša Cvitanić ; Jianfeng Zhang |
| title_short | Contract theory in continuous-time models |
| title_sort | contract theory in continuous time models |
| topic | Finanzmathematik (DE-588)4017195-4 gnd Kontrakttheorie (DE-588)4128260-7 gnd Stochastische Kontrolltheorie (DE-588)4263657-7 gnd Agency-Theorie (DE-588)4126353-4 gnd |
| topic_facet | Finanzmathematik Kontrakttheorie Stochastische Kontrolltheorie Agency-Theorie |
| url | http://deposit.dnb.de/cgi-bin/dokserv?id=3487303&prov=M&dok_var=1&dok_ext=htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020587460&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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