Contract Theory in Continuous-Time Models:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin [u.a.]
Springer
2013
|
| Schriftenreihe: | Springer finance
|
| Schlagworte: | |
| Online-Zugang: | BTU01 GEM01 TUM01 UBA01 UBM01 UBT01 UBW01 UPA01 Volltext Inhaltsverzeichnis Abstract |
| Beschreibung: | 1 Online-Ressource (XII, 255 S.) |
| ISBN: | 9783642141997 9783642142000 |
| DOI: | 10.1007/978-3-642-14200-0 |
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Datensatz im Suchindex
| _version_ | 1804149680273096704 |
|---|---|
| adam_text | CONTRACT THEORY IN CONTINUOUS-TIME MODELS
/ CVITANIC, JAKSA
: 2013
TABLE OF CONTENTS / INHALTSVERZEICHNIS
PREFACE
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
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
CONTRACT THEORY IN CONTINUOUS-TIME MODELS
/ CVITANIC, JAKSA
: 2013
ABSTRACT / INHALTSTEXT
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
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
|
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| author | Cvitanić, Jakša 1962- Jianfeng Zhang |
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| author_role | aut aut |
| author_sort | Cvitanić, Jakša 1962- |
| author_variant | j c jc j z jz |
| building | Verbundindex |
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| 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 |
| doi_str_mv | 10.1007/978-3-642-14200-0 |
| format | Electronic eBook |
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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 1 Online-Ressource (XII, 255 S.) txt rdacontent c rdamedia cr rdacarrier Springer finance Stochastische Kontrolltheorie (DE-588)4263657-7 gnd rswk-swf Agency-Theorie (DE-588)4126353-4 gnd rswk-swf Kontrakttheorie (DE-588)4128260-7 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 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 1\p DE-604 Jianfeng Zhang Verfasser (DE-588)1026790034 aut https://doi.org/10.1007/978-3-642-14200-0 Verlag Volltext Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025421457&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025421457&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Abstract 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Cvitanić, Jakša 1962- Jianfeng Zhang Contract Theory in Continuous-Time Models Stochastische Kontrolltheorie (DE-588)4263657-7 gnd Agency-Theorie (DE-588)4126353-4 gnd Kontrakttheorie (DE-588)4128260-7 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4263657-7 (DE-588)4126353-4 (DE-588)4128260-7 (DE-588)4017195-4 |
| 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 | Stochastische Kontrolltheorie (DE-588)4263657-7 gnd Agency-Theorie (DE-588)4126353-4 gnd Kontrakttheorie (DE-588)4128260-7 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Stochastische Kontrolltheorie Agency-Theorie Kontrakttheorie Finanzmathematik |
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