Contract theory in continuous-time models / Jaksa Cvitanic and Jianfeng Zhang.
Material type:
- 9783642141997
- 332.01519233 23 C993
Item type | Current library | Call number | Status | Date due | Barcode | Item holds | |
---|---|---|---|---|---|---|---|
Books | ISI Library, Kolkata | 332.01519233 C993 (Browse shelf(Opens below)) | Available | 136556 |
Includes bibliographical references and index.
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.
There has been increased interest in continuous-time Principal-Agent models and their applications. This monograph surveys results of the theory using the approach of the so-called Stochastic Maximum Principle, in models driven by Brownian Motion.
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