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Contract theory in continuous-time models / Jaksa Cvitanic and Jianfeng Zhang.

By: Contributor(s): Material type: TextTextSeries: Springer financePublication details: Berlin : Springer-Verlag, 2013.Description: xii, 255 p. ; 24 cmISBN:
  • 9783642141997
Subject(s): DDC classification:
  • 332.01519233 23 C993
Contents:
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.
Summary: 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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Holdings
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
Total holds: 0

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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