Contract Theory in Continuous-Time Models (Springer Finance)


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Contract Theory in Continuous-Time Models

Harry Potter. Popular Features. New Releases. Description In recent years there has been a significant increase of interest in continuous-time Principal-Agent models, or contract theory, and their applications. 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.

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Add to basket. Risk and Asset Allocation Attilio Meucci. It seems that you're in Germany. We have a dedicated site for Germany. In recent years there has been a significant increase of interest in continuous-time Principal-Agent models, or contract theory, and their applications.

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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.

Stochastic Calculus for Finance II Continuous Time Models Springer Finance

He has served on the editorial boards of journals in the areas of Financial Mathematics, Applied Probability and Optimization, as well as on the Council of the Bachelier Finance Society. It is the first of its kind in that it provides a fully developed mathematical framework addressing the principal-agent problem with complete proofs and explanations of all mathematical tools used therein.

Contract Theory in Continuous-Time Models (Springer Finance) Contract Theory in Continuous-Time Models (Springer Finance)
Contract Theory in Continuous-Time Models (Springer Finance) Contract Theory in Continuous-Time Models (Springer Finance)
Contract Theory in Continuous-Time Models (Springer Finance) Contract Theory in Continuous-Time Models (Springer Finance)
Contract Theory in Continuous-Time Models (Springer Finance) Contract Theory in Continuous-Time Models (Springer Finance)
Contract Theory in Continuous-Time Models (Springer Finance) Contract Theory in Continuous-Time Models (Springer Finance)

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