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010   $a1-283-64047-3
010   $a3-642-14200-1
024 7 $a10.1007/978-3-642-14200-0
035   $a(CKB)3400000000086162
035   $a(EBL)1030589
035   $a(OCoLC)812017697
035   $a(SSID)ssj0000766972
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035   $a(PQKBTitleCode)TC0000766972
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035   $a(DE-He213)978-3-642-14200-0
035   $a(MiAaPQ)EBC1030589
035   $a(PPN)16830824X
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100   $a20120810d2013      uy         0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 10$aContract theory in continuous-time models /$fJaksa Cvitanic, Jianfeng Zhang
205   $a1st ed. 2013.
210   $aNew York $cSpringer$d2013
215   $a1 online resource (257 p.)
225  0$aSpringer finance
300   $aDescription based upon print version of record.
311 08$a3-642-43352-9 
311 08$a3-642-14199-4 
320   $aIncludes bibliographical references and index.
327   $apt. 1. Introduction -- pt. 2. First best : risk sharing under full information -- pt. 3. Second best : contracting under hidden action-the case of moral hazard -- pt. 4. Third best : contracting under hidden action and hidden type-the case of moral hazard and adverse selection -- pt. 5. Backward SDEs and forward-backward SDEs.
330   $aIn recent years there has been a significant increase of interest in continuous-time Principal-Agent models, or contract theory, and their applications. Continuous-time models provide a powerful and elegant framework for solving stochastic optimization problems of finding the optimal contracts between two parties, under various assumptions on the information they have access to, and the effect they have on the underlying "profit/loss" values. This monograph surveys recent results of the theory in a systematic way, using the approach of the so-called Stochastic Maximum Principle, in models driven by Brownian Motion. Optimal contracts are characterized via a system of Forward-Backward Stochastic Differential Equations. In a number of interesting special cases these can be solved explicitly, enabling derivation of many qualitative economic conclusions.
410  0$aSpringer Finance,$x2195-0687
606   $aContracts$xMathematical models
606   $aContracts$xPhilosophy
606   $aContracts$xMethodology
615  0$aContracts$xMathematical models.
615  0$aContracts$xPhilosophy.
615  0$aContracts$xMethodology.
676   $a332.01519233
700   $aCvitanic$b Jaksa$0285404
701   $aZhang$b Jianfeng$0767387
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910438142803321
996   $aContract theory in continuous-time models$94194644
997   $aUNINA