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Contract Theory in Continuous-Time Models
Hardcover
Series: Springer Finance, Book 0
Investing & FinanceGeneral Mathematics
ISBN13: 9783642141997
Publisher: Springer Nature
Published: Sep 26 2012
Pages: 256
Weight: 1.10
Height: 0.80 Width: 6.10 Depth: 9.20
Language: English
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.
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