Contract Theory in Continuous-Time Models - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Contract Theory in Continuous-Time Models write by Jakša Cvitanic. This book was released on 2012-09-24. Contract Theory in Continuous-Time Models available in PDF, EPUB and Kindle. 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.
Contract Theory in Continuous-Time Models
Contract Theory in Continuous-Time Models - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Contract Theory in Continuous-Time Models write by Jakša Cvitanic. This book was released on 2012-09-26. Contract Theory in Continuous-Time Models available in PDF, EPUB and Kindle. 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.
Contract Theory: Discrete- and Continuous-Time Models
Contract Theory: Discrete- and Continuous-Time Models - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Contract Theory: Discrete- and Continuous-Time Models write by Jaeyoung Sung. This book was released on 2024-01-10. Contract Theory: Discrete- and Continuous-Time Models available in PDF, EPUB and Kindle. This book provides a self-contained introduction to discrete-time and continuous-time models in contracting theory to advanced undergraduate and graduate students in economics and finance and researchers focusing on closed-form solutions and their economic implications. Discrete-time models are introduced to highlight important elements in both economics and mathematics of contracting problems and to serve as a bridge for continuous-time models and their applications. The book serves as a bridge between the currently two almost separate strands of textbooks on discrete- and continuous-time contracting models This book is written in a manner that makes complex mathematical concepts more accessible to economists. However, it would also be an invaluable tool for applied mathematicians who are looking to learn about possible economic applications of various control methods.
Contract Theory in Continuous-Time Models
Contract Theory in Continuous-Time Models - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Contract Theory in Continuous-Time Models write by Jakša Cvitanic. This book was released on 2012-09-27. Contract Theory in Continuous-Time Models available in PDF, EPUB and Kindle. 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.
Continuous-Time Models in Corporate Finance, Banking, and Insurance
Continuous-Time Models in Corporate Finance, Banking, and Insurance - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Continuous-Time Models in Corporate Finance, Banking, and Insurance write by Santiago Moreno-Bromberg. This book was released on 2018-01-08. Continuous-Time Models in Corporate Finance, Banking, and Insurance available in PDF, EPUB and Kindle. Continuous-Time Models in Corporate Finance synthesizes four decades of research to show how stochastic calculus can be used in corporate finance. Combining mathematical rigor with economic intuition, Santiago Moreno-Bromberg and Jean-Charles Rochet analyze corporate decisions such as dividend distribution, the issuance of securities, and capital structure and default. They pay particular attention to financial intermediaries, including banks and insurance companies. The authors begin by recalling the ways that option-pricing techniques can be employed for the pricing of corporate debt and equity. They then present the dynamic model of the trade-off between taxes and bankruptcy costs and derive implications for optimal capital structure. The core chapter introduces the workhorse liquidity-management model—where liquidity and risk management decisions are made in order to minimize the costs of external finance. This model is used to study corporate finance decisions and specific features of banks and insurance companies. The book concludes by presenting the dynamic agency model, where financial frictions stem from the lack of interest alignment between a firm's manager and its financiers. The appendix contains an overview of the main mathematical tools used throughout the book. Requiring some familiarity with stochastic calculus methods, Continuous-Time Models in Corporate Finance will be useful for students, researchers, and professionals who want to develop dynamic models of firms' financial decisions.
