Springer Finance

Contract Theory in Continuous-Time Models

Authors: Cvitanic, Jakša, Zhang, Jianfeng

  • Surveys recent results in a systematic way
  • Enables derivation of many qualitative economic conclusions
  • Material reviewed by international experts
see more benefits

Buy this book

eBook $59.99
price for USA (gross)
  • ISBN 978-3-642-14200-0
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $79.95
price for USA
  • ISBN 978-3-642-14199-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $79.95
price for USA
  • ISBN 978-3-642-43352-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
About this book

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.

About the authors

Jakša Cvitanić held positions at Columbia University (Statistics), University of Southern California (Mathematics and Economics), and currently at Caltech (Social Sciences). 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. Jianfeng Zhang is currently associate professor at the University of Southern California (Mathematics Department).

Reviews

“The book under review provides a complete treatment of the principal-agent problem that covers all cases treated in economic literature … . 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. … The introduction of this book is accessible to a general audience.” (Olympia Hadjiliadis, Bulletin of the American Mathematical Society, Vol. 52 (3), July, 2015)

“The present book presents a nice exposition of the theory of the stochastic maximum principle, starting with BSDEs, and of its applications to contract theory. … I recommend it to anyone working on or teaching the mathematical aspects of contract theory and/or stochastic control.” (Etienne Pardoux, SIAM Review, Vol. 57 (2), June, 2015)

“This book considers contract theory in continuous time. … This book is a good reference book for researchers and graduate students in economic theory, finance and mathematical economics. Continuous-time contract theory is particularly useful in finance. This book provides a basic methodological framework, which can be used to develop further advances, both in applications and in theory.” (Susheng Wang, Mathematical Reviews, August, 2013)

Table of contents (11 chapters)

  • Principal–Agent Problem

    Cvitanić, Jakša (et al.)

    Pages 3-6

  • Single-Period Examples

    Cvitanić, Jakša (et al.)

    Pages 7-14

  • Linear Models with Project Selection, and Preview of Results

    Cvitanić, Jakša (et al.)

    Pages 17-24

  • The General Risk Sharing Problem

    Cvitanić, Jakša (et al.)

    Pages 25-43

  • Mathematical Theory for General Moral Hazard Problems

    Cvitanić, Jakša (et al.)

    Pages 47-84

Buy this book

eBook $59.99
price for USA (gross)
  • ISBN 978-3-642-14200-0
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $79.95
price for USA
  • ISBN 978-3-642-14199-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $79.95
price for USA
  • ISBN 978-3-642-43352-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
Loading...

Recommended for you

Loading...

Bibliographic Information

Bibliographic Information
Book Title
Contract Theory in Continuous-Time Models
Authors
Series Title
Springer Finance
Copyright
2013
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-14200-0
DOI
10.1007/978-3-642-14200-0
Hardcover ISBN
978-3-642-14199-7
Softcover ISBN
978-3-642-43352-8
Series ISSN
1616-0533
Edition Number
1
Number of Pages
XII, 256
Topics