000			01970cam a2200265 a 4500
001			136556
003			ISI Library, Kolkata
005			20160215114042.0
008			120810s2013 gw b 001 0 eng d
020			_a9783642141997
040			_aISI Library _beng
082	0	4	_a332.01519233 _223 _bC993
100	1		_aCvitanic, Jaksa.
245	1	0	_aContract theory in continuous-time models / _cJaksa Cvitanic and Jianfeng Zhang.
260			_aBerlin : _bSpringer-Verlag, _c2013.
300			_axii, 255 p. ; _c24 cm.
490	0		_aSpringer finance
504			_aIncludes bibliographical references and index.
505	0		_aPART I Introduction: 1.The Principal-Agent Problem.- 2.Single-Period Examples.- PART II First Best. Risk Sharing under Full Information: 3.Linear Models with Project Selection, and Preview of Results.- 4.The General Risk Sharing Problem.- PART III Second Best. Contracting Under Hidden Action- The Case of Moral Hazard: 5.The General Moral Hazard Problem.- 6.DeMarzo and Sannikov (2007), Biais et al (2007) - An Application to Capital Structure Problems: Optimal Financing of a Company.- PART IV Third Best. Contracting Under Hidden Action and Hidden Type - The Case of Moral Hazard and Adverse Selection: 7.Controlling the Drift.- 8.Controlling the Volatility-Drift Trade-Off with the First-Best.- PART IV Appendix: Backward SDEs and Forward-Backward SDEs.- 9.Introduction.- 10.Backward SDEs.- 11.Decoupled Forward Backward SDEs.- 12.Coupled Forward Backward SDEs.- References.- Index.
520			_aThere has been increased interest in continuous-time Principal-Agent models and their applications. This monograph surveys results of the theory using the approach of the so-called Stochastic Maximum Principle, in models driven by Brownian Motion.
650		0	_aFinance _xMathematical models.
650		0	_aStochastic control theory.
700	1		_aZhang, Jianfeng, _eauthor
942			_2ddc _cBK
999			_c420006 _d420006