Contract Theory In Continuous Time Models
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Contract Theory In Continuous Time Models
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Author : Jakša Cvitanic
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-09-24
Contract Theory In Continuous Time Models written by Jakša Cvitanic and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-09-24 with Mathematics categories.
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
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Author : Jakša Cvitanic
language : en
Publisher: Springer
Release Date : 2012-09-27
Contract Theory In Continuous Time Models written by Jakša Cvitanic and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-09-27 with Mathematics categories.
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
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Author : Jaeyoung Sung
language : en
Publisher: Springer Nature
Release Date : 2024-01-10
Contract Theory Discrete And Continuous Time Models written by Jaeyoung Sung and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-01-10 with Business & Economics categories.
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
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Author : Jakša Cvitanic
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-09-26
Contract Theory In Continuous Time Models written by Jakša Cvitanic and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-09-26 with Mathematics categories.
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.
Arbitrage Theory In Continuous Time
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Author : Tomas Björk
language : en
Publisher: OUP Oxford
Release Date : 2009-08-06
Arbitrage Theory In Continuous Time written by Tomas Björk and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-08-06 with Business & Economics categories.
The third edition of this popular introduction to the classical underpinnings of the mathematics behind finance continues to combine sound mathematical principles with economic applications. Concentrating on the probabilistic theory of continuous arbitrage pricing of financial derivatives, including stochastic optimal control theory and Merton's fund separation theory, the book is designed for graduate students and combines necessary mathematical background with a solid economic focus. It includes a solved example for every new technique presented, contains numerous exercises, and suggests further reading in each chapter. In this substantially extended new edition Bjork has added separate and complete chapters on the martingale approach to optimal investment problems, optimal stopping theory with applications to American options, and positive interest models and their connection to potential theory and stochastic discount factors. More advanced areas of study are clearly marked to help students and teachers use the book as it suits their needs.
Arbitrage Theory In Continuous Time
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Author : Tomas Björk
language : en
Publisher: Oxford University Press
Release Date : 2019-12-05
Arbitrage Theory In Continuous Time written by Tomas Björk and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-12-05 with Business & Economics categories.
The fourth edition of this widely used textbook on pricing and hedging of financial derivatives now also includes dynamic equilibrium theory and continues to combine sound mathematical principles with economic applications. Concentrating on the probabilistic theory of continuous time arbitrage pricing of financial derivatives, including stochastic optimal control theory and optimal stopping theory, Arbitrage Theory in Continuous Time is designed for graduate students in economics and mathematics, and combines the necessary mathematical background with a solid economic focus. It includes a solved example for every new technique presented, contains numerous exercises, and suggests further reading in each chapter. All concepts and ideas are discussed, not only from a mathematics point of view, but with lots of intuitive economic arguments. In the substantially extended fourth edition Tomas Björk has added completely new chapters on incomplete markets, treating such topics as the Esscher transform, the minimal martingale measure, f-divergences, optimal investment theory for incomplete markets, and good deal bounds. This edition includes an entirely new section presenting dynamic equilibrium theory, covering unit net supply endowments models and the Cox-Ingersoll-Ross equilibrium factor model. Providing two full treatments of arbitrage theory-the classical delta hedging approach and the modern martingale approach-this book is written so that these approaches can be studied independently of each other, thus providing the less mathematically-oriented reader with a self-contained introduction to arbitrage theory and equilibrium theory, while at the same time allowing the more advanced student to see the full theory in action. This textbook is a natural choice for graduate students and advanced undergraduates studying finance and an invaluable introduction to mathematical finance for mathematicians and professionals in the market.
Continuous Time Models In Corporate Finance Banking And Insurance
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Author : Santiago Moreno-Bromberg
language : en
Publisher: Princeton University Press
Release Date : 2018-01-08
Continuous Time Models In Corporate Finance Banking And Insurance written by Santiago Moreno-Bromberg and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-01-08 with Business & Economics categories.
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.
Advances In Economics And Econometrics Volume 1 Economic Theory
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Author : Daron Acemoglu
language : en
Publisher: Cambridge University Press
Release Date : 2013-05-13
Advances In Economics And Econometrics Volume 1 Economic Theory written by Daron Acemoglu and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-13 with Business & Economics categories.
This is the first of three volumes containing edited versions of papers and commentaries presented at invited symposium sessions of the Tenth World Congress of the Econometric Society, held in Shanghai in August 2010. The papers summarize and interpret key developments in economics and econometrics and they discuss future directions for a wide variety of topics, covering both theory and application. Written by the leading specialists in their fields, these volumes provide a unique, accessible survey of progress on the discipline. The first volume primarily addresses economic theory, with specific focuses on nonstandard markets, contracts, decision theory, communication and organizations, epistemics and calibration, and patents.
Advances In Economics And Econometrics
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Author : Econometric Society. World Congress
language : en
Publisher: Cambridge University Press
Release Date : 2013-05-27
Advances In Economics And Econometrics written by Econometric Society. World Congress and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-27 with Business & Economics categories.
The first volume of edited papers from the Tenth World Congress of the Econometric Society 2010.
Optimal Enterprise
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Author : Mikhail V. Belov
language : en
Publisher: CRC Press
Release Date : 2021-07-28
Optimal Enterprise written by Mikhail V. Belov and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-07-28 with Computers categories.
In the modern world, most gross product is created within Enterprise firms, project programs, state agencies, transnational corporations and their divisions, as well as various associations and compositions of the above entities. Enterprises, being, on the one hand, complex, and, on the other hand, widespread systems, are the subject matter of cybernetics, system theory, operations research, management sciences and many other fields of knowledge. However, the complexity of the system obstructs the development of mathematically rigorous foundations for Enterprise control. Moreover, methods of operations research and related sciences, which are widely used in practice, provide optimization of the constituents of an Enterprise, without modeling it as a whole system. But the optimization of parts does not lead to the optimality of the whole, and, also, the absence of top-down and holistic mathematical models of Enterprise contradicts the principle of holism and the system approach. The approach in this book looks first at Enterprise Systems and their essential aspects as complex sociotechnical systems composed of integrated sets of structural and process models (Chapters 1 and 2). A uniform description of all the heterogeneous fields of the modern Enterprise (marketing, sales, manufacturing, HR, finance, etc.) is then made, and the Enterprise Control Problem is posed as a top-down and holistic mathematical optimization problem (Chapter 3). Original models and methods of contract theory (Chapter 4), technology management (Chapter 5), human behavior and human capital (Chapter 6) and complex activity and resource planning (Chapter 7) are developed to solve the problem. Structural processes and mathematical models constitute an Optimal Enterprise Control Framework (Chapter 8) that provides a practical solution to the Enterprise Control Problem. This book is a resource for postgraduate and doctoral students, postdoctoral researchers and professors with research interests in the following fields of science: Fundamental Complex Systems study, Complex Systems Engineering, Enterprise Systems Engineering Applications of Operations Research, Optimization, Probability and Stochastic processes to Management Science, Economics and Business Theory of the Firm Business and Management – general, strategy/leadership, organization management, operations management and management information systems Theory of Business Processes, Business Processes Improvement and Reengineering