Contract Theory in Continuous-Time Models (Springer Finance)

Cvitanic, Jakša/ Zhang, Jianfeng

Springer-Verlag Berlin and Heidelberg GmbH & Co. K（2014/10発売）

• 製本 Paperback:紙装版/ペーパーバック版／ページ数 256 p.
• 商品コード 9783642433528

Full Description

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.