Contract Theory in Continuous-Time Models (eBook)

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).

Preface.- PART 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.