Contract Theory Discrete And Continuous Time Models

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Contract Theory: Discrete- and Continuous-Time Models

Jaeyoung Sung
Contract Theory Discrete and Continuous Time Models Book PDF

Author : Jaeyoung Sung
Publisher : Springer Nature
Page : 348 pages
File Size : 47,6 Mb
Release : 2024-01-10
Category : Business & Economics
ISBN : 9789819954872

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Contract Theory: Discrete- and Continuous-Time Models by Jaeyoung Sung Pdf

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

Jakša Cvitanic,Jianfeng Zhang
Contract Theory in Continuous Time Models Book PDF

Author : Jakša Cvitanic,Jianfeng Zhang
Publisher : Springer Science & Business Media
Page : 258 pages
File Size : 47,7 Mb
Release : 2012-09-26
Category : Mathematics
ISBN : 9783642141997

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Contract Theory in Continuous-Time Models by Jakša Cvitanic,Jianfeng Zhang Pdf

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

Jakša Cvitanic,Jianfeng Zhang
Contract Theory in Continuous Time Models Book PDF

Author : Jakša Cvitanic,Jianfeng Zhang
Publisher : Springer Science & Business Media
Page : 258 pages
File Size : 48,6 Mb
Release : 2012-09-24
Category : Mathematics
ISBN : 9783642142000

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Contract Theory in Continuous-Time Models by Jakša Cvitanic,Jianfeng Zhang Pdf

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.

Continuous-Time Models in Corporate Finance, Banking, and Insurance

Santiago Moreno-Bromberg,Jean-Charles Rochet
Continuous Time Models in Corporate Finance Banking and Insurance Book PDF

Author : Santiago Moreno-Bromberg,Jean-Charles Rochet
Publisher : Princeton University Press
Page : 223 pages
File Size : 55,6 Mb
Release : 2018-01-08
Category : Business & Economics
ISBN : 9780691176529

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Continuous-Time Models in Corporate Finance, Banking, and Insurance by Santiago Moreno-Bromberg,Jean-Charles Rochet Pdf

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.

Contract Theory in Continuous-Time Models

Jakša Cvitanic,Jianfeng Zhang
Contract Theory in Continuous Time Models Book PDF

Author : Jakša Cvitanic,Jianfeng Zhang
Publisher : Springer
Page : 256 pages
File Size : 54,7 Mb
Release : 2012-09-27
Category : Mathematics
ISBN : 364214201X

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Contract Theory in Continuous-Time Models by Jakša Cvitanic,Jianfeng Zhang Pdf

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.

The New Palgrave Dictionary of Economics

Anonim
The New Palgrave Dictionary of Economics Book PDF

Author : Anonim
Publisher : Springer
Page : 7493 pages
File Size : 55,6 Mb
Release : 2016-05-18
Category : Law
ISBN : 9781349588022

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The New Palgrave Dictionary of Economics by Anonim Pdf

The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.

Advances in Economics and Econometrics: Volume 1, Economic Theory

Daron Acemoglu,Manuel Arellano,Eddie Dekel
Advances in Economics and Econometrics Volume 1 Economic Theory Book PDF

Author : Daron Acemoglu,Manuel Arellano,Eddie Dekel
Publisher : Cambridge University Press
Page : 507 pages
File Size : 45,8 Mb
Release : 2013-05-13
Category : Business & Economics
ISBN : 9781107717800

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Advances in Economics and Econometrics: Volume 1, Economic Theory by Daron Acemoglu,Manuel Arellano,Eddie Dekel Pdf

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.

Prospect Theory

Fouad Sabry
Prospect Theory Book PDF

Author : Fouad Sabry
Publisher : One Billion Knowledgeable
Page : 280 pages
File Size : 49,7 Mb
Release : 2024-01-30
Category : Business & Economics
ISBN : PKEY:6610000516612

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Prospect Theory by Fouad Sabry Pdf

What is Prospect Theory Prospect theory is a theory of behavioral economics, judgment, and decision making that was established by Daniel Kahneman and Amos Tversky in 1979. Prospect theory was named after the aforementioned scholars. The theory was taken into consideration when Kahneman was selected to receive the Nobel Memorial Prize in Economics in the year 2002. How you will benefit (I) Insights, and validations about the following topics: Chapter 1: Prospect theory Chapter 2: Behavioral economics Chapter 3: Risk aversion Chapter 4: Decision theory Chapter 5: Loss aversion Chapter 6: Expected utility hypothesis Chapter 7: Mental accounting Chapter 8: Allais paradox Chapter 9: Stochastic dominance Chapter 10: Cumulative prospect theory Chapter 11: Merton's portfolio problem Chapter 12: Rank-dependent expected utility Chapter 13: Lévy-Prokhorov metric Chapter 14: Choquet integral Chapter 15: Von Neumann-Morgenstern utility theorem Chapter 16: Certainty effect Chapter 17: End-of-the-day betting effect Chapter 18: Mean-field game theory Chapter 19: Risk aversion (psychology) Chapter 20: Priority heuristic Chapter 21: Uncertainty effect (II) Answering the public top questions about prospect theory. (III) Real world examples for the usage of prospect theory in many fields. Who this book is for Professionals, undergraduate and graduate students, enthusiasts, hobbyists, and those who want to go beyond basic knowledge or information for any kind of Prospect Theory.

Mean Field Games

François Delarue
Mean Field Games Book PDF

Author : François Delarue
Publisher : American Mathematical Society
Page : 284 pages
File Size : 50,5 Mb
Release : 2021-12-14
Category : Mathematics
ISBN : 9781470455866

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Mean Field Games by François Delarue Pdf

This volume is based on lectures delivered at the 2020 AMS Short Course “Mean Field Games: Agent Based Models to Nash Equilibria,” held January 13–14, 2020, in Denver, Colorado. Mean field game theory offers a robust methodology for studying large systems of interacting rational agents. It has been extraordinarily successful and has continued to develop since its inception. The six chapters that make up this volume provide an overview of the subject, from the foundations of the theory to applications in economics and finance, including computational aspects. The reader will find a pedagogical introduction to the main ingredients, from the forward-backward mean field game system to the master equation. Also included are two detailed chapters on the connection between finite games and mean field games, with a pedestrian description of the different methods available to solve the convergence problem. The volume concludes with two contributions on applications of mean field games and on existing numerical methods, with an opening to machine learning techniques.

Complex Systems Design & Management

Marc Aiguier,Frédéric Boulanger,Daniel Krob,Clotilde Marchal
Complex Systems Design Management Book PDF

Author : Marc Aiguier,Frédéric Boulanger,Daniel Krob,Clotilde Marchal
Publisher : Springer Science & Business Media
Page : 360 pages
File Size : 49,9 Mb
Release : 2013-10-04
Category : Technology & Engineering
ISBN : 9783319028125

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Complex Systems Design & Management by Marc Aiguier,Frédéric Boulanger,Daniel Krob,Clotilde Marchal Pdf

This book contains all refereed papers that were accepted to the fourth edition of the « Complex Systems Design & Management » (CSD&M 2013) international conference which took place in Paris (France) from December 4-6, 2013. These proceedings cover the most recent trends in the emerging field of complex systems sciences & practices from an industrial and academic perspective, including the main industrial domains (transport, defense & security, electronics, energy & environment, e-services), scientific & technical topics (systems fundamentals, systems architecture & engineering, systems metrics & quality, systemic tools) and system types (transportation systems, embedded systems, software & information systems, systems of systems, artificial ecosystems). The CSD&M 2013 conference is organized under the guidance of the CESAMES non-profit organization.

Formal Methods for Industrial Critical Systems

Jan Friso Groote,Marieke Huisman
Formal Methods for Industrial Critical Systems Book PDF

Author : Jan Friso Groote,Marieke Huisman
Publisher : Springer Nature
Page : 246 pages
File Size : 44,7 Mb
Release : 2022-09-05
Category : Computers
ISBN : 9783031150081

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Formal Methods for Industrial Critical Systems by Jan Friso Groote,Marieke Huisman Pdf

This book constitutes the proceedings of the 27th International Conference on Formal Methods for Industrial Critical Systems, FMICS 2022, which took place in Warsaw, Poland, in September 2022. The 13 full papers included in this book were carefully reviewed and selected from 22 submissions. They were organized in topical sections as follows: Certification; industrial use cases; testing and monitoring; and methodology.

The Handbook of Brain Theory and Neural Networks

Michael A. Arbib
The Handbook of Brain Theory and Neural Networks Book PDF

Author : Michael A. Arbib
Publisher : MIT Press
Page : 1328 pages
File Size : 51,7 Mb
Release : 2003
Category : Neural circuitry
ISBN : 9780262011976

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The Handbook of Brain Theory and Neural Networks by Michael A. Arbib Pdf

This second edition presents the enormous progress made in recent years in the many subfields related to the two great questions : how does the brain work? and, How can we build intelligent machines? This second edition greatly increases the coverage of models of fundamental neurobiology, cognitive neuroscience, and neural network approaches to language. (Midwest).

Economically Enabled Energy Management

Takeshi Hatanaka,Yasuaki Wasa,Kenko Uchida
Economically Enabled Energy Management Book PDF

Author : Takeshi Hatanaka,Yasuaki Wasa,Kenko Uchida
Publisher : Springer Nature
Page : 341 pages
File Size : 45,7 Mb
Release : 2020-04-21
Category : Business & Economics
ISBN : 9789811535765

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Economically Enabled Energy Management by Takeshi Hatanaka,Yasuaki Wasa,Kenko Uchida Pdf

This book gathers contributions from a multidisciplinary research team comprised of control engineering and economics researchers and formed to address a central interdisciplinary social issue, namely economically enabled energy management. The book’s primary focus is on achieving optimal energy management that is viable from both an engineering and economic standpoint. In addition to the theoretical results and techniques presented, several chapters highlight experimental case studies, which will benefit academic researchers and practitioners alike. The first three chapters present comprehensive overviews of respective social contexts, underscore the pressing need for economically efficient energy management systems and academic work on this emerging research topic, and identify fundamental differences between approaches in control engineering and economics. In turn, the next three chapters (Chapters 4–6) provide economics-oriented approaches to the subject. The following five chapters (Chapters 7–11) address optimal energy market design, integrating both physical and economic models. The book’s last three chapters (Chapters 12–14) mainly focus on the engineering aspects of next-generation energy management, though economic factors are also shown to play important roles.

Handbook of Macroeconomics

John B. Taylor,Harald Uhlig
Handbook of Macroeconomics Book PDF

Author : John B. Taylor,Harald Uhlig
Publisher : Elsevier
Page : 2744 pages
File Size : 52,8 Mb
Release : 2016-11-12
Category : Business & Economics
ISBN : 9780444594884

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Handbook of Macroeconomics by John B. Taylor,Harald Uhlig Pdf

Handbook of Macroeconomics Volumes 2A and 2B surveys major advances in macroeconomic scholarship since the publication of Volume 1 (1999), carefully distinguishing between empirical, theoretical, methodological, and policy issues, including fiscal, monetary, and regulatory policies to deal with crises, unemployment, and economic growth. As this volume shows, macroeconomics has undergone a profound change since the publication of the last volume, due in no small part to the questions thrust into the spotlight by the worldwide financial crisis of 2008. With contributions from the world’s leading macroeconomists, its reevaluation of macroeconomic scholarship and assessment of its future constitute an investment worth making. Serves a double role as a textbook for macroeconomics courses and as a gateway for students to the latest research Acts as a one-of-a-kind resource as no major collections of macroeconomic essays have been published in the last decade Builds upon Volume 1 by using its section headings to illustrate just how far macroeconomic thought has evolved

Advances in Economics and Econometrics

Econometric Society. World Congress
Advances in Economics and Econometrics Book PDF

Author : Econometric Society. World Congress
Publisher : Cambridge University Press
Page : 511 pages
File Size : 51,9 Mb
Release : 2013-05-27
Category : Business & Economics
ISBN : 9781107016040

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Advances in Economics and Econometrics by Econometric Society. World Congress Pdf

The first volume of edited papers from the Tenth World Congress of the Econometric Society 2010.