Book 2013

Contract Theory in Continuous-Time Models

Authors:

ISBN: 978-3-642-14199-7 (Print) 978-3-642-14200-0 (Online)

Table of contents (11 chapters)

  1. Front Matter

    Pages I-XII

  2. Introduction

    1. Front Matter

      Pages 1-1

    2. No Access

      Chapter

      Pages 3-6

      Principal–Agent Problem

    3. No Access

      Chapter

      Pages 7-14

      Single-Period Examples

  3. First Best: Risk Sharing Under Full Information

    1. Front Matter

      Pages 15-15

    2. No Access

      Chapter

      Pages 17-24

      Linear Models with Project Selection, and Preview of Results

    3. No Access

      Chapter

      Pages 25-43

      The General Risk Sharing Problem

  4. Second Best: Contracting Under Hidden Action—The Case of Moral Hazard

    1. Front Matter

      Pages 45-45

    2. No Access

      Chapter

      Pages 47-84

      Mathematical Theory for General Moral Hazard Problems

    3. No Access

      Chapter

      Pages 85-113

      Special Cases and Applications

    4. No Access

      Chapter

      Pages 115-134

      An Application to Capital Structure Problems: Optimal Financing of a Company

  5. Third Best: Contracting Under Hidden Action and Hidden Type—The Case of Moral Hazard and Adverse Selection

    1. Front Matter

      Pages 135-135

    2. No Access

      Chapter

      Pages 137-153

      Adverse Selection

  6. Backward SDEs and Forward-Backward SDEs

    1. Front Matter

      Pages 155-155

    2. No Access

      Chapter

      Pages 157-182

      Backward SDEs

    3. No Access

      Chapter

      Pages 183-227

      Stochastic Maximum Principle

    4. No Access

      Chapter

      Pages 229-248

      Forward-Backward SDEs

  7. Back Matter

    Pages 249-255