Bruno Biais, Thomas Björk, Jakša Cvitanic, Nicole El Karoui, Elyes Jouini, J.C. Rochet, Wolfgang J. Runggaldier
Financial mathematics is an emerging field of application. The five sets of course notes in this book provide an overview of the current "state of the art" and directions of research. It should be of interest to graduate students and researchers in the field.
Financial mathematics is an emerging field of application. The five sets of course notes in this book provide an overview of the current "state of the...
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...
In recent years there has been a significant increase of interest in continuous-time Principal-Agent models, or contract theory, and their applicat...
