Contract Theory: Discrete- and Continuous-Time Models

1. Auflage 2023
ISBN: 978-981-99-5486-5
Verlag: Springer Nature Singapore

Buch, Englisch, 345 Seiten, Format (B × H): 160 mm x 241 mm, Gewicht: 711 g

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.

Zielgruppe

Graduate

Autoren/Hrsg.

Sung, Jaeyoung

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Mikroökonomie

Inhaltsverzeichnis

Introduction.- Incentive Problems.- Basic Structures of Contracting Problems.- Discrete-Time Formulation I.- Discrete-Time Formulation II.- Contracting in Continuous Time: Time-Multiplicative Preferences.- Optimal Performance Metrics.- Contracting under Incomplete Information.- Career Concerns in Competitive Executive Job Markets.- Agency Problem in Weak Formulation.- Contracting with a Mean-Volatility Controlled Outcome.- Hierarchical Contracting: A Mean-Volatility Control Problem.- Contracting in Continuous Time: Time-Additive Preferences.- Contracting under Ambiguity: Introduction.- Contracting under Ambiguity in Continuous Time.- Information Asymmetry: Hidden Information.- Information Asymmetry: Adverse Selection.- Information Asymmetry: Adverse Selection and Moral Hazard.

Über Autor(innen)

Jaeyoung Sung is currently Professor Emeritus of Finance at Ajou University, South Korea. He served as principal investigator of the WCU (World Class University) project to establish a world-class financial engineering program at Ajou University. He also taught at University of Illinois at Chicago, and he was visiting professor at Washington University in St. Louis, University of New South Wales, and University of Southern California. His research interests lie in agency theory, asset pricing and market microstructure. He has published on continuous-time agency problems in economics and finance journals such as Journal of Economic Theory, Rand Journal of Economics, Review of Financial Studies, Mathematical Finance, and others.