Investment and risk management problems are fundamental problems for¡ financial institutions and involve both speculative and hedging decisions. A structured approach to these problems naturally leads one to the field of applied mathematics in order to translate subjective proba…
Most of the observable phenomena in the empirical sciences are of a multivariate nature.¡ In financial studies, assets are observed simultaneously and their joint development is analysed to better understand general risk and to track indices.¡ In medicine recorded observations o…
Contract Theory in Continuous-Time Models
by Cvitanić, Jaksa, Zhang, Jianfeng
fromSpringer finance
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 op…
Contract Theory in Continuous-Time Models
by Cvitanić, Jaksa, Zhang, Jianfeng
fromSpringer finance
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 op…
Annotation
The author's particular interest in the area of risk measures is to combine this theory with the analysis of dependence properties. The present volume gives an introduction of basic concepts and methods in mathematical risk analysis, in particular of those parts of risk theory t…
