Dynamic Security Design: Convergence to Continuous Time and Asset Pricing Implications

DOI10.1111/J.1467-937X.2007.00425.XMaRDI QIDQ5429093zbMATH OpenOpenAlexFDO

Authors Bruno Biais, Thomas Mariotti, Guillaume Plantin, Jean-Charles Rochet

Publication date 29 November 2007

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-937x.2007.00425.x

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Security design and firm dynamics under long-term moral hazard
• Scale effects in dynamic contracting
• Large risks, limited liability, and dynamic moral hazard
• Calibrated incentive contracts
• Robust Contracts in Continuous Time

Cited in

(33)

• When q theory meets large losses risks and agency conflicts
• A two-dimensional control problem arising from dynamic contracting theory
• Optimal contracting with effort and misvaluation
• Dynamic contracting under imperfect public information and asymmetric beliefs
• A theory of dynamic contracting with financial constraints
• New formulations of ambiguous volatility with an application to optimal dynamic contracting
• Agent's optimal compensation under inflation risk by using dynamic contract model
• How to build stable relationships between people who lie and cheat
• Dynamic contract and discretionary termination policy under loss aversion
• Optimal equity auctions with two-dimensional types
• Optimal compensation with hidden action and lump-sum payment in a continuous-time model
• Relational contracts, limited liability, and employment dynamics
• Debt, equity, and information
• The financial market: not as big as you think
• Renegotiation and dynamic inconsistency: contracting with non-exponential discounting
• Risky utilities
• Optimal dynamic contracts with moral hazard and costly monitoring
• Robust contracting with additive noise
• Strategies in the principal-agent model
• Optimal contract for machine repair and maintenance
• On repeated games with imperfect public monitoring: from discrete to continuous time
• Optimal monitoring schedule in dynamic contracts
• ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT
• Pricing rules under asymmetric information
• Optimal risk sharing and borrowing constraints in a continuous-time model with limited commitment
• Asymmetric information in frictional markets for liquidity: collateralized credit vs asset sale
• Gaussian agency problems with memory and linear contracts
• Robust dynamic contracts with multiple agents
• A theory of cash flow-based financing with distress resolution
• Setbacks, shutdowns, and overruns
• Randomisation with moral hazard: a path to existence of optimal contracts
• Scale effects in dynamic contracting
• A duality approach to continuous-time contracting problems with limited commitment

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