Credit and Collateral
Moral hazard is a widespread source of inefficiency in economics. In financial contracting, both classical forms of moral hazard exist, each giving rise to specific incentive issues.1 In a situation of hidden action, the agent takes an action that is not
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Springer-Verlag Berlin Heidelberg GmbH
Alexandre Ziegler
A Game Theory Analysis of Options Contributions to the Theory of Financial Intermediation in Continuous Time
Springer
Author Alexandre Ziegler 56A Chemin du Château C H - 1 2 4 5 Collonge-Bellerive Switzerland
Library of Congress Cataloging-in-PublIcat1on
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Ziegler, Alexandre, 1975A game theory analysis of options : contributions to the theory of financial intermediation in continuous time / Alexandre Ziegler. p. cm. — (Lecture notes in economics and mathematical systems ; 468) Rev. version of the author's thesis ( d o c t o r a l — U n i v e r s i t y of St. Ga1len ). Includes bibliographical references. ISBN 3-540-65628-6 (softcover) 1. Options ( F i n a n c e ) — P r i c e s — M a t h e m a t i c a l models. 2. Game theory. I. Title. II. Series. HG6024.A3Z54 1999 332.64' 5 — d c 2 1 99-17524 CIP
ISBN 978-3-540-65628-9 DOI 10.1007/978-3-662-21589-0
ISBN 978-3-662-21589-0 (eBook)
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To my parents
Acknowledgements This book is a revised version of my doctoral dissertation submitted to the University of St. Gallen. I would like to express my gratitude to the members of my thesis committee, Professor Heinz Zimmermann and Professor Heinz Muller, both from the University of St. Gallen, for their precious assistance and encouragement. Although heavily occupied by research and teaching, they accepted to accompany me in this fascinating journey into financial economics and provided me with useful suggestions and motivating inputs. In addition, Professor Robert Merton, Harvard Business School, and Professor Didier Cossin, University of Lausanne, provided me with interesting literature on some aspects of this thesis. I have also greatly benefited from insightful comments and suggestions by Christophe Lamon and Matthias Aerni, both from the University of St. Gallen. Furthermore, I would like to thank Professor Hans Schmid, Research Institute for Labor Economics and Labor Law, University of St.
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