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UID:bbc6c36948c6679db8d52fa1df06be11
CATEGORIES:Seminars
CREATED:20250228T071707
SUMMARY:Lunch Seminar: Guillaume Roger - Monash University
DESCRIPTION;ENCODING=QUOTED-PRINTABLE:\n\nDynamic contracting with imperfect observability \n\n\nAbstract:\nThis 
 paper is concerned with a continuous time, dynamic contracting problem in&n
 bsp;which the principal observes performance at discrete intervals only. In
  spite of this, incentive compatibility can be enforced pathwise, but 
 at additional costs to the principal.  The discrete nature of the
  information of the principal gives rise to a mixed problem with conti
 nuous and discrete impulse control that is characterised by a quasi-variati
 onal inequality. We characterise the contract and compute the probabil
 ity of over-payment, as well as the expected cost of these over-paymen
 ts. Finally we implement the contract in securities, which display rea
 l-life characteristics like special dividends.\n
DTSTAMP:20260526T022418Z
DTSTART:20250626T130000Z
DTEND:20250626T140000Z
SEQUENCE:0
TRANSP:OPAQUE
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