• Assessing Core Stable Coalitions Based On Social Network Structures

      Chan, Su Yuan (Auckland University of Technology, 2017)
      Game theoretic techniques have become deliberate with social network analysis. Studies show that contemporary approach on social network analysis is unable to collectively evaluate the rationality of individuals and synergies ...
    • Blocking efficiency and competitive equilibria in economies with asymmetric information

      Bhowmik, Anuj (Auckland University of Technology, 2013)
      In this thesis, two most fundamental problems in economic theory, namely the existence and the optimality of Walrasian equilibrium, are studied. It is assumed that there is uncertainty about the realized state of nature ...
    • Mathematical Analysis of the Chaotic Behavior in Monetary Policy Games

      Moosavi Mohseni, Reza (Auckland University of Technology, 2019)
      This thesis discusses the concept of chaos in monetary policy games. The mathematical framework developed in this thesis addresses two important problems in monetary theory, namely, the time-inconsistency and the complexity ...
    • Option Pricing Under the Heston-CIR Model with Stochastic Interest Rates and Transaction Costs

      Wang, Biyuan (Auckland University of Technology, 2019)
      The celebrated Black-Scholes model on pricing a European option gives a simple and elegant pricing formula for European options with the underlying price following a geometric Brownian motion. In a realistic market with ...
    • Pricing Leveraged ETFS Options under Heston Dynamics

      Kapoor, Gaurav (Auckland University of Technology, 2018)
      The aim of this thesis is to derive a pricing formula for options on leverage exchange-traded funds (LETFs) with the assumption that the underlying index follows the Heston model dynamics. In order to price options for ...
    • Pricing variance swaps under stochastic volatility and stochastic interest rate

      Roslan, Teh Raihana Nazirah binti (Auckland University of Technology, 2016)
      In this thesis, we study the issue of pricing discretely-sampled variance swaps under stochastic volatility and stochastic interest rate. In particular, our modeling framework consists of the equity which follows the ...
    • Real option games with stochastic volatility

      Huang, Bing (Auckland University of Technology, 2014)
      This thesis presents several real option models to address investment-timing deci- sion problems in various scenarios. The traditional NPV method only considers the difference between the future cash flow and the cost of ...