by Ma Chun Ho Eric. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 102-105). / Abstracts in English and Chinese. / INTERNET ROUTING AND PRICING --- p.1 / ABSTRACT --- p.I / ACKNOWLEDGEMENTS --- p.III / LIST OF FIGURES --- p.IV / LIST OF TABLES --- p.VI / CONTENTS --- p.VII / Chapter CHAPTER1 --- Introduction --- p.1 / Chapter 1.1 --- What is Internet? --- p.1 / Chapter 1.2 --- Internet Routing and Pricing --- p.3 / Chapter 1.3 --- Overview of QoS Routing --- p.4 / Chapter 1.3.1 --- Classification of Routing --- p.6 / Chapter 1.3.2 --- Optimal Routing --- p.7 / Chapter 1.4 --- An Introduction to Internet Economics --- p.8 / Chapter 1.4.1 --- Internet Externality --- p.9 / Chapter 1.4.2 --- Current Pricing Practice --- p.10 / Chapter 1.4.3 --- Network Interconnection --- p.14 / Chapter 1.4 --- Organization of Thesis --- p.16 / Chapter CHAPTER2 --- Economic Theory for Interconnection Model --- p.18 / Chapter 2.1 --- Introduction --- p.18 / Chapter 2.2 --- Demand and Supply --- p.20 / Chapter 2.2.1 --- Consumer Behavior --- p.20 / Chapter 2.2.2 --- Demand Curve --- p.25 / Chapter 2.2.3 --- Price Elasticity --- p.30 / Chapter 2.2.4 --- Estimation of Market Demand --- p.32 / Chapter 2.3 --- Market Structure --- p.33 / Chapter 2.3.1 --- Competitive Firm --- p.34 / Chapter 2.3.2 --- Monopoly --- p.35 / Chapter 2.3.3 --- Oligopoly --- p.35 / Chapter 2.4 --- Game Theory --- p.35 / Chapter 2.4.1 --- The Payoff Matrix of a game --- p.36 / Chapter 2.4.2 --- Nash Equilibrium --- p.37 / Chapter 2.4.3 --- Mixed Strategies --- p.38 / Chapter 2.4.4 --- Existence of Nash Equilibrium --- p.39 / Chapter 2.5 --- Summary --- p.39 / Chapter CHAPTER3 --- Problem Formulation Interconnection Network for Pricing and Routing in Internet --- p.40 / Chapter 3.1 --- Introduction --- p.40 / Chapter 3.2 --- Problem Formulation --- p.41 / Chapter 3.2 --- Existence of NEP Interconnection Network --- p.46 / Chapter 3.3 --- "A ""Cookbook"" Procedure" --- p.53 / Chapter 3.4 --- Cookbook Examples --- p.54 / Chapter 3.5 --- Summary --- p.65 / Chapter CHAPTER4 --- Price Competition for Interconnection Models --- p.66 / Chapter 4.1 --- Introduction --- p.66 / Chapter 4.2 --- Competitive Pricing of Parallel Networks --- p.66 / Chapter 4.2.1 --- Model and Problem Formulation --- p.67 / Chapter 4.2.2 --- Existence of Nash Equilibrium Point --- p.68 / Chapter 4.2.3 --- Numerical Example and Properties --- p.71 / Chapter 4.3 --- Price Collusion for Serial Networks --- p.75 / Chapter 4.3.1 --- Model and Problem Formulation --- p.75 / Chapter 4.3.2 --- Existence of Nash Equilibrium Point --- p.77 / Chapter 4.3.3 --- Numerical Example and Properties --- p.79 / Chapter 4.4 --- Summary --- p.83 / Chapter CHAPTER5 --- Price Distortion for Series-Parallel Networks with Dominant Carriers --- p.85 / Chapter 5.1 --- Problem Motivation and Formulation --- p.85 / Chapter 5.2 --- Properties under NEP --- p.90 / Chapter 5.3 --- A Simple Simulation --- p.95 / Chapter 5.5 --- Summary --- p.98 / Chapter CHAPTER6 --- Conclusion --- p.99 / BIBLIOGRAPHY --- p.102

Heung Ling-lung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 81-82). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgements --- p.iv / Chapter Chapter1: --- Introduction --- p.1 / Chapter Chapter2: --- Review of binomial schemes and trinomial schemes --- p.4 / Chapter Chapter3: --- Binomial/trinomial scheme from the viewpoint of quadrature --- p.12 / Chapter Chapter4: --- Binomial/trinomial schemes from Gaussian quadrature formula --- p.16 / Chapter Chapter5: --- New Schemes from other quadrature formula --- p.27 / Chapter Chapter6: --- Multinomial scheme --- p.35 / Chapter Chapter7: --- Numerical results --- p.41 / Chapter Chapter8: --- Conclusion --- p.47 / Appendix --- p.49 / Bibliography --- p.81

Lau Yuk Hoi. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 109-110). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iii / Table of Contents --- p.iv / List of Notations --- p.vi / List of Propositions --- p.vii / List of Figures --- p.viii / List of Appendices --- p.x / Chapter Chapter 1. --- Introduction - The Reaction Approach --- p.1 / Chapter Chapter 2. --- Assumption for OLG Model --- p.7 / Chapter 2.1 --- Assumption A --- p.7 / Chapter Chapter 3. --- Equilibrium Conditions Without Fundamental Risk --- p.9 / Chapter 3.1 --- Price as a Weighted Average --- p.9 / Chapter 3.2 --- Determination of A and B --- p.11 / Chapter 3.2.1 --- Assumption B --- p.12 / Chapter 3.2.2 --- RE Line and NE Line --- p.13 / Chapter 3.2.3 --- Equilibrium values of A and B --- p.14 / Chapter 3.3 --- Rational Expectation on Price Variance (RV Line) --- p.16 / Chapter 3.4 --- Noisy Expectation on Price Variance (NV Line) --- p.18 / Chapter 3.4.1 --- DeLong's Model --- p.19 / Chapter 3.4.2 --- Bhushan's Model --- p.21 / Chapter 3.5 --- Change in Relative Perceived Variance --- p.23 / Chapter 3.5.1 --- General Problem of OLG Model in Noisy Trading --- p.23 / Chapter 3.5.2 --- Changes in Noise Traders' Beliefs --- p.24 / Chapter 3.5.3 --- "Relative Perceived Price Variance of n, θ" --- p.25 / Chapter 3.5.3.1 --- "Effect of Increasing θ on Price Variance, dC/dθ" --- p.26 / Chapter 3.5.3.2 --- "Effect of Increasing θ on Expected Price Level, dp/dθ" --- p.27 / Chapter Chapter 4. --- Equilibrium Conditions With Fundamental Risk --- p.31 / Chapter 4.1 --- Price as a Weighted Average --- p.32 / Chapter 4.2 --- Determination of A and B --- p.34 / Chapter 4.2.1 --- Assumption C --- p.34 / Chapter 4.2.2 --- RE Line and NE Line --- p.35 / Chapter 4.2.3 --- Equilibrium values of A and B --- p.36 / Chapter 4.3 --- Rational Expectation on return Variance (RV Line) --- p.37 / Chapter 4.4 --- Noisy Expectation on Return Variance (NV Line) --- p.40 / Chapter 4.4.1 --- De Long's Model --- p.41 / Chapter 4.4.2 --- Bhushan's Model --- p.42 / Chapter 4.5 --- Change in Relative Perceived Return Variance --- p.45 / Chapter 4.5.1 --- Specification of Noisy Expectation --- p.46 / Chapter 4.5.2 --- Relative Perceived Return Variance of n，Θ --- p.46 / Chapter 4.5.2.1 --- "Effect of Increasing Θ on Price Variance, dC/dΘ" --- p.47 / Chapter 4.5.2.2 --- "Effect of Increasing Θ on Expected Price Level, dp/dΘ" --- p.48 / Chapter 4.6 --- Relative Perceived Price Risk versus Relative Perceived Dividend Risk --- p.52 / Chapter Chapter 5. --- Conclusion and Discussion --- p.55 / Figures --- p.58 / Appendices --- p.86 / References --- p.109

Leong Chan Fai. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (leaves 100-105). / Abstracts in English and Chinese. / Abstract --- p.i-ii / Acknowledgements --- p.iii / Table of Contents --- p.iv / List of Tables --- p.v / List of Figures --- p.vi / Chapter Section 1 --- Introduction --- p.1 / Chapter Section 2 --- Literature Review --- p.5 / Chapter Section 3 --- Data Description --- p.13 / Chapter 3.1 --- Transaction Prices --- p.13 / Chapter 3.2 --- Macroeconomic Variables --- p.15 / Chapter Section 4 --- Methodology --- p.19 / Chapter 4.1 --- Hedonic Pricing --- p.21 / Chapter 4.2 --- Measurements --- p.22 / Chapter 4.3 --- Stationarity --- p.24 / Chapter 4.4 --- Vector Autoregressive Model and Granger Causality --- p.27 / Chapter Section 5 --- Hypothesis Testing --- p.31 / Chapter Section 6 --- Empirical Results --- p.35 / Chapter 6.1 --- Hedonic Pricing Models --- p.35 / Chapter 6.2 --- Real Housing Price Dispersion Indicators and Macro Variables --- p.36 / Chapter 6.3 --- Stationary Tests --- p.37 / Chapter 6.4 --- Results from the Ordinary Least Square Regressions --- p.37 / Chapter 6.5 --- Results from the Vector Auto Regressive Models --- p.40 / Summary and Conclusion --- p.46 / Appendix 1 Tables --- p.49 / Appendix 2 Figures --- p.80 / Reference --- p.100

針對Lévy過程下的二維期權定價問題，本文提出了一種基於快速傅利葉變換(FFT)的解決方案，稱之為二維快速傅利葉變換網絡。不論是時間從屬還是線性組合，此方法適用於所有能取得聯合特徵函數的二維Lévy構建。快速傅利葉變換的種種優點使得比數值方法在不影響結果精確性的前提下，大大降低了所需計算時間。理論上，更高維的Lévy期權定價問題也可以通過擴展數值網絡解決。除此之外，我們還探究了資產波動性亦服從Lévy過程的單資產期權定價。這種資產價值和波動性由一組相關Lévy過程驅動的模型被稱為時間轉換Lévy過程。最後，關於美式及奇異期權定價的數值算例驗證了文中方法的準確性和有效性。 / We propose a two-dimensional network to retrieve the price of two-asset option under Lévy processes by using the fast Fourier transform (FFT). It can be applied to different multivariate Lévy constructions such as subordination and linear combination provided that the joint characteristic function is obtainable. With the prevalent implementation of FFT, the network approach results in significant computational time reduction while maintaining satisfactory accuracy. In general, multi-dimensional option pricing problems are also solvable by extending this network. Furthermore, we investigate option pricing on a single asset where the asset return and its volatility are driven by a pair of dependent Lévy processes. Such a model is also called the random time-changed Lévy process. Numerical examples are given to demonstrate the efficiency and accuracy of FFT-network applied to exotic and American-style options. / Detailed summary in vernacular field only. / Wang, Weiyin. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 41-43). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts also in Chinese. / List of Tables --- p.ii / List of Figures --- p.iii / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.4 / Chapter 2.1 --- Lévy Process --- p.4 / Chapter 2.1.1 --- Definition and Properties --- p.4 / Chapter 2.1.2 --- Multivariate Lévy Construction --- p.6 / Chapter 2.2 --- Fast Fourier Transform (FFT) in Option Pricing --- p.9 / Chapter 2.2.1 --- European Option on One Asset --- p.9 / Chapter 2.2.2 --- European Option on Two Assets --- p.11 / Chapter 3 --- Two-dimensional FFT-network Model --- p.13 / Chapter 3.1 --- Two-dimensional FFT-network --- p.15 / Chapter 3.2 --- Two-asset Option Pricing --- p.22 / Chapter 3.2.1 --- General Model --- p.22 / Chapter 3.2.2 --- Specific Models --- p.23 / Chapter 3.3 --- Random Time-changed Lévy Process --- p.25 / Chapter 3.3.1 --- Model --- p.26 / Chapter 3.3.2 --- Correlation Adjustment --- p.28 / Chapter 4 --- Numerical Examples --- p.31 / Chapter 4.1 --- Two-asset Option --- p.31 / Chapter 4.1.1 --- Spread Option Pricing --- p.31 / Chapter 4.1.2 --- Pricing under Diffierent Multivariate Lévy Constructions --- p.36 / Chapter 4.2 --- One-asset Option under Random Time-changed Lévy Process --- p.37 / Chapter 5 --- Conclusion --- p.40 / Bibliography --- p.41

Este trabalho tem por objetivo avaliar a transmissão de preço no mercado de etanol hidratado no Estado de São Paulo. Especificamente, busca identificar a presença de assimetria de transmissão em termos de magnitude e velocidade no curto e no longo prazo em cada elo da cadeia de comercialização do biocombustível. Os resultados foram obtidos a partir do emprego da metodologia NARDL (Non Linear Autoregressive Distributed Lag) e sugerem assimetria positiva na transmissão de preços entre o elo de produção e revenda, ou seja, os aumentos de preço no produtor são repassados com mais intensidade e agilidade ao consumidor se comparados com os movimentos de queda. Ademais, a relação de bicausalidade entre a distribuidora e a revenda demonstram uma assimetria positiva de magnitude e de velocidade entre o elo da distribuição e a revenda, visto que os preços ao consumidor aumentam imediatamente quando a distribuidora eleva os valores praticados, mas as quedas demandam várias semanas para serem observadas pelo consumidor. Entre os elementos que explicam esse comportamento assimétrico estão fatores usualmente identificados pela literatura sobre o tema e aspectos intrínsecos ao mercado de etanol combustível no Brasil. / This paper aims to evaluate the price transmission in the hydrous ethanol market in the State of São Paulo. Specifically, it seeks to identify the presence of asymmetric price transmission in terms of magnitude and speed in the short and long term at each link of the ethanol suply chain. The results were obtained using the NARDL (Non Linear Autoregressive Distributed Lag) methodology which suggest a positive asymmetric price transmission between the production and the retail link, ie, producers price increases are transmitted with more intensity and faster to the consumer compared to falling movements. In addition, the relationship of bicausality between the distributor and the retailer\'s price present a positive asymmetry of magnitude and speed since the consumer prices increase immediately when the distributor raises the amounts practiced, but the falls spend several weeks to be observed by the consumer. However, among the elements that explain this asymmetric price behavior in each link of the supply chain are factors usually identified by the literature on the subject and aspects intrinsic to the fuel ethanol market in Brazil.

Thesis. 1978. Ph.D.--Massachusetts Institute of Technology. Dept. of Economics. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND DEWEY. / Bibliography: leaves 105-109. / Ph.D.

Thesis. 1979. M.S.--Massachusetts Institute of Technology. Alfred P. Sloan School of Management. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND DEWEY. / Bibliography: leaves 141-142. / by Henry Furlow Owsley, III. / M.S.

This dissertation combines theoretical modeling and empirical analysis in macroeconomics, with a focus on open economies. It contains three chapters that study macroeconomic dynamics in the presence of credit frictions and the scope for stabilization policies in this context. Chapter 1, "Macroeconomic Effects of Commodity Booms and Busts: The Role of Financial Frictions", studies the real effects of commodity price shocks in small open commodity exporters; and the role of financial frictions in the transmission of these shocks to economic activity. I begin by estimating a panel VAR system for two groups of countries heavily exposed to commodity goods exports, one containing only advanced small open economies, and the other only emerging small open economies. I show that commodity price shocks are important sources of business cycle fluctuations, and have stronger effects on real activity, credit, and country interest rate in emerging countries. Motivated by these results, I construct a multi-sector open economy model with a banking sector to gauge the importance of different financial frictions in the transmission of commodity price shocks. I find that the main transmission channel is the interaction between the differences in working capital constraints at the firm level and the effect of commodity prices on the country interest rate. Moreover, I show that the financial accelerator and balance sheet mismatches in the banking sector don't have a relevant quantitative amplification effect. Chapter 2, "International Reserves, Credit Constraints, and Systemic Sudden Stops", analyzes the puzzling fact that emerging markets hold very high levels of international reserves and foreign liabilities simultaneously. Moreover, these holdings are positively correlated, which leads to an income loss that might reach 2% of GDP per year. To address this issue, I propose a new motive for international reserves accumulation, namely its role as implicit collateral for external borrowing. In this context, I evaluate whether the role of international reserves as collateral can explain the high levels of international reserves that we see in practice and find that the optimal level is close to the average reserves-to-GDP ratio in Latin American countries. Additionally, the optimal behavior during crises implies an increase of reserve holdings before a Sudden Stop and a small reduction during it, which is coherent with what was observed in the recent Global Financial Crisis. Finally, an alternative policy of keeping reserves at a constant level equal to its average value all the time yields very similar result to the optimal policy during sudden stops, highlighting the stabilizing role of reserves even if Central Banks don't use them at all. Chapter 3, "The Real Consequences of Countercyclical Capital Controls'', coauthored with Savitar Sundaresan, analyzes the effects of capital controls on real activity in Brazil, the most preeminent case of controls being imposed countercyclically. We find that capital controls have a significant negative impact on investment. The macro analysis uses a synthetic control method and finds that investment could have been approximately 20% higher if controls had not been put in place. The micro analysis uses a panel data approach and finds that the controls reduced the investment to assets ratio by as much as 40%, with some of its effects mitigated by the extension of subsidized credit by the government through the development bank. These results indicate that the renewed support for controls since the Great Financial Crisis should be more cautiously evaluated as it might harm the potential growth rate of Emerging Economies for a long-lasting period.

This dissertation consists of three papers. A common feature of these papers is the interest in how externalities affect consumers and firms’ behavior. In the first paper, I study one type of contractual externalities called exclusive dealing, whereby one firm cannot deal with the competitors of the other. More specifically, I propose and estimate an empirical structural model to investigate the effects on prices of upstream mergers in markets with exclusive dealing contracts. The second paper is concerned with markets for a good with network externalities, i.e. a good that generates higher utility the higher the number of consumers purchasing it. The third paper studies externalities of investments on quality improvement. When more than one firm is active, the product improvement externality occurs because as firms chose different quality levels, competition is relaxed and consumers get some consumer surplus from product variety. In the case of winner-take-all markets, the business-stealing externality occurs because as one firm invests in quality upgrade, the competitors become more likely to lose all customers. The first chapter examines the incentives for price increase in upstream mergers when the supplier has a network of exclusive dealers (ED). The incentives explored in this paper come from changes in the threat point of the bargaining between the supplier and exclusive retailers. The bargaining power of the exclusive dealer comes from local market power of the dealer or due to reputation aspects (when dealers know that the supplier behaves opportunistically after the ED contract is signed, they will be reluctant in becoming exclusive of that supplier or renewing the contract). The change in the threat point post merger is due to the larger network of exclusive retailers, which enables the merged supplier to recapture a larger portion of the consumers that will be diverted from any specific exclusive dealer in case of disagreement on the wholesale price negotiation. The empirical application explored in this paper uses a unique and comprehensive dataset from the Brazilian fuel industry, with information that includes retail and wholesale prices as well as quantities at the station level. Aside from the good quality, this dataset is adequate for the intended analysis because in Brazil fuel stations can either operate independently (in which case they can purchase from any distributor) or sign an ED contract, when they can only purchase from a specific distributor. Moreover, the data spam a period that includes an important merger. I estimate the model using pre-merger data and simulate the effects of combining the networks of exclusive dealers of the merging companies. The simulation shows that the incentives for price increase are sizable, and the mechanism studied in the paper captures a large fraction of the actual price increase observed in the data. The second chapter, joint with Ilwoo Hwang, studies adoption and pricing when consumers can delay their purchase of a good with network effects. In those cases, price alone does not convey sufficient information for consumers to make their purchase decision and they need to infer about current and future adoption in order to make their decisions. This feature implies that some consumers might find optimal to delay their purchases in order to make their decisions better informed about the success of the network. The multiplicity of equilibria that is typical in the coordination game played by consumers implies that the demand is not well defined for a given price, creating a problem for the firm's pricing decision. We consider a two-period model in which a monopolist sets prices and consumers can delay their purchases to the second period when they will receive information about early adoption. The dynamic coordination problem with endogenous delayed purchases is modeled as a global game, for which we derive conditions for uniqueness of equilibrium. The model is capable of exploring many issues in the economics of network effects such as introductory pricing and early critical mass for platform survival. Our specification nests the pure durables goods and herding models. Numerical results illustrate the amplitude of possible outcomes in the dynamic model with delay. Substantial differences can arise in terms of pricing, adoption and profits when we compare the full specification with multiple benchmarks. In the third chapter, joint with Michael Riordan, we develop a duopoly model of product quality competition that focuses on how information structure determines equilibrium outcomes. When we introduce private and correlated signals about the fundamental uncertainty about quality differences, each firm can form a more educated guess about what the opponent must be doing, which is the key for uniqueness of equilibria. Equilibrium product improvement decisions are unique if and only if market uncertainty is sufficiently high relative to strategic uncertainty, except in a non-generic special case. A unique equilibrium takes the form of threshold strategies, whereby each firm improves its product upon receiving a sufficiently favorable signal of brand advantage. We show that the unique equilibrium depends on the fundamentals as well as on investment costs and that the probability of miscoordination vanishes as strategic uncertainty decreases. In the type of competition studied here, firms have no incentive to choose the same quality as the competition arising in the marketplace would bring prices to equalize marginal cost. Interestingly, this information structure alleviates substantially the problem of miscoordination observed in the no “information game” and also dominates the complete information game for a large range of parameters in the model.