Essays on macro-dynamics, bounded rationality, dynamic oligopolies and quantitative finance (collected papers and book)

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NO FULL TEXT AVAILABLE. This thesis contains 3rd party copyright material. ----- Professor Chiarella has made contributions in a number of areas of Economics and Quantitative Finance. With regard to his contributions to Economics these are mostly of a theoretical nature and can be divided into three main areas. The first is a re-examination of the ideas of Keynesian Economic Dynamics from the perspective of the modern theory of nonlinear differential equations. The main theoretical contributions are summarised in the papers Asada, Chiarella, Flaschel, Mouakil, Proaño and Semmler (2011) and Chiarella, Flaschel, Köper, Proaño and Semmler (2012), These papers are the outgrowth of the book by Chiarella and Flaschel (2000)1 entitled “The Dynamics of Keynesian Monetary Growth: Macrofoundations ” which has been cited 134 times (according to Google Scholar). The second area is that of modelling boundedly rational heterogeneous agents instead of assuming that agents are infinitely rational as in the rational expectations hypothesis. This work has a number of facets including understanding the dynamics of the models involved, developing specific models with fundamentalists, chartists and sometimes contrarian investors, and developing a heterogeneous agent version of the capital asset pricing model. The third area is that of modelling dynamic oligopolies under various assumptions concerning the behaviour of the different oligopolists. This work has recently been brought together in the book entitled ‘Nonlinear Oligopolies: Stability and Bifurcations’, jointly with Gian Italo Bischi, Michael Kopel and Ferenc Szidarovszky. Professor Chiarella has also been very active in the Quantitative Finance area. His contributions here can be summarised in a number of parts. The first is the evaluation of American options. The recent paper Chiarella et al. (2009) has led to an invitation (jointly with Dr. Boda Kang of UTS and Professor Gunter Meyer of Georgia Institute of Technology) to publish a book on the numerical solution of the American option pricing problem with the publisher World Scientific. The second area to which he has contributed is the modelling of the term structure of interest rates particularly within the Heath-Jarrow-Morton framework. The third area to which he has contributed is the estimation of interest rate models.
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