Physical layer security is an emerging security research area that explores the possibilities of achieving perfect secrecy data transmission between sources and intended destinations, while possible malicious eavesdroppers who intend to eavesdrop the communication links obtain zero information. However, such a security is determined by the wireless channel conditions: if the channel between source and destination is worse than the channel between source and eavesdropper, the secrecy rate is typically zero. To overcome this limitation, cooperative jamming is considered as a promising approach where selected jammers can transmit jamming signals to interfere with the malicious eavesdroppers and thus the secrecy capacity can be effectively improved. In this chapter, we consider the jamming power allocation issue in a jammer-assisted cooperative wireless network. The secrecy rate of the source-destination links can be optimized utilizing a well-chosen amount of jamming power from the friendly jammer, and thus each source that can benefit intends to obtain an optimal jamming power to maximize its secrecy rate for data transmission. Then, the problem comes to how to effectively allocate the limited jamming power owned by the friendly jammer among the sources in demand to achieve an optimized system performance. By considering the friendly jammer as the auctioneer and the sources as the bidders, we formulate this power allocation problem as an auction game model, and introduce three distributed auction-based power allocation schemes, i.e., Power allocation scheme based on Single object pay-as-bid Ascending Clock Auction (P-ACA-S), Power allocation scheme based on Traditional Ascending Clock Auction (P-ACA-T), and Power Allocation Scheme based on Alternative Ascending Clock Auction (P-ACA-A). In addition, we investigate some basic properties of the proposed three auction-based power allocation schemes, i.e., convergence, cheat-proof property, and social welfare maximization.