Mathematical Modeling, Analyzing, and Computing for Finance

436 Pages·2014·26.03 MB·English

Mathematical Problems in Engineering
Nonlinear Problems: Mathematical
Modeling, Analyzing, and Computing
for Finance
Guest Editors: Chuangxia Huang, Fenghua Wen, Jianping Li, and Xiaodong Lin
Nonlinear Problems: Mathematical Modeling,
Analyzing, and Computing for Finance
Mathematical Problems in Engineering
Nonlinear Problems: Mathematical Modeling,
Analyzing, and Computing for Finance
Guest Editors: Chuangxia Huang, Fenghua Wen, Jianping Li,
and Xiaodong Lin
Copyright©2014HindawiPublishingCorporation.Allrightsreserved.
Thisisaspecialissuepublishedin“MathematicalProblemsinEngineering.”Allarticlesareopenaccessarticlesdistributedunderthe
CreativeCommonsAttributionLicense,whichpermitsunrestricteduse,distribution,andreproductioninanymedium,providedthe
originalworkisproperlycited.
Editorial Board
MohamedAbdElAziz,Egypt AlexEl´ıas-Zu´n˜ga,Mexico StefanoLenci,Italy
EihabM.Abdel-Rahman,Canada AndersEriksson,Sweden RomanLewandowski,Poland
RashidK.AbuAl-Rub,USA VedatS.Erturk,Turkey ShihuaLi,China
SarpAdali,SouthAfrica MoezFeki,Tunisia MingLi,China
SalvatoreAlfonzetti,Italy RicardoFemat,Mexico S.Li,Canada
IgorAndrianov,Germany RoberttFontesValente,Portugal JianLi,China
SebastianAnita,Romania ClaudioFuerte-Esquivel,Mexico Teh-LuLiao,Taiwan
W.Assawinchaichote,Thailand ZoranGajic,USA PanosLiatsis,UK
Er-weiBai,USA UgoGalvanetto,Italy KimMeowLiew,HongKong
EzzatG.Bakhoum,USA Xin-LinGao,USA Yi-KueiLin,Taiwan
Jose´ManoelBalthazar,Brazil FurongGao,HongKong ShueeiM.Lin,Taiwan
RasajitKumarBera,India BehrouzGatmiri,Iran Jui-ShengLin,Taiwan
JonathanN.Blakely,USA OlegV.Gendelman,Israel WanquanLiu,Australia
StefanoBoccaletti,Spain PauloBatistaGonc¸alves,Brazil BinLiu,Australia
StephaneP.A.Bordas,USA OdedGottlieb,Israel YujiLiu,China
DanielaBoso,Italy FabrizioGreco,Italy PaoloLonetti,Italy
M.Boutayeb,France QuangPhucHa,Australia VassiliosC.Loukopoulos,Greece
MichaelJ.Brennan,UK TonySheuWenHann,Taiwan Chien-YuLu,Taiwan
SalvatoreCaddemi,Italy ThomasHanne,Switzerland JunguoLu,China
PiermarcoCannarsa,Italy KaticaR.Hedrih,Serbia AlexeiMailybaev,Brazil
JoseE.Capilla,Spain M.I.Herreros,Spain ManoranjanK.Maiti,India
CarloCattani,Italy Wei-ChiangHong,Taiwan OluwoleDanielMakinde,SouthAfrica
MarceloCavalcanti,Brazil JaromirHoracek,CzechRepublic RafaelMart´ınez-Guerra,Mexico
DiegoJ.Celentano,Chile GordonHuang,Canada DrissMehdi,France
MohammedChadli,France HuabingHuang,China RoderickMelnik,Canada
ArindamChakraborty,USA ChuangxiaHuang,China XinzhuMeng,China
Yong-KuiChang,China YiFengHung,Taiwan JoseMerodio,Spain
MichaelJ.Chappell,UK Hai-FengHuo,China YuriVladimirovichMikhlin,Ukraine
KuiFuChen,China AsierIbeas,Spain GradimirMilovanovic´,Serbia
Kue-HongChen,Taiwan AnuarIshak,Malaysia EbrahimMomoniat,SouthAfrica
XinkaiChen,Japan RezaJazar,Australia TrungNguyenThoi,Vietnam
Jyh-HorngChou,Taiwan ZhijianJi,China HungNguyen-Xuan,Vietnam
SlimChoura,Tunisia JunJiang,China BenT.Nohara,Japan
CesarCruz-Hernandez,Mexico J.J.Judice,Portugal SotirisK.Ntouyas,Greece
ErikCuevas,Mexico TadeuszKaczorek,Poland ClaudioPadra,Argentina
SwagatamDas,India TamasKalmar-Nagy,USA BijayaKetanPanigrahi,India
FilippodeMonte,Italy TomaszKapitaniak,Poland FrancescoPellicano,Italy
YannisDimakopoulos,Greece HamidR.Karimi,Norway MatjazˇPerc,Slovenia
BaocangDing,China MetinO.Kaya,Turkey VuNgocPhat,Vietnam
JoaoB.R.DoVal,Brazil FarzadKhani,Iran MariadoRosa´rioPinho,Portugal
DaoyiDong,Australia Ren-JiehKuo,Taiwan SeppoPohjolainen,Finland
B.Dubey,India JurgenKurths,Germany StanislavPotapenko,Canada
HorstEcker,Austria ClaudeLamarque,France SergioPreidikman,USA
M.OnderEfe,Turkey UsikLee,Korea CarstenProppe,Germany
ElmetwallyElabbasy,Egypt MarekLefik,Poland HectorPuebla,Mexico
JustoPuerto,Spain GrigoriM.Sisoev,UK YouqingWang,China
DaneQuinn,USA ChristosH.Skiadas,Greece Gerhard-WilhelmWeber,Turkey
KumbakonamRajagopal,USA DavideSpinello,Canada JeroenWitteveen,TheNetherlands
GianlucaRanzi,Australia SriSridharan,USA Kwok-WoWong,HongKong
SivaguruRavindran,USA HariM.Srivastava,Canada LigangWu,China
G.Rega,Italy RolfStenberg,Finland ZhengguangWu,China
PedroRibeiro,Portugal ChangyinSun,China GongnanXie,China
J.Rodellar,Spain Xi-MingSun,China WangXing-yuan,China
RosanaRodriguez-Lopez,Spain JitaoSun,China XiFrankXu,China
AlejandroJ.Rodriguez-Luis,Spain AndrzejSwierniak,Poland XupingXu,USA
CarlaRoque,Portugal YangTang,Germany Jun-JuhYan,Taiwan
Rube´nRuizGarc´ıa,Spain AllenTannenbaum,USA Xing-GangYan,UK
ManouchehrSalehi,Iran CristianToma,Romania Suh-YuhYang,Taiwan
MiguelA.F.Sanjua´n,Spain GerardOlivarTost,Colombia MahmoudT.Yassen,Egypt
IlmarFerreiraSantos,Denmark IrinaN.Trendafilova,UK MohammadI.Younis,USA
NickolasS.Sapidis,Greece AlbertoTrevisani,Italy BoYu,China
EvangelosJ.Sapountzakis,Greece Jung-FaTsai,Taiwan HuangYuan,Germany
BozidarSarler,Slovenia KuppalapalleVajravelu,USA S.P.Yung,HongKong
AndreyV.Savkin,Australia VictoriaVampa,Argentina IonZaballa,Spain
MassimoScalia,Italy JosepVehi,Spain AshrafM.Zenkour,SaudiArabia
MohamedA.Seddeek,Egypt StefanoVidoli,Italy JianmingZhan,China
LeonidShaikhet,Ukraine YijingWang,China YingweiZhang,China
ChengShao,China ChengC.Wang,Taiwan XuZhang,China
BoShen,Germany DanWang,China LuZhen,China
Jian-JunShu,Singapore XiaojunWang,China LiancunZheng,China
ZhanShu,UK Qing-WenWang,China JianGuoZhou,UK
DanSimon,USA YongqiWang,Germany ZexuanZhu,China
LucianoSimoni,Italy MoranWang,China MustaphaZidi,France
Contents
NonlinearProblems:MathematicalModeling,Analyzing,andComputingforFinance,
ChuangxiaHuang,FenghuaWen,JianpingLi,andXiaodongLin
Volume2014,ArticleID802031,2pages
ThePricingofAsianOptionsinUncertainVolatilityModel,YulianFanandHuadongZhang
Volume2014,ArticleID786391,16pages
MultiscaleCombinedModelBasedonRun-Length-JudgmentMethodandItsApplicationinOilPrice
Forecasting,WangShu-ping,HuAi-mei,WuZhen-xin,LiuYa-qing,andBaiXiao-wei
Volume2014,ArticleID513201,9pages
RuinProbabilitiesintheMixedClaimFrequencyRiskModels,ZhaoXiaoqinandChuangxiaHuang
Volume2014,ArticleID314307,7pages
PricingConvertibleBondswithCreditRiskunderRegimeSwitchingandNumericalSolutions,
Wei-GuoZhangandPing-KangLiao
Volume2014,ArticleID381943,13pages
ADrivingForceAnalysisandForecastforGasConsumptionDemandinChina,QingZhu,
Quan-YingLu,Xiao-YangZhou,andKinKeungLai
Volume2014,ArticleID980410,11pages
AnAnalyticHierarchyModelforClassificationAlgorithmsSelectioninCreditRiskAnalysis,
GangKouandWenshuaiWu
Volume2014,ArticleID297563,7pages
CommercialBankEfficiencyEvaluationinConsiderationoftheUndesirableOutputandItsLinkwith
StakeholdersRelationship:AnApplicationofChina’sCommercialBanks,JianyueJiandYanxiaWang
Volume2014,ArticleID949717,7pages
ImprovedDelay-DependentRobustStabilityCriteriaforaClassofUncertainNeutralTypeLur’e
SystemswithDiscreteandDistributedDelays,KaiboShi,HongZhu,ShoumingZhong,YongZeng,
andYupingZhang
Volume2014,ArticleID980351,14pages
StudyonInformationalTransactionandItsEffectonChina’sStockIndexFuturesMarket,HongliChe,
XiongXiong,JiatongHan,WeiZhang,andYongjieZhang
Volume2014,ArticleID272403,10pages
CoordinationofSupplyChainwithaDominantRetailerunderDemandDisruptions,JianLi,
XiaofangLiu,JunWu,andFengmeiYang
Volume2014,ArticleID854681,10pages
ExchangeRateForecastingUsingEntropyOptimizedMultivariateWaveletDenoisingModel,
KaijianHe,LijunWang,YingchaoZou,andKinKeungLai
Volume2014,ArticleID389598,9pages
AnEmpiricalStudyoftheEffectofInvestorSentimentonReturnsofDifferentIndustries,
ChuangxiaHuang,XinYang,XiaoguangYang,andHuSheng
Volume2014,ArticleID545723,11pages
AllocatingTradableEmissionsPermitsBasedontheProportionalAllocationConcepttoAchievea
Low-CarbonEconomy,QianzhiDai,YongjunLi,QiweiXie,andLiangLiang
Volume2014,ArticleID462705,8pages
ANetworkDEAModelwithSuperEfficiencyandUndesirableOutputs:AnApplicationtoBank
EfficiencyinChina,JianhuanHuang,JuanjuanChen,andZhujiaYin
Volume2014,ArticleID793192,14pages
RepresentationBias,ReturnForecast,andPortfolioSelectionintheStockMarketofChina,
DapingZhaoandYongFang
Volume2014,ArticleID686201,8pages
AnalysisontheSpatial-TemporalDynamicsofFinancialAgglomerationwithMarkovChainApproach
inChina,WeiminChen,HuifangZeng,andYoujinLiu
Volume2014,ArticleID561784,6pages
TheHighContactPrinciplewithRewardFunctionsInvolvingInitialPoints,DongmeiGuo,YiHu,
JiankangZhang,andChunliChu
Volume2014,ArticleID801791,6pages
Emergency-DependentSupplyDecisionswithRiskPerceptionandPriceControl,ShaofuDu,
HuifangJiao,RongjiHuang,andJiaangZhu
Volume2014,ArticleID965395,13pages
ANumericalStudyforRobustActivePortfolioManagementwithWorst-CaseDownsideRiskMeasure,
AifanLingandLeTang
Volume2014,ArticleID912389,13pages
DynamicCharacteristicAnalysisofIndirectCarbonEmissionsCausedbyChineseUrbanandRural
ResidentialConsumptionBasedonTimeSeriesInput-OutputTablesfrom2002to2011,GuoxingZhang,
MingxingLiu,andXiulinGao
Volume2014,ArticleID297637,11pages
TheEffectsofPriorOutcomesonRiskyChoice:EvidencefromtheStockMarket,FenghuaWen,
XuGong,YoucongChao,andXiaohongChen
Volume2014,ArticleID272518,8pages
ASustainableFinancingCreditRatingModelforChina’sSmall-andMedium-SizedEnterprises,
YuCaoandShouyaoXiong
Volume2014,ArticleID861085,5pages
AParetoOptimalAuctionMechanismforCarbonEmissionRights,MingxiWang,MingrongWang,
ChuangyinDang,andShouyangWang
Volume2014,ArticleID438104,7pages
DomesticSystemicallyImportantBanks:AQuantitativeAnalysisfortheChineseBankingSystem,
YibingChen,YongShi,XianhuaWei,andLinglingZhang
Volume2014,ArticleID819371,19pages
EmpiricalPricingofChineseDefaultableCorporateBondsBasedontheIncompleteInformation
Model,LiPingandWangXiaoxu
Volume2014,ArticleID286739,5pages
AgentorBorrower?AnIncentiveofMoralHazardwithChinaCommercialGuaranteeCompany,
FengHe,WeiZhang,YongjieZhang,andXiongXiong
Volume2014,ArticleID930271,6pages
DynamicNonlinearPricingModelBasedonAdaptiveandSophisticatedLearning,WenjieBi,
YinghuiSun,HaiyingLiu,andXiaohongChen
Volume2014,ArticleID791656,11pages
One-StepDynamicClassifierEnsembleModelforCustomerValueSegmentationwithMissingValues,
JinXiao,BingZhu,GeerTeng,ChangzhengHe,andDunhuLiu
Volume2014,ArticleID869628,15pages
EstimationofParametersinMean-RevertingStochasticSystems,TianhaiTian,YanliZhou,
YonghongWu,andXiangyuGe
Volume2014,ArticleID317059,8pages
TheRoleofWealthandHealthinInsuranceChoice:BivariateProbitAnalysisinChina,
YidingYueandJinyouZou
Volume2014,ArticleID658205,9pages
RegretTheoryandEquilibriumAssetPrices,JiliangSheng,JianWang,andJunYang
Volume2014,ArticleID912652,7pages
RandomizedBinomialTreeandPricingofAmerican-StyleOptions,HuXiaopingandCaoJie
Volume2014,ArticleID291737,6pages
PerformanceEvaluationofPortfolioswithMarginRequirements,HuiDing,ZhongbaoZhou,HeluXiao,
ChaoqunMa,andWenbinLiu
Volume2014,ArticleID618706,8pages
RiskMeasureandEarly-WarningSystemofChina’sStockMarketBasedonPrice-EarningsRatioand
Price-to-BookRatio,RongdaChen,ShengYe,andXianchaoHuang
Volume2014,ArticleID612758,8pages
AnEntropyTestingModelResearchontheQualityofInternalControlandAccountingConservatism:
EmpiricalEvidencefromtheFinancialCompaniesofChinafrom2007to2011,ZongrunWang,
YanChen,YanjuZhou,andYanboJin
Volume2014,ArticleID475050,9pages
SocialInteractionandStockMarketParticipation:EvidencefromChina,ZhifengLiu,TingtingZhang,
andXiaoguangYang
Volume2014,ArticleID906564,9pages
EstimationofNonlinearDynamicPanelDataModelswithIndividualEffects,YiHu,DongmeiGuo,
YingDeng,andShouyangWang
Volume2014,ArticleID672610,7pages
AModelforInfluenceofNuclear-ElectricityIndustryonAreaEconomy,ZigenOuyangandHuiWang
Volume2014,ArticleID792307,7pages
TheKirchhoffIndexofFoldedHypercubesandSomeVariantNetworks,JiabaoLiu,Xiang-FengPan,
YiWang,andJindeCao
Volume2014,ArticleID380874,9pages
GARCH-TypeModelwithContinuousandJumpVariationforStockVolatilityandItsEmpiricalStudy
inChina,HuannanZhangandQiujunLan
Volume2014,ArticleID386721,8pages
Cross-CorrelationsbetweenEnergyandEmissionsMarkets:NewEvidencefromFractaland
MultifractalAnalysis,Gang-JinWang,ChiXie,ShouChen,andFengHan
Volume2014,ArticleID197069,13pages
PricingOptionsandConvertibleBondsBasedonanActuarialApproach,JianLiu,LizhaoYan,
andChaoqunMa
Volume2013,ArticleID676148,9pages
OligopolyPowerProducer’sCapacityInvestmentModelwithContractsforDifferences,XinhuaZhang,
HairongHuang,andXiaohuaXia
Volume2013,ArticleID654124,13pages
OntheUseofBackwardDifferenceFormulaetoImprovethePredictionofDirectioninMarketRelated
Data,E.Momoniat,C.Harley,andM.Berman
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ARule-BasedModelforBankruptcyPredictionBasedonanImprovedGeneticAntColonyAlgorithm,
YudongZhang,ShuihuaWang,andGenlinJi
Volume2013,ArticleID753251,10pages