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Search Results: 1 - 10 of 36986 matches for " Huiwen Yan "
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A Variational Inequality from Pricing Convertible Bond
Yan Huiwen,Yi Fahuai
Advances in Difference Equations , 2011,
Abstract: The model of pricing American-style convertible bond is formulated as a zero-sum Dynkin game, which can be transformed into a parabolic variational inequality (PVI). The fundamental variable in this model is the stock price of the firm which issued the bond, and the differential operator in PVI is linear. The optimal call and conversion strategies correspond to the free boundaries of PVI. Some properties of the free boundaries are studied in this paper. We show that the bondholder should convert the bond if and only if the price of the stock is equal to a fixed value, and the firm should call the bond back if and only if the price is equal to a strictly decreasing function of time. Moreover, we prove that the free boundaries are smooth and bounded. Eventually we give some numerical results.
A Variational Inequality from Pricing Convertible Bond
Huiwen Yan,Fahuai Yi
Advances in Difference Equations , 2011, DOI: 10.1155/2011/309678
Abstract:
Adaptive neuro fuzzy inference system for classification of water quality status

Han Yan,Zhihong Zou,Huiwen Wang,

环境科学学报(英文版) , 2010,
Abstract: An adaptive neuro fuzzy inference system was used for classifying water quality status of river. It applied several physical and inorganic chemical indicators including dissolved oxygen, chemical oxygen demand, and ammonia-nitrogen. A data set (nine weeks, total 845 observations) was collected from 100 monitoring stations in all major river basins in China and used for training and validating the model. Up to 89.59% of the data could be correctly classified using this model. Such performance was more competitive when compared with artificial neural networks. It is applicable in evaluation and classification of water quality status.
Three solutions for singular p-Laplacian type equations
Zhou Yang,Di Geng,Huiwen Yan
Electronic Journal of Differential Equations , 2008,
Abstract: In this paper, we consider the singular $p$-Laplacian type equation $$displaylines{ -hbox{div}(|x|^{-eta} a(x, abla u)) =lambda f(x,u),quad hbox{in }Omega,cr u=0,quad hbox{on }partialOmega, }$$ where $0leqeta Keywords p-Laplacian operator --- singularity --- multiple solutions
Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints
Huiwen Yan,Gechun Liang,Zhou Yang
Quantitative Finance , 2015,
Abstract: This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differential utility of both intertemporal consumption and terminal wealth, and the uncertain prospects are ranked according to a multiple-priors model of Chen and Epstein (2002). The price is determined by two optimal stochastic control problems (mixed with optimal stopping time in the case of American option) of forward-backward stochastic differential equations. By means of backward stochastic differential equation and partial differential equation methods, we show that both bid and ask prices are closely related to the Black-Scholes risk-neutral price with modified dividend rates. The two prices will actually coincide with each other if there is no trading constraint or the model uncertainty disappears. Finally, two applications to European option and American option are discussed.
Dynkin Game of Convertible Bonds and Their Optimal Strategy
Huiwen Yan,Zhou Yang,Fahuai Yi,Gechun Liang
Quantitative Finance , 2015,
Abstract: This paper studies the valuation and optimal strategy of convertible bonds as a Dynkin game by using the reflected backward stochastic differential equation method and the variational inequality method. We first reduce such a Dynkin game to an optimal stopping time problem with state constraint, and then in a Markovian setting, we investigate the optimal strategy by analyzing the properties of the corresponding free boundary, including its position, asymptotics, monotonicity and regularity. We identify situations when call precedes conversion, and vice versa. Moreover, we show that the irregular payoff results in the possibly non-monotonic conversion boundary. Surprisingly, the price of the convertible bond is not necessarily monotonic in time: it may even increase when time approaches maturity.
Effects of DIMBOA on impulse discharges of maxillary lateral sensillum styloconicum of armyworm larvae
Dongmei Yang,Lin’er Luo,Fengmin Yan,Huiwen Cheng,Peiai Zhou
Chinese Science Bulletin , 1997, DOI: 10.1007/BF02882527
Abstract:
Soil fungistasis and its relations to soil microbial composition and diversity: a case study of a series of soils with different fungistasis

Wu Minna,Zhang Huiwen,Li Xinyu,Zhang Yan,Su Zhencheng,Zhang Chenggang,

环境科学学报(英文版) , 2008,
Abstract: Fungistasis is one of the important approaches to control soil-borne plant pathogens.Some hypotheses about the mechanisms for soil fungistasis had been established,which mainly focused on the soil bacterial community composition,structure,diversity as well as function.In this study,the bacterial community composition and diversity of a series of soils treated by autoclaving,which coming from the same original soil sample and showing gradient fungistasis to the target soil-borne pathogen fungi Fusarium gr...
Effect of methamidophos on soil fungi community in microcosms by plate count, DGGE and clone library analysis

LI Xinyu,ZHANG Huiwen,WU Minna,ZHANG Yan,ZHANG Chenggang,

环境科学学报(英文版) , 2008,
Abstract: Methamidophos was widely used a pesticide in northern China. The potential influences of methamidophos on soil fungal community in black soil were assessed by plate count, 28S rDNA-PCR-DGGE, and clone library analysis. Three methamidophos levels (50, 150, and 250 mg/kg) were tested in soil microcosms. Results from plate count during a 60-d microcosm experiment showed that high concentrations of methamidophos (250 mg/kg) could significantly stimulate fungal populations. DCGE (denaturing gradient gel electrophoresis) fingerprinting patterns showed a significant difference between the responses of culturable and total fungi communities under the stress of methamidophos. Shannon diversity indices calculated from DGGE profiles indicated that culturable fungi in all microcosms with methamidophos treatment increased after 1 week of incubation. However, the diversity indices of total fungi decreased in the first week, as compared to the stimulation of culturable fungi. At the 8th week, however, all the microcosms treated by methamidophos were similar to the control microcosms in community structure as suggested by the Shannon diversity indices for both culturable and total fungi. In contrast, after 1 week the fungal structure of culturable and unculturable both were disturbed to different extent under the stresses of methamidophos by clustering analysis. Clone sequencing analysis indicated the stimulation of pathogenic and unculturable fungal populations by methamidophos treatment, suggetsing potential risks of plant disease outbreak.
Effects of DIMBOA on impulse discharges of maxillary lateral sensillum styloconicum of armyworm larvae

Dongmei Yang,Lin&#,er Luo,Fengmin Yan,Huiwen Cheng,Peiai Zhou,

科学通报(英文版) , 1997,
Abstract:
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