Details about Gechun Liang

Access statistics for papers by Gechun Liang.

Last updated 2020-05-19. Update your information in the RePEc Author Service.

Short-id: pli708

Working Papers

2024

1. Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility
   Papers, arXiv.org View citations (5)

2023

2. Optimal investment and consumption with forward preferences and uncertain parameters
   Papers, arXiv.org View citations (6)

2020

3. Analysis of the optimal exercise boundary of American put options with delivery lags
   Papers, arXiv.org
4. Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
   Papers, arXiv.org View citations (2)
5. Systems of ergodic BSDEs arising in regime switching forward performance processes
   Papers, arXiv.org View citations (9)

2019

6. An ergodic BSDE approach to entropic risk measure and its large time behavior
   Post-Print, HAL View citations (2)
7. Dynkin games with Poisson random intervention times
   Papers, arXiv.org View citations (3)

2018

8. Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
   Papers, arXiv.org View citations (8)

2017

9. An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
   Papers, arXiv.org View citations (3)
   See also Journal Article An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior, Finance and Stochastics, Springer (2019) View citations (10) (2019)

2016

10. Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE
    Papers, arXiv.org View citations (12)

2015

11. A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk
    Papers, arXiv.org View citations (5)
12. Dynkin Game of Convertible Bonds and Their Optimal Strategy
    Papers, arXiv.org View citations (4)
13. Funding Liquidity, Debt Tenor Structure, and Creditor's Belief: An Exogenous Dynamic Debt Run Model
    Papers, arXiv.org View citations (8)
14. Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints
    Papers, arXiv.org View citations (8)

2014

15. Pseudo Linear Pricing Rule for Utility Indifference Valuation
    Papers, arXiv.org View citations (8)
    See also Journal Article Pseudo linear pricing rule for utility indifference valuation, Finance and Stochastics, Springer (2014) View citations (8) (2014)

2010

16. A Functional Approach to FBSDEs and Its Application in Optimal Portfolios
    Papers, arXiv.org View citations (1)

Journal Articles

2019

1. An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
   Finance and Stochastics, 2019, 23, (1), 239-273 View citations (10)
   See also Working Paper An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior, Papers (2017) View citations (3) (2017)

2014

2. A Multiperiod Bank Run Model for Liquidity Risk
   Review of Finance, 2014, 18, (2), 803-842 View citations (7)
3. Pseudo linear pricing rule for utility indifference valuation
   Finance and Stochastics, 2014, 18, (3), 593-615 View citations (8)
   See also Working Paper Pseudo Linear Pricing Rule for Utility Indifference Valuation, Papers (2014) View citations (8) (2014)

2011

4. THE VALUATION OF THE BASKET CDS IN A PRIMARY-SUBSIDIARY MODEL
   Asia-Pacific Journal of Operational Research (APJOR), 2011, 28, (02), 213-238