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
Jump to Journal Articles
Working Papers
2020
- Analysis of the optimal exercise boundary of American put options with delivery lags
Papers, arXiv.org
- Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
Papers, arXiv.org View citations (2)
- Systems of ergodic BSDEs arising in regime switching forward performance processes
Papers, arXiv.org View citations (2)
2019
- An ergodic BSDE approach to entropic risk measure and its large time behavior
Post-Print, HAL View citations (2)
- Dynkin games with Poisson random intervention times
Papers, arXiv.org View citations (1)
- Optimal investment and consumption with forward preferences and uncertain parameters
Papers, arXiv.org View citations (5)
2018
- Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
Papers, arXiv.org View citations (5)
- Exponential utility maximization and indifference valuation with unbounded payoffs
Papers, arXiv.org View citations (3)
2017
- An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
Papers, arXiv.org View citations (3)
See also Journal Article in Finance and Stochastics (2019)
2016
- Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE
Papers, arXiv.org View citations (11)
2015
- A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk
Papers, arXiv.org View citations (5)
- Dynkin Game of Convertible Bonds and Their Optimal Strategy
Papers, arXiv.org View citations (4)
- Funding Liquidity, Debt Tenor Structure, and Creditor's Belief: An Exogenous Dynamic Debt Run Model
Papers, arXiv.org View citations (7)
- Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints
Papers, arXiv.org View citations (6)
2014
- Pseudo Linear Pricing Rule for Utility Indifference Valuation
Papers, arXiv.org View citations (8)
See also Journal Article in Finance and Stochastics (2014)
2010
- A Functional Approach to FBSDEs and Its Application in Optimal Portfolios
Papers, arXiv.org View citations (1)
Journal Articles
2019
- An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
Finance and Stochastics, 2019, 23, (1), 239-273 View citations (6)
See also Working Paper (2017)
2014
- A Multiperiod Bank Run Model for Liquidity Risk
Review of Finance, 2014, 18, (2), 803-842 View citations (8)
- Pseudo linear pricing rule for utility indifference valuation
Finance and Stochastics, 2014, 18, (3), 593-615 View citations (8)
See also Working Paper (2014)
2011
- THE VALUATION OF THE BASKET CDS IN A PRIMARY-SUBSIDIARY MODEL
Asia-Pacific Journal of Operational Research (APJOR), 2011, 28, (02), 213-238
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