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Details about Gechun Liang

E-mail:
Homepage:https://sites.google.com/site/lianggechun1982/home
Workplace:Oxford-Man Institute of Quantitative Finance, Oxford University, (more information at EDIRC)

Access statistics for papers by Gechun Liang.

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

Short-id: pli708


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Working Papers

2020

  1. Analysis of the optimal exercise boundary of American put options with delivery lags
    Papers, arXiv.org Downloads
  2. Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
    Papers, arXiv.org Downloads
  3. Systems of ergodic BSDEs arising in regime switching forward performance processes
    Papers, arXiv.org Downloads View citations (1)

2019

  1. An ergodic BSDE approach to entropic risk measure and its large time behavior
    Post-Print, HAL View citations (1)
  2. Dynkin games with Poisson random intervention times
    Papers, arXiv.org Downloads
  3. Optimal investment and consumption with forward preferences and uncertain parameters
    Papers, arXiv.org Downloads View citations (3)

2018

  1. Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
    Papers, arXiv.org Downloads View citations (3)
  2. Exponential utility maximization and indifference valuation with unbounded payoffs
    Papers, arXiv.org Downloads View citations (3)

2017

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

2016

  1. Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE
    Papers, arXiv.org Downloads View citations (8)

2015

  1. A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk
    Papers, arXiv.org Downloads View citations (4)
  2. Dynkin Game of Convertible Bonds and Their Optimal Strategy
    Papers, arXiv.org Downloads View citations (2)
  3. Funding Liquidity, Debt Tenor Structure, and Creditor's Belief: An Exogenous Dynamic Debt Run Model
    Papers, arXiv.org Downloads View citations (6)
  4. Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints
    Papers, arXiv.org Downloads View citations (4)

2014

  1. Pseudo Linear Pricing Rule for Utility Indifference Valuation
    Papers, arXiv.org Downloads View citations (7)
    See also Journal Article in Finance and Stochastics (2014)

2010

  1. A Functional Approach to FBSDEs and Its Application in Optimal Portfolios
    Papers, arXiv.org Downloads 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 Downloads View citations (4)
    See also Working Paper (2017)

2014

  1. A Multiperiod Bank Run Model for Liquidity Risk
    Review of Finance, 2014, 18, (2), 803-842 Downloads View citations (6)
  2. Pseudo linear pricing rule for utility indifference valuation
    Finance and Stochastics, 2014, 18, (3), 593-615 Downloads View citations (7)
    See also Working Paper (2014)

2011

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