papers
Publications (12)
math.OC2019
Dynkin games with Poisson random intervention times
Gechun Liang, Haodong Sun
q-fin.PM2014
Pseudo Linear Pricing Rule for Utility Indifference Valuation
Vicky Henderson, Gechun Liang
q-fin.PR2015
A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk
Vicky Henderson, Gechun Liang
math.PR2012
Backward stochastic dynamics on a filtered probability space
Gechun Liang, Terry Lyons, Zhongmin Qian
q-fin.MF2016
Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE
Gechun Liang, Thaleia Zariphopoulou
math.PR2014
Optimal Switching at Poisson Random Intervention Times
Gechun Liang, Wei Wei
q-fin.MF2017
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
Wing Fung Chong, Ying Hu, Gechun Liang +1
q-fin.MF2015
Dynkin Game of Convertible Bonds and Their Optimal Strategy
Huiwen Yan, Zhou Yang, Fahuai Yi +1
math.PR2015
Stochastic Control Representations for Penalized Backward Stochastic Differential Equations
Gechun Liang
q-fin.RM2015
Funding Liquidity, Debt Tenor Structure, and Creditor's Belief: An Exogenous Dynamic Debt Run Model
Gechun Liang, Eva Lütkebohmert, Wei Wei
q-fin.MF2015
Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints
Huiwen Yan, Gechun Liang, Zhou Yang
q-fin.PM2018
Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
Zhou Yang, Gechun Liang, Chao Zhou