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Gechun Liang · Study

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Gechun Liang

10 works· latest 2020· 4 institutionscluster: provisionalORCID 0000-0003-0752-0773

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Citations227

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Most cited in this library

Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE2017 · 32 citations
A Multi-Period Bank-Run Model for Liquidity Risk2011 · 30 citations
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior2018 · 28 citations
A modified structural model for credit risk2011 · 23 citations
Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs2018 · 22 citations

Works

10 shown

Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes

Review of Derivatives Research·2020·2 authors

19citations

Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes

SIAM Journal on Control and Optimization·2020·3 authors·Open access

21citations

Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs

Mathematics and Financial Economics·2018·3 authors·Open access

22citations

An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior

Finance and Stochastics·2018·4 authors·Open access

28citations

Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE

SIAM Journal on Financial Mathematics·2017·2 authors

32citations

Optimal switching at Poisson random intervention times

Discrete and Continuous Dynamical Systems - B·2016·2 authors·Open access

17citations

Funding liquidity, debt tenor structure, and creditor’s belief: an exogenous dynamic debt run model

Mathematics and Financial Economics·2015·3 authors·Open access

17citations

Pseudo linear pricing rule for utility indifference valuation

Finance and Stochastics·2014·2 authors·Open access

18citations

A modified structural model for credit risk

IMA Journal of Management Mathematics·2011·2 authors

23citations

A Multi-Period Bank-Run Model for Liquidity Risk

European Finance Review·2011·3 authors·Open access

30citations