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1

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

Chong, Wing Fung, Hu, Ying, Liang, Gechun, Zariphopoulou, Thaleia

Journal:

Finance and Stochastics

Year:

2019

Language:

english

File:

PDF, 1.58 MB

english, 2019

2

BACKWARD STOCHASTIC DYNAMICS ON A FILTERED PROBABILITY SPACE

Gechun Liang, Terry Lyons and Zhongmin Qian

Journal:

The Annals of Probability

Year:

2011

Language:

english

File:

PDF, 1.45 MB

english, 2011

3

The Credit Risk and Pricing of OTC Options

Gechun Liang, Xuemin Ren

Journal:

Asia-Pacific Financial Markets

Year:

2007

Language:

english

File:

PDF, 345 KB

english, 2007

4

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

Liang, Gechun, Lütkebohmert, Eva, Wei, Wei

Journal:

Mathematics and Financial Economics

Year:

2015

Language:

english

File:

PDF, 786 KB

english, 2015

5

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

Liang, Gechun, Zariphopoulou, Thaleia

Journal:

SIAM Journal on Financial Mathematics

Year:

2017

Language:

english

File:

PDF, 310 KB

english, 2017

6

Pseudo linear pricing rule for utility indifference valuation

Henderson, Vicky, Liang, Gechun

Journal:

Finance and Stochastics

Year:

2014

Language:

english

File:

PDF, 780 KB

english, 2014

7

Fully coupled forward–backward stochastic dynamics and functional differential systems

Casserini, Matteo, Liang, Gechun

Journal:

Stochastics and Dynamics

Year:

2015

Language:

english

File:

PDF, 380 KB

english, 2015

8

Indifference pricing and hedging in a multiple-priors model with trading constraints

Yan, HuiWen, Liang, GeChun, Yang, Zhou

Journal:

Science China Mathematics

Year:

2015

Language:

english

File:

PDF, 342 KB

english, 2015

9

THE VALUATION OF THE BASKET CDS IN A PRIMARY-SUBSIDIARY MODEL

LIN, JIANWEI, LIANG, GECHUN, WU, SEN, ZHENG, HARRY

Journal:

Asia Pacific Journal of Operational Research

Year:

2011

Language:

english

File:

PDF, 275 KB

english, 2011

10

Dynkin game of convertible bonds and their optimal strategy

Yan, Huiwen, Yi, Fahuai, Yang, Zhou, Liang, Gechun

Journal:

Journal of Mathematical Analysis and Applications

Year:

2015

Language:

english

File:

PDF, 1.27 MB

english, 2015

11

Stochastic Control Representations for Penalized Backward Stochastic Differential Equations

Journal:

SIAM Journal on Control and Optimization

Year:

2015

Language:

english

File:

PDF, 277 KB

english, 2015

12

Backward stochastic dynamics on a filtered probability space

Liang, Gechun, Lyons, Terry, Qian, Zhongmin

Journal:

The Annals of Probability

Year:

2011

Language:

english

File:

PDF, 239 KB

english, 2011

13

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

Liang, Gechun, Zariphopoulou, Thaleia

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 312 KB

english, 2016

14

An Ergodic BSDE Approach to Forward Entropic Risk Measures: Representation and Large-Maturity Behavior

Chong, Wing Fung, Hu, Ying, Liang, Gechun, Zariphopoulou, Thaleia

Journal:

SSRN Electronic Journal

Year:

2016

File:

PDF, 882 KB

2016

15

Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs

Yang, Zhou, Liang, Gechun, Zhou, Chao

Journal:

Mathematics and Financial Economics

Year:

2019

File:

PDF, 891 KB

2019

16

Dynkin Games with Poisson Random Intervention Times

Liang, Gechun, Sun, Haodong

Journal:

SIAM Journal on Control and Optimization

Year:

2019

Language:

english

File:

PDF, 604 KB

english, 2019

17

An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians

Huang, Shuo, Liang, Gechun, Zariphopoulou, Thaleia

Journal:

SIAM Journal on Control and Optimization

Year:

2020

Language:

english

File:

PDF, 441 KB

english, 2020

18

Pricing vulnerable options in a hybrid credit risk model driven by HestonâNandi GARCH processes

Liang, Gechun, Wang, Xingchun

Journal:

Review of Derivatives Research

Year:

2020

File:

PDF, 1.50 MB

2020

19

Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes

Hu, Ying, Liang, Gechun, Tang, Shanjian

Journal:

SIAM Journal on Control and Optimization

Year:

2020

File:

PDF, 489 KB

2020