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Gechun Liang

Personal Details

First Name:Gechun
Middle Name:
Last Name:Liang
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RePEc Short-ID:pli708
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https://sites.google.com/site/lianggechun1982/home

Affiliation

Oxford-Man Institute of Quantitative Finance
Oxford University

Oxford, United Kingdom
http://www.oxford-man.ox.ac.uk/

: +44 (0)1865 616600
+44 (0)1865 616601
Blue Boar Court, 9 Alfred Street, Oxford, OX1 4EH
RePEc:edi:omioxuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Vicky Henderson & Gechun Liang, 2014. "Pseudo Linear Pricing Rule for Utility Indifference Valuation," Papers 1403.7830, arXiv.org.
  2. Gechun Liang & Eva Lutkebohmert & Wei Wei, 2012. "Funding Liquidity, Debt Tenor Structure, and Creditor's Belief: An Exogenous Dynamic Debt Run Model," Papers 1209.3513, arXiv.org, revised Mar 2015.
  3. Vicky Henderson & Gechun Liang, 2011. "A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk," Papers 1111.3856, arXiv.org, revised Sep 2015.
  4. G. Liang & T. Lyons & Z. Qian, 2010. "A Functional Approach to FBSDEs and Its Application in Optimal Portfolios," Papers 1011.4499, arXiv.org.

Articles

  1. Vicky Henderson & Gechun Liang, 2014. "Pseudo linear pricing rule for utility indifference valuation," Finance and Stochastics, Springer, vol. 18(3), pages 593-615, July.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Vicky Henderson & Gechun Liang, 2014. "Pseudo Linear Pricing Rule for Utility Indifference Valuation," Papers 1403.7830, arXiv.org.

    Cited by:

    1. Ying Hu & Gechun Liang & Shanjian Tang, 2017. "Exponential utility maximization and indifference valuation with unbounded payoffs," Papers 1707.00199, arXiv.org, revised Jul 2018.
    2. Monique Jeanblanc & Thibaut Mastrolia & Dylan Possamaï & Anthony Réveillac, 2015. "Utility Maximization With Random Horizon: A Bsde Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(07), pages 1-43, November.
    3. Gechun Liang & Thaleia Zariphopoulou, 2015. "Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE," Papers 1511.04863, arXiv.org, revised Nov 2016.
    4. Wing Fung Chong & Ying Hu & Gechun Liang & Thaleia Zariphopoulou, 2016. "An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior," Papers 1607.02289, arXiv.org, revised Apr 2017.

  2. Gechun Liang & Eva Lutkebohmert & Wei Wei, 2012. "Funding Liquidity, Debt Tenor Structure, and Creditor's Belief: An Exogenous Dynamic Debt Run Model," Papers 1209.3513, arXiv.org, revised Mar 2015.

    Cited by:

    1. Andrey Krishenik & Andreea Minca & Johannes Wissel, 2015. "When do creditors with heterogeneous beliefs agree to run?," Finance and Stochastics, Springer, vol. 19(2), pages 233-259, April.
    2. Dermine, Jean, 2015. "Basel III leverage ratio requirement and the probability of bank runs," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 266-277.
    3. Klimenko, Nataliya & Moreno-Bromberg, Santiago, 2016. "The shadow costs of repos and bank liability structure," Journal of Economic Dynamics and Control, Elsevier, vol. 65(C), pages 1-29.

  3. Vicky Henderson & Gechun Liang, 2011. "A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk," Papers 1111.3856, arXiv.org, revised Sep 2015.

    Cited by:

    1. Michael Monoyios, 2012. "Malliavin calculus method for asymptotic expansion of dual control problems," Papers 1209.6497, arXiv.org, revised Oct 2013.
    2. I. Halperin & A. Itkin, 2012. "Pricing Illiquid Options with $N+1$ Liquid Proxies Using Mixed Dynamic-Static Hedging," Papers 1209.3503, arXiv.org.
    3. Benedetti, Giuseppe & Campi, Luciano, 2016. "Utility indifference valuation for non-smooth payoffs with an application to power derivatives," LSE Research Online Documents on Economics 63016, London School of Economics and Political Science, LSE Library.
    4. Igor Halperin & Andrey Itkin, 2013. "Pricing Illiquid Options With N + 1 Liquid Proxies Using Mixed Dynamic-Static Hedging," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(07), pages 1-17.

  4. G. Liang & T. Lyons & Z. Qian, 2010. "A Functional Approach to FBSDEs and Its Application in Optimal Portfolios," Papers 1011.4499, arXiv.org.

    Cited by:

    1. Vicky Henderson & Gechun Liang, 2011. "A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk," Papers 1111.3856, arXiv.org, revised Sep 2015.

Articles

  1. Vicky Henderson & Gechun Liang, 2014. "Pseudo linear pricing rule for utility indifference valuation," Finance and Stochastics, Springer, vol. 18(3), pages 593-615, July.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-UPT: Utility Models & Prospect Theory (2) 2011-11-21 2014-04-05. Author is listed
  2. NEP-BAN: Banking (1) 2012-09-30. Author is listed
  3. NEP-RMG: Risk Management (1) 2012-09-30. Author is listed

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