Access Statistics for Gechun Liang

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Functional Approach to FBSDEs and Its Application in Optimal Portfolios 0 0 0 22 0 0 0 75
A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk 0 0 0 25 0 1 1 87
An ergodic BSDE approach to entropic risk measure and its large time behavior 0 0 0 0 0 1 3 12
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior 0 0 0 19 1 1 2 13
Analysis of the optimal exercise boundary of American put options with delivery lags 0 0 0 2 1 1 3 15
Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs 0 0 0 7 0 0 6 32
Dynkin Game of Convertible Bonds and Their Optimal Strategy 0 0 0 1 0 0 1 12
Dynkin games with Poisson random intervention times 1 1 1 26 1 2 3 33
Exponential utility maximization and indifference valuation with unbounded payoffs 0 0 0 11 1 1 8 20
Funding Liquidity, Debt Tenor Structure, and Creditor's Belief: An Exogenous Dynamic Debt Run Model 0 0 0 23 1 1 2 97
Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints 0 0 0 8 0 0 0 19
Optimal investment and consumption with forward preferences and uncertain parameters 0 0 2 23 1 3 8 30
Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes 0 0 0 8 0 1 7 8
Pseudo Linear Pricing Rule for Utility Indifference Valuation 0 0 0 9 0 0 1 20
Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE 0 1 1 2 0 2 3 13
Systems of ergodic BSDEs arising in regime switching forward performance processes 0 0 0 9 1 3 10 26
Total Working Papers 1 2 4 195 7 17 58 512


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Multiperiod Bank Run Model for Liquidity Risk 1 2 4 20 1 2 8 41
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior 0 0 0 0 0 3 7 16
Pseudo linear pricing rule for utility indifference valuation 0 0 0 1 0 0 1 23
THE VALUATION OF THE BASKET CDS IN A PRIMARY-SUBSIDIARY MODEL 0 0 0 1 0 1 2 7
Total Journal Articles 1 2 4 22 1 6 18 87


Statistics updated 2021-04-06