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 1 22 0 0 1 75
A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk 0 0 0 25 0 0 1 86
An ergodic BSDE approach to entropic risk measure and its large time behavior 0 0 0 0 0 2 4 11
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior 0 0 0 19 0 0 1 12
Analysis of the optimal exercise boundary of American put options with delivery lags 0 0 0 2 1 1 2 14
Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs 0 0 0 7 1 1 9 32
Dynkin Game of Convertible Bonds and Their Optimal Strategy 0 0 1 1 1 1 5 12
Dynkin games with Poisson random intervention times 0 0 0 25 0 0 2 31
Exponential utility maximization and indifference valuation with unbounded payoffs 0 0 0 11 0 1 10 19
Funding Liquidity, Debt Tenor Structure, and Creditor's Belief: An Exogenous Dynamic Debt Run Model 0 0 0 23 0 0 2 96
Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints 0 0 0 8 0 0 1 19
Optimal investment and consumption with forward preferences and uncertain parameters 0 0 2 23 1 2 9 27
Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes 0 0 8 8 0 0 7 7
Pseudo Linear Pricing Rule for Utility Indifference Valuation 0 0 0 9 0 0 5 20
Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE 0 0 0 1 0 0 1 11
Systems of ergodic BSDEs arising in regime switching forward performance processes 0 0 0 9 0 2 8 23
Total Working Papers 0 0 12 193 4 10 68 495


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 1 2 18 4 4 9 39
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior 0 0 0 0 0 0 6 13
Pseudo linear pricing rule for utility indifference valuation 0 0 0 1 0 0 2 23
THE VALUATION OF THE BASKET CDS IN A PRIMARY-SUBSIDIARY MODEL 0 0 0 1 0 0 1 6
Total Journal Articles 1 1 2 20 4 4 18 81


Statistics updated 2021-01-03