Research output per year
Research output per year
Personal profile
Biographical details
Gechun Liang is a Lecturer in Financial Mathematics at the Department of Mathematics since 2013. Prior to that, he was a Postdoctoral Research Fellow at the Oxford-Man Institute of Quantitative Finance from 2010 to 2013. He completed his D.Phil. (Ph.D.) in Mathematics at the Mathematical Institute, Oxford University in 2011, under the supervision of Terry Lyons and Zhongmin Qian.
Research interests
Gechun Liang's research interests are mainly focused on mathematical finance and stochastic analysis. He is especially interested in backward stochastic differential equations (BSDEs), rough path theory, optimal investment and credit risk modeling and management. For more details, please see his personal website.
Expertise related to UN Sustainable Development Goals
In 2015, UN member states agreed to 17 global Sustainable Development Goals (SDGs) to end poverty, protect the planet and ensure prosperity for all. This person’s work contributes towards the following SDG(s):
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- 1 Similar Profiles
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A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk
Henderson, V. & Liang, G., Mar 2016, In: SIAM JOURNAL ON CONTROL AND OPTIMIZATION. 54, 2, p. 690-717 28 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile9 Citations (Scopus)187 Downloads (Pure) -
Optimal Switching at Poisson Random Intervention Times
Liang, G. & Wei, W., Jul 2016, In: Discrete and continuous dynamical systems-Series b. 21, 5, p. 1483-1505 23 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile9 Citations (Scopus)206 Downloads (Pure) -
Dynkin game of convertible bonds and their optimal strategy
Yan, H., Yi, F., Yang, Z. & Liang, G., Jun 2015, In: Journal of Mathematical Analysis and Applications. 426, 1, p. 64-88 25 p.Research output: Contribution to journal › Article › peer-review
File5 Citations (Scopus)238 Downloads (Pure) -
Fully coupled forward-backward stochastic dynamics and functional differential systems
Casserini, M. & Liang, G., Jun 2015, In: Stochastics and Dynamics. 15, 2, 25 p.Research output: Contribution to journal › Article › peer-review
File203 Downloads (Pure) -
Funding Liquidity, Debt Tenor Structure, and Creditor's Belief: An Exogenous Dynamic Debt Run Model
Liang, G., Lütkebohmert, E. & Wei , W., 20 Mar 2015, (E-pub ahead of print) In: Mathematics and Financial Economics. 32 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile9 Citations (Scopus)219 Downloads (Pure)
Projects
- 1 Finished
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Forward stochastic control and ergodic backward stochastic differential equations
Liang, G. (Primary Investigator)
1/01/2017 → 31/12/2018
Project: Research