Gechun Liang

Associate Professor at the Department of Statistics, University of Warwick.

Gechun Liang is an Associate Professor at the Department of Statistics, University of Warwick. Prior to that, he was a Lecturer at the Department of Mathematics, King’s College London (2013-2017); a Postdoctoral Research Fellow at the Oxford-Man Institute of Quantitative Finance (2010-2013). He is still affiliated with the Oxford-Man Institute, where he now holds Associate Membership. 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.


Working Paper

Henderson, V. and Liang, G. (2012). A multidimensional exponential utility to indifference pricing model with applications, Working Paper, Mathematical Institute, University of Oxford, Oxford.
Liang, G., Lütkebohmert, E. and Xiao, Y. (2011). A multi-period bank run model for liquidity risk.
Liang, G., Lutkebohmert, E. and Wei, W. (2013). Funding liquidity, debt tenor structure, and creditor's belief: an exogenous dynamic debt run model.
Liang, G. and Zariphopoulou, T. (2016). Representation of homothetic forward performance processes via ergodic and infinite horizon quadratic BSDE in stochastic.........
Chong, W.F., Hu, Y., Liang, G. and Zariphopoulou, T. (2017). An ergodic BSDE approach to entropic risk measure and its large time behavior.

Published Research

Henderson, V. and Liang, G. (2014). Pseudo linear pricing rule for utility indifference valuation. Finance and Stochastics. 18 (3). 593-615.
Liang, G., Lyons, T. and Qian, Z. (2011). Backward stochastic dynamics on a filtered probability space. Annals of Probability. 39 (4). 1422-1448.
Liang, G. and Jiang, L.A (2011). A modified structural model for credit risk. IMA Journal of Management Mathematics. tbc. tbc.
Liang, G., Lyons, T. and Qian, Z. (2011). Backward stochastic dynamics on a filtered probability space. Annals of Probability. 39 (4). 1422-1448.
Liang, G. and Ren, X. (2007). The credit risk and pricing of OTC options. Asia-Pacific Financial Markets. 14 (1-2). 45-68.
Liang, G. (2016). Stochastic control representations for penalized backward stochastic differential equations. SIAM Journal on Control and Optimization. 53(3). 1440-1463.