Gechun Liang

Postdoctoral Research Fellow at Oxford-Man Institute

Gechun Liang joined the Oxford-Man Institute as a Postdoctoral Research Fellow in the Michaelmas Term of 2010. Prior to that, he was a student member of the Institute whilst completing a DPhil in Mathematics at the Mathematical Institute under the supervision of Professor Terry Lyons and Dr Zhongmin Qian.

He has a Master’s Degree in Mathematics from Tongji University, and studied finance as an undergraduate in Jilin University.

His research interests are mainly focused on mathematical finance and applied probability. He is especially interested in backward stochastic differential equations and credit risk modelling.

Related Research: Efficient Markets, Risk Premia and Market Anomalies, Stability of Financial Systems
Personal Website

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.

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Liang, G. Lütkebohmert, E. and Xiao, Y. (2011). A Multi-Period Bank Run Model for Liquidity Risk.

Published Research

Liang, G., Lyons, T. and Qian, Z. (2011). Liang, G., Lyons, T. and Qian, Z. (2011) Backward stochastic dynamics on a filtered probability space. Annals of Probability. 39 (4), 1422-1448.. Annals of Probability .
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Liang, G. and Jiang, L., A (2011). Liang, G. and Jiang, L. (2011) A modified structural model for credit risk. IMA Journal of Management Mathematics.. IMA Journal of Management Mathematics .
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Liang, G., Lyons, T. and Qian, Z. (2011). Liang, G., Lyons, T. and Qian, Z. (2011) Backward Stochastic Dynamics on a Filtered Probablity Space. Annals of Probability, 39 (4), 1422-1448.. Annals of Probability, 39 (4), 1422-1448..
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Liang, G., and Ren, X. (2007). Liang, G., and Ren, X. (2007) The credit risk and pricing of OTC options. Asia-Pacific Financial Markets, 14 (1-2), 45-68.. Asia-Pacific Financial Markets, 14 (1-2), 45-68..
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