Gechun Liang

Lecturer in Financial Mathematics at the Department of Mathematics, King's College London

Gechun Liang is a Lecturer in Financial Mathematics at the Department of MathematicsKing's College London, since 2013. Prior to that, he was a Postdoctoral Research Fellow at the Oxford-Man Institute of Quantitative Finance from 2010 to 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 InstituteOxford University in 2011, under the supervision of Terry Lyons and Zhongmin Qian

His 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. 

He has recently been working on forward utility theory of optimal investment with Thaleia Zariphopoulou and found a way to characterise a rich class of Markovian forward utilities by using ergodic backward stochastic differental equations. Currently he is working on incorporating reinforcemet learning into the forward theory, by adapting the ideas and techniques from machine learning.

 


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.