Dr Gechun Liang
D.Phil., M.Sc., B.Ec.
- Postdoctoral Research Fellow at Oxford-Man Institute of Quantitative Finance
gechun [dot] liang [-at-] oxford-man [dot] ox [dot] ac [dot] uk
Reception/Secretary: +44 01865 616600
Direct: +44 01865 616621
Walton Well Road,
Oxford, OX2 6ED
24-29 St Giles'
I am a Postdoctoral Research Fellow at the Oxford-Man Institute of Quantitative Finance, starting from Michaelmas Term 2010. Prior to that, I was a student member of the Oxford-Man Institute, whilst completing my D.Phil. (Ph.D.) in
Mathematics at the Mathematical Institute under the supervision of
Professor Terry Lyons and Dr Zhongmin Qian.
My research interests are mainly focused on mathematical finance and stochastic analysis. I am especially interested in backward stochastic differential equations (BSDEs), rough path theory, optimal investment and credit risk modeling and management.
- A multi-period bank-run model for liquidity risk (with Eva Lütkebohmert and Yajun Xiao), Review of Finance, accepted.
- The backward stochastic dynamics on a filtered probability space (with Terry Lyons and Zhongmin Qian), Annals of Probability, Vol.39, No.4, (2011), 1422-1448.
- A modified structural model for credit risk (with Lishang Jiang), IMA Journal of Management Mathematics, Vol.23, No.2, (2012), 147-170.
- The valuation of the basket CDSs in a primary-subsidiary model (with Jianwei Lin, Sen Wu and Harry Zheng), Asia-Pacific Journal of Operational Research, Vol.28, No.2, (2011), 213-238.
- The credit risk and pricing of OTC options (with Xuemin Ren), Asia-Pacific Financial Markets, Vol.14, No.1, (2007), 45-68.
- A continuous time structural model for insolvency, recovery and rollover risks (with Eva Lütkebohmert and Wei Wei), arXiv:1209.3513v1.
- Fully coupled forward-backward stochastic dynamics and functional differential systems (with Matteo Casserini), arXiv:1112.4978v1.
- A multidimensional exponential utility indifference pricing model with applications to counterparty risk (with Vicky Henderson), arXiv:1111.3856v1.
- A functional approach to FBSDEs and its application in optimal portfolios (with Terry Lyons and Zhongmin Qian), arXiv:1011.4499v1.
- Pseudo linear pricing rule for utility indifference valuation (with Vicky Henderson), Revised and resubmitted.
Tutor and Teaching Assistant for the following courses: Stochastic Differential Equations, Applied Partial Differential Equations, Mathematical Models of Financial Derivatives, Financial Derivatives, etc.