23 citations · 85 across the 29 of their papers we have counts for
7 papers · 1 filter
Callable convertible bonds under liquidity constraints and hybrid priorities
David Hobson, Gechun Liang, Edward Wang
This paper investigates the callable convertible bond problem in the presence of a liquidity constraint modelled by Poisson signals. We assume that neither the bondholder nor the f…
Predictable Forward Performance Processes: Infrequent Evaluation and Applications to Human-Machine Interactions
Gechun Liang, Moris S. Strub, Yuwei Wang
We study discrete-time predictable forward processes when trading times do not coincide with performance evaluation times in a binomial tree model for the financial market. The key…
Optimal investment and consumption with forward preferences and uncertain parameters
Wing Fung Chong, Gechun Liang
This paper studies robust forward investment and consumption preferences within a zero-volatility context. Different from previous works, we consider an incomplete financial market…
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
Wing Fung Chong, Ying Hu, Gechun Liang +1
Using elements from the theory of ergodic backward stochastic differential equations (BSDE), we study the behavior of forward entropic risk measures. We provide their general repre…
Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE
Gechun Liang, Thaleia Zariphopoulou
In an incomplete market, with incompleteness stemming from stochastic factors imperfectly correlated with the underlying stocks, we derive representations of homothetic (power, exp…
Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints
Huiwen Yan, Gechun Liang, Zhou Yang
This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differ…
Dynkin Game of Convertible Bonds and Their Optimal Strategy
Huiwen Yan, Zhou Yang, Fahuai Yi +1
This paper studies the valuation and optimal strategy of convertible bonds as a Dynkin game by using the reflected backward stochastic differential equation method and the variatio…