23 citations · 85 across the 29 of their papers we have counts for
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math.PR2011★ 3 cited
Fully coupled forward-backward stochastic dynamics and functional differential systems
Matteo Casserini, Gechun Liang
This article introduces and solves a general class of fully coupled forward-backward stochastic dynamics by investigating the associated system of functional differential equations…
q-fin.PR2011
A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk
Vicky Henderson, Gechun Liang
This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model subject to inter-temporal default risk, and provides a semigroup approx…