Zobrazeno 1 - 10
of 48
pro vyhledávání: '"Gechun Liang"'
Autor:
JACKSON, JOE1 jjackso1@utexas.edu, GECHUN LIANG2 g.liang@warwick.ac.uk
Publikováno v:
SIAM Journal on Control & Optimization. 2023, Vol. 61 Issue 3, p1273-1296. 24p.
Publikováno v:
Probability, Uncertainty & Quantitative Risk; 2023, Vol. 8 Issue 1, p1-32, 32p
Autor:
Gechun Liang, Zhou Yang
A make-your-mind-up option is an American derivative with delivery lags. We show that its put option can be decomposed as a European put and a new type of American-style derivative. The latter is an option for which the investor receives the Greek Th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6ed6b98d12cc7a12fb83a5a0e0a46c14
http://wrap.warwick.ac.uk/146986/1/WRAP-Analysis-optimal-exercise-boundary-2021.pdf
http://wrap.warwick.ac.uk/146986/1/WRAP-Analysis-optimal-exercise-boundary-2021.pdf
Autor:
Gechun Liang, Xingchun Wang
This paper proposes a hybrid credit risk model, in closed form, to price vulnerable options with stochastic volatility. The distinctive features of the model are threefold. First, both the underlying and the option issuer’s assets follow the Heston
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9458f6b6df5233730b24a6fe50afba4e
This paper studies an optimal forward investment problem in an incomplete market with model uncertainty, in which the underlying stocks depend on the correlated stochastic factors. The uncertainty stems from the probability measure chosen by an inves
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a2981181fa882e74524c81f86cdc60a0
http://wrap.warwick.ac.uk/156565/7/WRAP-game-theoretical-approach-homothetic-robust-forward-investment-performance-processes-stochastic-factor-models-Liang-2021.pdf
http://wrap.warwick.ac.uk/156565/7/WRAP-game-theoretical-approach-homothetic-robust-forward-investment-performance-processes-stochastic-factor-models-Liang-2021.pdf
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b6f24c9b8027db998eba5891e7af4cfc
https://doi.org/10.2139/ssrn.3944223
https://doi.org/10.2139/ssrn.3944223
Publikováno v:
SIAM Journal on Control and Optimization
We propose an approximation scheme for a class of semilinear parabolic equations that are convex and coercive in their gradients. Such equations arise often in pricing and portfolio management in incomplete markets and, more broadly, are directly con
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::70bea469de4ccdc3abe933ddc4a89394
Publikováno v:
SIAM Journal on Control and Optimization
SIAM Journal on Control and Optimization, 2020, 58 (4), pp.2503-2534. ⟨10.1137/18M1234783⟩
SIAM Journal on Control and Optimization, Society for Industrial and Applied Mathematics, 2020, 58 (4), pp.2503-2534. ⟨10.1137/18M1234783⟩
SIAM Journal on Control and Optimization, 2020, 58 (4), pp.2503-2534. ⟨10.1137/18M1234783⟩
SIAM Journal on Control and Optimization, Society for Industrial and Applied Mathematics, 2020, 58 (4), pp.2503-2534. ⟨10.1137/18M1234783⟩
We introduce and solve a new type of quadratic backward stochastic differential equation systems defined in an infinite time horizon, called \emph{ergodic BSDE systems}. Such systems arise naturally as candidate solutions to characterize forward perf
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::17884db924c744748cf7f437a0ff7017
https://hal.science/hal-02938705
https://hal.science/hal-02938705
Publikováno v:
Probability, Uncertainty & Quantitative Risk; 3/1/2022, Vol. 7 Issue 1, p13-30, 18p
This paper studies the properties of the optimal portfolio-consumption strategies in a {finite horizon} robust utility maximization framework with different borrowing and lending rates. In particular, we allow for constraints on both investment and c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f85ebaeb2e3078399b13084bfa147948
http://wrap.warwick.ac.uk/112400/1/WRAP-constrained-portfolio-consumption-uncertain-Liang-2018.pdf
http://wrap.warwick.ac.uk/112400/1/WRAP-constrained-portfolio-consumption-uncertain-Liang-2018.pdf