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Liang, Gechun's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
253 |
Total
Citations
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1.
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Henderson, Vicky
University of Oxford - Oxford Man Institute Liang, Gechun
University of Oxford - Oxford-Man Institute of Quantitative Finance
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113
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counterparty risk of derivatives, utility indifference pricing, quadratic BSDE, FBSDE, semi-linear PDE, splitting method
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2.
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Liang, Gechun
University of Oxford - Oxford-Man Institute of Quantitative Finance Jiang, Lishang
Tongji University - Institute of Mathematics
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95
(140,082)
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Credit risk, Structural models, Credit spread, Utility indifference valuation, HJB equations
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3.
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Liang, Gechun
University of Oxford - Oxford-Man Institute of Quantitative Finance Lütkebohmert, Eva
University of Freiburg (Germany) Wei , Wei
affiliation not provided to SSRN
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16 Sep 12
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Last Revised:
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11 Nov 12
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45
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structural credit risk model, bank run, rollover risk, first passage time, optimal stopping time
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Records 1 -
3
of 3 matches
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