no code implementations • 29 Dec 2023 • Gechun Liang, Yifan Sun, Thaleia Zariphopoulou
We, also, consider representative examples for both forward performance criteria with random endowment and forward OCE, and for the case of exponential criteria, we investigate the connection between forward OCE and forward entropic risk measures.
no code implementations • 8 Nov 2023 • Gechun Liang, Moris S. Strub, Yuwei Wang
We consider a new framework of predictable relative forward performance processes (PRFPP) to study portfolio management within a competitive environment.
no code implementations • 3 Nov 2021 • 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.
no code implementations • 17 Oct 2021 • 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.
no code implementations • 6 May 2020 • Juan Li, Wenqiang Li, Gechun Liang
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.
no code implementations • 26 Jan 2020 • Gechun Liang, Xingchun Wang
This paper proposes a hybrid credit risk model, in closed form, to price vulnerable options with stochastic volatility.
no code implementations • 3 Jul 2018 • Wing Fung Chong, Gechun Liang
This paper studies robust forward investment and consumption preferences within a zero-volatility context.
no code implementations • 8 May 2018 • Gechun Liang, Zhou Yang
A make-your-mind-up option is an American derivative with delivery lags.