I am a Reader at the Department of Statistics. My past positions include Associate Professor in the University of Warwick, Lecturer in King’s College London and Postdoctoral Research Fellow at the Oxford-Man Institute of Quantitative Finance. In 2018-2019, I was awarded FRIAS Senior Fellow and Marie Curie Fellow at the Freiburg Institute of Advanced Studies (FRIAS), University of Freiburg. I completed my D.Phil. (Ph.D.) in Mathematics at the Mathematical Institute, Oxford University in 2011.

The link to my personal webpage and CV . 

My research interests are mainly focused on mathematical finance and stochastic control. I am especially interested in

• stochastic control and backward stochastic differential equations;
• optimal stopping and free boundary problems;
• viscosity solutions and numerics;
• optimal investment and forward preferences;
• credit and funding liquidity risks.

Selected publications:  

• Callable convertible bonds under liquidity constraints and hybrid priorities, (with David Hobson and Edward Wang), SIAM Journal on Financial Mathematics, Vol.15, No. 4, (2024), 1083-1123.  
• A monotone scheme for G-equations with application to the explicit convergence rate of robust central limit theorem, (with Shuo Huang), Journal of Differential Equations, Vol.398, (2024), 1-37.  
• Predictable forward performance processes: Infrequent evaluation and applications to human-machine interactions, (with Moris Strub and Yuwei Wang), Mathematical Finance, Vol.33, No.4, (2023), 1248-1286.  
• A new monotonicity condition for ergodic BSDEs and ergodic control with super-quadratic Hamiltonians, (with Joe Jackson), SIAM Journal on Control and Optimization, Vol.61, No.3, (2023), 1273-1296.  
• A universal robust limit theorem for nonlinear Levy processes under sublinear expectation, (with Mingshang Hu, Lianzi Jiang and Shige Peng), Probability, Uncertainty and Quantitative Risk, Vol.8, No.1, (2023), 1—32.  
• A game theoretical approach to homothetic robust forward investment performance processes in stochastic factor models, (with Juan Li and Wenqiang Li), SIAM Journal on Financial Mathematics, Vol.12, No.2, (2021), 867–-897.  
• Systems of ergodic BSDE arising in regime switching forward performance processes, (with Ying Hu and Shanjian Tang), SIAM Journal on Control and Optimization, Vol.58, No.4, (2020), 2503-2534.  
• An approximation scheme for semilinear parabolic PDEs with convex and coercive Hamiltonians, (with Shuo Huang and Thaleia Zariphopoulou), SIAM Journal on Control and Optimization, Vol.58, No.1, (2020), 165–191.  
• Dynkin games with Poisson random intervention times, (with Haodong Sun), SIAM Journal on Control and Optimization, Vol.57, No. 4, (2019), 2962-–2991.  
• An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior, (with Wing Fung Chong, Ying Hu and Thaleia Zariphopoulou), Finance and Stochastics, Vol.23, No.1, (2019), 239—273.  
• Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE, (with Thaleia Zariphopoulou), SIAM Journal on Financial Mathematics, Vol.8, No.1, (2017), 344-372.  
• A multidimensional exponential utility indifference pricing model with applications to counterparty risk, (with Vicky Henderson), SIAM Journal on Control and Optimization, Vol.54, No.2, (2016), 690-717.
• Stochastic control representations for penalized backward stochastic differential equations, SIAM Journal on Control and Optimization, Vol.53, No.3, (2015), 1440-1463. 
• Funding liquidity, debt tenor structure, and creditor’s belief: An exogenous dynamic debt run model, (with Eva Lutkebohmert and Wei Wei), Mathematics and Financial Economics, Vol.9, No.4, (2015), 271-302.
• Pseudo linear pricing rule for utility indifference valuation, (with Vicky Henderson), Finance and Stochastics, Vol.18, No.3, (2014), 593-615.
• A multi-period bank run model for liquidity risk, (with Eva Lutkebohmert and Yajun Xiao), Review of Finance, Vol.18, No.2, (2014), 803-842.
• The backward stochastic dynamics on a filtered probability space, (with Terry Lyons and Zhongmin Qian), Annals of Probability, Vol.39, No.4, (2011), 1422-1448.

The link to my publications. 

Gechun Liang

Department of Statistics

University of Warwick

Coventry, CV4 7AL, U.K.

Email: g.liang@warwick.ac.uk

Office: MS Building 2.07

Telephone: +44 024 76528036

Office hours: Wed/Fri 2:30-3:30.