People and Research People

People Details

Prof. LIU Guangwu

劉光梧教授

Acting Head (MS)
Professor

Address
7-247, Lau Ming Wai Academic Building, City University of Hong Kong
Phone
+852 34428304
Fax
+852 34420189
Public CV

Research Areas

Financial Engineering, Risk Management
Stochastic Simulation
Machine learning
Business analytics

Qualifications

PhD - Industrial Engineering and Logistics Management (The Hong Kong University of Science and Technology)
BSc - Applied Maths (Tsinghua University)

Awards

Award TitleInstitution
The 2012-2013 Early Career AwardThe Research Grants Council of Hong Kong
The 2012 Outatanding Simulation Publication AwardINFORMS Simulation Society

Research Grants

PI: "Measuring the performance of simulation metamodels", General Research Fund - The Hong Kong Research Grants Council, (2018-2020), Guangwu Liu

PI: "A likelihood ratio method for nested simulation", General Research Fund - The Hong Kong Research Grants Council, (2017-2019), Guangwu Liu

PI: "Joint Chance Constrained Programming: A Gradient Perspective", General Research Fund - The Hong Kong Research Grants Council, (2016-2018), Guangwu Liu

PI: "An optimal stopping approach to portfolio risk measurement", General Research Fund - The Hong Kong Research Grants Council, (2014-2016), Guangwu Liu

PI: "A change-of-variable approach to conditional Monte Carlo", General Research Fund - The Hong Kong Research Grants Council, (2013-2015), Guangwu Liu

PI: "A kernel method for pricing and hedging American path-dependent options", Early Career Scheme - The Hong Kong Research Grants Council, (2012-2014), Guangwu Liu

PI: "Fast simulation of capital allocation for credit portfolios", General Research Fund - The Hong Kong Research Grants Council, (2011-2013), Guangwu Liu

PI: "A conditional Monte Carlo method for simulating conditional expectations", General Research Fund - The Hong Kong Research Grants Council, (2010-2012), Guangwu Liu

PI: "Fast simulation of American option pricing", Start-Up Grant - City University of Hong Kong, (2009-2011), Guangwu Liu

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Publications

Journal Publications and Reviews

HONG, L. Jeff; Juneja, Sandeep; LIU, Guangwu / Kernel smoothing for nested estimation with application to portfolio risk measurement. May 2017; In: Operations Research. Vol. 65, No. 3, pp. 657-673

Tong, Shaolong; Liu, Guangwu / Importance Sampling for Option Greeks with Discontinuous Payoffs. May 2016; In: INFORMS Journal on Computing. Vol. 28, No. 2, pp. 223-235

Liu, Guangwu / Simulating risk contributions of credit portfolios. February 2015; In: Operations Research. Vol. 63, No. 1, pp. 104-121

Hong, L. Jeff; Hu, Zhaolin; Liu, Guangwu / Monte carlo methods for value-at-risk and conditional value-at-risk: A review. August 2014; In: ACM Transactions on Modeling and Computer Simulation. Vol. 24, No. 4

Liu, Guangwu; Hong, L. Jeff / Kernel estimation of the greeks for options with discontinuous payoffs. January 2011; In: Operations Research. Vol. 59, No. 1, pp. 96-108

Hong, L. Jeff; Liu, Guangwu / Pathwise estimation of probability sensitivities through terminating or steady-state simulations. March 2010; In: Operations Research. Vol. 58, No. 2, pp. 357-370

Liu, Guangwu; Hong, L. Jeff / Revisit of stochastic mesh method for pricing American options. November 2009; In: Operations Research Letters. Vol. 37, No. 6, pp. 411-414

Liu, Guangwu; Hong, Liu Jeff / Kernel estimation of quantile sensitivities. September 2009; In: Naval Research Logistics. Vol. 56, No. 6, pp. 511-525

Hong, L. Jeff; Liu, Guangwu / Simulating sensitivities of Conditional value at risk. February 2009; In: Management Science. Vol. 55, No. 2, pp. 281-293

Chapters, Conference Papers, Creative and Literary Works

Liu, Guangwu; Shi, Wen; Zhang, Kun / AN UPPER CONFIDENCE BOUND APPROACH TO ESTIMATING COHERENT RISK MEASURES. December 2019; Proceedings of the 2019 Winter Simulation Conference. pp. 914-925

Wang, Shiyu; Liu, Guangwu; Zhang, Kun / A MISSPECIFICATION TEST FOR SIMULATION METAMODELS. January 2018; 2017 Winter Simulation Conference (WSC). pp. 1938-1949

Zhang, Kun; Liu, Guangwu; Wang, Shiyu / PORTFOLIO RISK MEASUREMENT VIA STOCHASTIC MESH. January 2018; 2017 Winter Simulation Conference (WSC). pp. 1796-1807

Feng, Guiyun; Liu, Guangwu; Sun, Lihua / A nonparametric method for pricing and hedging American options. 2013; Proceedings of the 2013 Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013. pp. 691-700

Liu, Guangwu / A reflection-based variance reduction technique for sum of random variables. 2011; Proceedings - Winter Simulation Conference. pp. 3790-3799

Hong, L. Jeff; Liu, Guangwu / Monte Carlo estimation of value-at-risk, conditional value-at-risk and their sensitivities. 2011; Proceedings - Winter Simulation Conference. pp. 95-107

Liu, Guangwu / Importance sampling for risk contributions of credit portfolios. 2010; Proceedings - Winter Simulation Conference. pp. 2771-2781

Liu, Guangwu; Hong, L. Jeff / Revisit of stochastic mesh method for pricing American options. 2008; Proceedings - Winter Simulation Conference. pp. 594-601

Liu, Guangwu; Hongh, L. Jeff / Kernel estimation for quantile sensitivities. 2007; Proceedings - Winter Simulation Conference. pp. 941-948

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