Prof. LIU Guangwu
劉光梧教授
Professor
PhD - Industrial Engineering and Logistics Management (The Hong Kong University of Science and Technology)
BSc - Information and Computing Science (Tsinghua University)
+852 34428304
Fax
+852 34420189
Office
LAU-7-247
Email
guanliu@cityu.edu.hk
Public CV
https://www.cb.cityu.edu.hk/portfolio/getCV.cfm?filename=193810.pdf&eid=guanliu…

Research Areas

Financial Engineering, Risk Management
Stochastic Simulation
Machine learning
Business analytics

External Academic Activities

PeriodOrganizerCountry / RegionRole
1/2018 - NowNaval Research LogisticsUnited States of AmericaAssociate Editor
1/2022 - 12/2023Operations ResearchUnited States of AmericaAssociate Editor

Awards

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

Research Grant

PI: "Adaptive sampling methods for ranking and estimation problems", General Research Fund - The Hong Kong Research Grants Council, Amount: 779652 (2024-2025), Guangwu Liu
PI: "Financial Systemic Risk Measures based on Monte Carlo Simulation: Theory and Methods", NSFC/RGC Joint Research Scheme - National Natural Science Foundation of China & The Hong Kong Research Grants Council, Amount: 1185561 (2022-2025), L. Jeff Hong (Mainland PI), Guangwu Liu (HK PI)
PI: "Simulation Methods for Sensitivities of Expectations with Nested Discontinuity", General Research Fund - The Hong Kong Research Grants Council, Amount: 543993 (2022-2023), Guangwu Liu
PI: "Machine learning methods for portfolio risk measurement", General Research Fund - The Hong Kong Research Grants Council, Amount: 750656 (2020-2022), Guangwu Liu
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

Publications

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
Liu, Guangwu; Zhang, Kun / A TUTORIAL ON NESTED SIMULATION. December 2024; 2024 Winter Simulation Conference (WSC 2024). pp. 1-15
Liang, Guo; Liu, Guangwu; Zhang, Kun / AN EFFICIENT FINITE-DIFFERENCE APPROXIMATION. December 2024; Proceedings of the 2024 Winter Simulation Conference. pp. 455-466
Kuang, Xianyu; Liu, Guangwu / NESTED SIMULATION FOR VALUE-AT-RISK WITH PRECISION TOLERANCE. December 2024; Proceedings of the 2024 Winter Simulation Conference (WSC). pp. 395-406
Zhang, Manjing; He, Yulin; Liu, Guangwu; Dai, Shan / Input Uncertainty Quantification Via Simulation Bootstrapping. December 2023; 2023 Winter Simulation Conference (WSC). pp. 3693-3704
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. December 2017; Proceedings of the 2017 Winter Simulation Conference. pp. 1938-1949
Zhang, Kun; Liu, Guangwu; Wang, Shiyu / PORTFOLIO RISK MEASUREMENT VIA STOCHASTIC MESH. December 2017; Proceedings of the 2017 Winter Simulation Conference. 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