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
Research Areas
Financial Engineering, Risk Management
Stochastic Simulation
Machine learning
Business analytics
External Academic Activities
| Period | Organizer | Country / Region | Role |
|---|---|---|---|
| 1/2018 - Now | Naval Research Logistics | United States of America | Associate Editor |
| 1/2022 - 12/2023 | Operations Research | United States of America | Associate Editor |
Awards
| Award Title | Institution |
|---|---|
| The 2012-2013 Early Career Award | The Research Grants Council of Hong Kong |
| The 2012 Outstanding Simulation Publication Award | INFORMS 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
Ge, Yu; Liu, Guangwu; Shen, Houcai / Nested Simulation for Conditional Value-at-Risk with Discrete Losses. October 2024; In: Asia-Pacific Journal of Operational Research. Vol. 41, No. 5
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
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