Prof. LIU Guangwu 刘光梧教授 Department of Management Sciences
Professor

Address
7-247, Lau Ming Wai Academic Building, City University of Hong Kong

Phone
+852 34428304

Fax
+852 34420189

Email
guanliu@cityu.edu.hk

Public CV
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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 - Information and Computing Science (Tsinghua University)


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


Research Grants PI: "Financial Systemic Risk Measures based on Monte Carlo Simulation: Theory and Methods
Simulation Methods for Sensitivities of Expectations with Nested Discontinuity
Machine learning methods for portfolio risk measurement
Measuring the performance of simulation metamodels
A likelihood ratio method for nested simulation
Joint Chance Constrained Programming: A Gradient Perspective
An optimal stopping approach to portfolio risk measurement
A change-of-variable approach to conditional Monte Carlo
A kernel method for pricing and hedging American path-dependent options
Fast simulation of capital allocation for credit portfolios
A conditional Monte Carlo method for simulating conditional expectations
Fast simulation of American option pricing", Start-Up Grant - City University of Hong Kong, (2009-2011), Guangwu Liu


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External Academic Activities PeriodOrganizerCountryRole
1/2022 - Now Operations Research United States of America Associate Editor
1/2018 - Now Naval Research Logistics United States of America Associate Editor


Publications Journal Publications and Reviews Zhong, Ying; Hong, L. Jeff; Liu, Guangwu / Earning and Learning with Varying Cost. August 2021; In: Production and Operations Management. Vol. 30, No. 8, pp. 2379-2394

Zhang, Kun; Liu, Guangwu; Wang, Shiyu / Bootstrap-based Budget Allocation for Nested Simulation. February 2021; In: Operations Research.

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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