Prof. LIU Guangwu (劉光梧)

Research Output

  1. 2018
  2. Published

    A MISSPECIFICATION TEST FOR SIMULATION METAMODELS

    Wang, S., Liu, G. & Zhang, K., Jan 2018, 2017 Winter Simulation Conference (WSC). IEEE, p. 1938-1949 (Simulation Winter Conference).

    Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)Not applicablepeer-review

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  3. Published

    PORTFOLIO RISK MEASUREMENT VIA STOCHASTIC MESH

    Zhang, K., Liu, G. & Wang, S., Jan 2018, 2017 Winter Simulation Conference (WSC). IEEE, p. 1796-1807 8247917. (Simulation Winter Conference).

    Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)Not applicablepeer-review

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  4. 2017
  5. Published

    Kernel smoothing for nested estimation with application to portfolio risk measurement

    HONG, L. J., Juneja, S. & LIU, G., May 2017, In : Operations Research. 65, 3, p. 657-673

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

    Scopus citations: 4
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  6. 2016
  7. Published

    Importance Sampling for Option Greeks with Discontinuous Payoffs

    Tong, S. & Liu, G., May 2016, In : INFORMS Journal on Computing. 28, 2, p. 223-235

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

    Scopus citations: 3
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  8. 2015
  9. Published

    Simulating risk contributions of credit portfolios

    Liu, G., Feb 2015, In : Operations Research. 63, 1, p. 104-121

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

    Scopus citations: 8
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  10. 2014
  11. Published

    Monte carlo methods for value-at-risk and conditional value-at-risk: A review

    Hong, L. J., Hu, Z. & Liu, G., Aug 2014, In : ACM Transactions on Modeling and Computer Simulation. 24, 4, 5.

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

    Scopus citations: 29
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  12. 2013
  13. Published

    A nonparametric method for pricing and hedging American options

    Feng, G., Liu, G. & Sun, L., 2013, Proceedings of the 2013 Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013. p. 691-700 6721462

    Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)Not applicablepeer-review

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  14. 2011
  15. Published

    Kernel estimation of the greeks for options with discontinuous payoffs

    Liu, G. & Hong, L. J., Jan 2011, In : Operations Research. 59, 1, p. 96-108

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

    Scopus citations: 27
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  16. Published

    A reflection-based variance reduction technique for sum of random variables

    Liu, G., 2011, Proceedings - Winter Simulation Conference. p. 3790-3799 6148071

    Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)Not applicablepeer-review

    Check@CityULib
  17. Published

    Monte Carlo estimation of value-at-risk, conditional value-at-risk and their sensitivities

    Hong, L. J. & Liu, G., 2011, Proceedings - Winter Simulation Conference. p. 95-107 6147743

    Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)Not applicablepeer-review

    Scopus citations: 8
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  18. 2010
  19. Published

    Pathwise estimation of probability sensitivities through terminating or steady-state simulations

    Hong, L. J. & Liu, G., Mar 2010, In : Operations Research. 58, 2, p. 357-370

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

    Scopus citations: 15
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  20. Published

    Importance sampling for risk contributions of credit portfolios

    Liu, G., 2010, Proceedings - Winter Simulation Conference. p. 2771-2781 5678972

    Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)Not applicablepeer-review

    Scopus citations: 1
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  21. 2009
  22. Published

    Revisit of stochastic mesh method for pricing American options

    Liu, G. & Hong, L. J., Nov 2009, In : Operations Research Letters. 37, 6, p. 411-414

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

    Scopus citations: 6
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  23. Kernel estimation of quantile sensitivities

    Liu, G. & Hong, L. J., Sep 2009, In : Naval Research Logistics. 56, 6, p. 511-525

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

    Scopus citations: 15
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  24. Simulating sensitivities of Conditional value at risk

    Hong, L. J. & Liu, G., Feb 2009, In : Management Science. 55, 2, p. 281-293

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

    Scopus citations: 53
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  25. 2008
  26. Revisit of stochastic mesh method for pricing American options

    Liu, G. & Hong, L. J., 2008, Proceedings - Winter Simulation Conference. p. 594-601 4736118

    Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)Not applicablepeer-review

    Scopus citations: 1
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  27. 2007
  28. Kernel estimation for quantile sensitivities

    Liu, G. & Hongh, L. J., 2007, Proceedings - Winter Simulation Conference. p. 941-948 4419690

    Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)Not applicablepeer-review

    Scopus citations: 2
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