Ruyi Liu | Financial Mathematics | Best Scholar Award

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Dr. Ruyi Liu | Financial Mathematics | Best Scholar Award

Researcher at The Hong Kong Polytechnic University, Australia📖

Dr. Ruyi Liu is a Research Fellow in Financial Mathematics at The Hong Kong Polytechnic University. His research focuses on pairs-trading strategies, financial mathematics, and stochastic analysis. He has contributed to high-impact journals in quantitative finance, stochastic processes, and financial derivatives pricing. With extensive experience in stochastic control and mathematical finance, he collaborates with leading researchers globally and supervises Ph.D. and Master’s students in related fields.

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Education Background🎓

Dr. Liu obtained his Ph.D. in Statistics from Shandong University, China, in 2020, under the supervision of Prof. Zhen Wu, with a dissertation on optimal pairs-trading strategies and forward-backward stochastic differential equations. He earned his B.S. degree in Applied Mathematics from Shandong University in 2014, establishing a strong foundation in probability theory and stochastic analysis.

Professional Experience🌱

Dr. Liu is currently a Research Fellow at The Hong Kong Polytechnic University (since August 2024), working on pairs-trading strategies and financial mathematics in collaboration with Prof. Zuoquan Xu. Previously, he was a Postdoctoral Fellow (Level A) at The University of Sydney (2021–2024), where he focused on pricing of options and superannuation products with market and credit risk, under the mentorship of Prof. Marek Rutkowski. His research has influenced financial risk management, derivative pricing, and investment strategies.

Research Interests🔬

Dr. Liu’s research interests include pairs-trading strategies, financial derivatives pricing, stochastic control, forward-backward stochastic differential equations (FBSDEs), and market risk modeling. He specializes in developing optimal trading and pricing models for financial markets, incorporating stochastic volatility, credit risk, and Markov-switching models. His work provides mathematical frameworks for hedging, portfolio optimization, and financial risk management.

Author Metrics

Dr. Liu has published in top-tier journals, including Automatica, Quantitative Finance, Applied Energy, and Science China-Mathematics. His research spans financial pricing, stochastic differential equations, and optimization in trading strategies. He has multiple papers under review in high-impact journals, such as Finance & Stochastics and SIAM Journal on Financial Mathematics. His publications address key challenges in quantitative finance, risk management, and mathematical modeling.

Awards & Honors

Dr. Liu received a Chinese Postdoctoral Science Foundation Grant (AUD 70,000) for his research on pairs-trading strategies and stochastic models. He has also co-supervised students who received the University Medal for Outstanding Theses at The University of Sydney. His contributions to financial mathematics have been recognized through international conference presentations and research collaborations with leading experts in stochastic finance.
Publications Top Notes 📄

1. Well-posedness of a class of two-point boundary value problems associated with ordinary differential equations

  • Authors: R. Liu, Z. Wu
  • Journal: Advances in Difference Equations
  • Year: 2018
  • Pages: 1-12
  • Citations: 11
  • Summary: This paper investigates the well-posedness of two-point boundary value problems related to ordinary differential equations (ODEs). The authors analyze the existence, uniqueness, and stability of solutions under specific conditions. The findings contribute to a deeper understanding of differential equation theory and its applications in various mathematical and engineering contexts.

2. Pairs-Trading under Geometric Brownian Motions: An Optimal Strategy with Cutting Losses

  • Authors: R. Liu, Z. Wu, Q. Zhang
  • Journal: Automatica
  • Year: 2020
  • Volume: 115
  • Article ID: 108912
  • Citations: 10
  • Summary: This study proposes an optimal trading strategy for pairs trading under a geometric Brownian motion model. The model incorporates a cutting-loss mechanism to manage risks effectively. The authors develop a framework for determining optimal trade execution and stopping strategies in financial markets, contributing to algorithmic trading and portfolio management.

3. Well-posedness of Fully Coupled Linear Forward-Backward Stochastic Differential Equations

  • Authors: R. Liu, Z. Wu
  • Journal: Journal of Systems Science and Complexity
  • Year: 2019
  • Volume: 32
  • Issue: 3
  • Pages: 789-802
  • Citations: 5
  • Summary: The paper examines fully coupled linear forward-backward stochastic differential equations (FBSDEs). It establishes conditions for the well-posedness of these equations, including existence and uniqueness of solutions. The results are significant for financial mathematics, stochastic control, and applied probability.

4. Continuous-Time Mean-Variance Portfolio Selection under Non-Markovian Regime-Switching Model with Random Horizon

  • Authors: T. Chen, R. Liu, Z. Wu
  • Journal: Journal of Systems Science and Complexity
  • Year: 2023
  • Volume: 36
  • Issue: 2
  • Pages: 457-479
  • Citations: 4
  • Summary: This paper explores a continuous-time mean-variance portfolio selection problem within a non-Markovian regime-switching framework. It introduces a random horizon to reflect uncertain investment periods. The authors develop optimization strategies for asset allocation, with applications in quantitative finance and risk management.

5. Well-posedness and Penalization Schemes for Generalized BSDEs and Reflected Generalized BSDEs

  • Authors: L. Li, R. Liu, M. Rutkowski
  • Journal: arXiv Preprint
  • Year: 2022
  • Article ID: arXiv:2212.12854
  • Citations: 3
  • Summary: This preprint investigates the well-posedness and penalization methods for generalized backward stochastic differential equations (BSDEs) and reflected BSDEs. The authors develop analytical techniques for solving these equations, with implications in stochastic control, financial mathematics, and applied probability.

Conclusion

Dr. Ruyi Liu is an outstanding candidate for the Best Scholar Award due to his high-impact research, technical expertise, global collaborations, and mentorship efforts. His work has significantly contributed to quantitative finance, stochastic analysis, and financial mathematics. While he could further expand his industry collaborations and interdisciplinary research, his current contributions make him a strong contender for this award.

Grazia Onorato- Systematic risk in financial Market- Women Researcher Award

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Grazia Onorato- Systematic risk in financial Market

Dr.  Grazia Onorato distinguished academic and researcher in the field Systematic risk in financial Market.  She possesses proficiency in Italian as her native language and holds a B2 level in English, as per the Common European Framework of Reference for Languages. Her computer skills include ECDL certification and proficiency in MS Office 2013 (Word, Excel, Access, PowerPoint), as well as Internet browsers like Explorer and Google Chrome. In terms of additional qualifications, she has conducted seminars on various topics related to climate risk management and European regulations at the Department of Economics of the University of Foggia. She has also participated in doctoral courses and webinars organized by prestigious institutions such as the Banca d’Italia and the Value Reporting Foundation, covering subjects ranging from mathematical finance to sustainability reporting. Through these activities, she has demonstrated a commitment to continuous learning and professional development in her field.

🌐 Professional Profiles

Educations: 📚🎓

She is a Research Fellow at the University of Foggia’s Department of Economics (SSD SECS-P/11) since June 22, 2022, working on the project titled “Fintech and the Innovation Process in Financial Intermediation.” Prior to this, she completed her Ph.D. in Economics and Management with a focus on Management and Technology at the University of Bari Aldo Moro, defending her thesis entitled “Climate Risk in the Financial System: Impacts and Implementation for Banks and Insurances” in May 2023. She also participated in the ADEIMF 2022 Summer School on “Methods and Techniques of Research in Banking and Finance” at the University Parthenope in September 2022, and she attended a course on Econometric Analysis at the University of Calabria’s Summer School in July 2021. She achieved her Master’s degree in Economics and Finance with the highest honors (110/110 cum laude) from the University of Foggia in October 2019. Additionally, she completed a 24 CFU educational path in anthropo-psychopedagogical disciplines and teaching methodologies in January 2018.

“Global Summit of Integrated Reporting Communities“, organizzato dalla Value
Reporting Foundation (VRF) il 13 ottobre 2021.
– Webinar “The evolution of sustainability reporting” organizzato da Meditari
Accountancy Research il 22 ottobre 2021.
– Webinar organizzato dalla Fondazione O.I.B.R. in collaborazione con AIFIRM dal titolo
“La complessità informativa della sostenibilità: dalla disclosure ai rating ESG e creditizi”,
martedì 14 dicembre 2021.
– Seminario tenuto dal prof. Francesco Campobasso, in modalità telematica, dal titolo
“Corporate financial distress and bankruptcy”, organizzato dal Dipartimento di
Economia, Management e Diritto dell’Impresa dell’Università degli Studi di Bari Aldo
Moro, il giorno 16 dicembre 2021.
– Convegno ABI dal titolo “L’integrazione dei fattori di rischio climatici e ambientali”,
30-31 marzo e 1° aprile 2021.
– Convegno ABI dal titolo “L’integrazione dei Fattori di Rischio Climatici e Ambientali
nelle banche LSI: i passaggi necessari, gli impatti e le prospettive”, il 10 e 11
maggio 2022.
– Scuola Estiva di Economia e Diritto in “Rischi, regolamentazione e stabilità finanziaria.
Criticità e prospettive” – Operatori ed accademia a confronto. Cagliari, 26-30 giugno
2023, Facoltà di Scienze Economiche, Politiche e Giuridiche.
– Corso ABI dal titolo “Audit ESG: il ruolo della funzione audit e le principali attività” – 3
e 4 ottobre 2023.
– Seminario annuale ABI dal titolo “Funzioni aziendali di controllo. La sfida del Risk
(Re)mapping”- 15 e 16 novembre 2023.

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