Ruyi Liu-homepage
Room 2072 @
The Anita B. Lawrence Centre,
Kensington Campus, Sydney
Lecturer, School of Math & Stats , UNSW Sydney
Email: ruyi.liu2@unsw.edu.au
My research interests:
- Stochastic Control (Game)
- (Backward) Stochastic Differential Equations
- and their Applications in real-world markets
My research focuses on stochastic control and (backward) stochastic differential equations (BSDEs/FBSDEs), with applications to real-world markets—including finance, commodities, and electricity systems. I develop analytical frameworks to solve optimal stopping/control problems, particularly those involving stock trading strategies and financial derivatives pricing under market/hazard risks. Additionally, I also investigated the existence, uniqueness, and regularity of complex BSDEs/FBSDEs arising in the topics above.
If you have any questions regarding my research or want to collaborate, feel free to contact me anytime. I am looking for highly motivated students. Feel free to drop me an email with your CV and transcripts.
Employment
University of New South Wales, Sydney
Lecturer, School of Mathematics and Statistics, 2025-
Hong Kong Polytechnic University
Resaerch Fellow, Stochastic control/stopping problems, 2024-2025
The University of Sydney
Postdoc, Vulnerable option pricing and related BSDEs ,2021-2024
Education
Shandong University
PhD, Financial Mathematics, 2020
BSc, Mathematics & Statistics, 2014
Updates
| Aug, 2025 | Our work “Pairs trading: An optimal selling rule with constraints” is published online by Communications in Mathematical Sciences |
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| Jul, 2025 | Our work “Optimal Information Disclosure In A Stackelberg Game” is accessible online |
| Jul, 2025 | Officially started the Lecturer role at Math & Stats School @ UNSW. |
| May, 2025 | Our work “Vulnerable European and American options in a market model with optional hazard process” is accepted by Finance and Stochastics |
| Feb, 2025 | Our work “Data-Driven interval robust optimization method of VPP Bidding strategy in spot market under multiple uncertainties” is published by Applied Energy |