Rex Liu’s personal webpage

I am Rex Liu, a second-year student in the Master of Science in Computational Finance (MSCF) program at Carnegie Mellon University’s Tepper School of Business. I earned my Master’s in Mathematics from New York University’s (NYU) Courant Institute, where I also completed my undergraduate degree in Honors Mathematics with minors in Computer Science and Cinema Studies at the Tisch School of the Arts.

Selected Coursework

• PhD Level Math: Real & Complex Analysis, Probability Theory & Stochastic Analysis, Theory of ODEs, Intro to PDEs, Convex Optimization, Machine Learning;
• Grad Level Mathematical Finance: Simulation and optimization for finance, Stochastic calculus and derivative pricing models, Market microstructure and algorithmic trading, Risk and portfolio management;
• Undergrad Level: Honors Numerical Analysis, Data Structures & Algorithms, Mathematical Statistics, Honors Abstract Algebra I, Combinatorics, Computer Systems Organization

Writing Samples

Most of the following are samples containing selected pages from the full document, intended to demonstrate the style and scope of the full work. In accordance with faculty requests to uphold academic integrity, the rest are not publicly available.

• Lecture Notes on Stochastic Calculus for Finance II
• Problem Sets with Solutions to Convex Optimization
• Problem Sets with Solutions to Probability Theory and Stochastic Analysis

Projects

• (Ongoing, over 200 pages completed with over 180 exercises) Preparation for Quantitative Finance Interviews (Preview)
• Research Presentation in Convex Optimization: The Proximal Point Method
• Research Report in Large Deviation and Interface Models: Cluster Swapping Techniques and Properties of Surface Tension, with Jianliang Ye
• Research Report in Machine Learning: Class Embeddings Enter Class-conditional Diffusion Models, with Zixuan Dong, Chuanyang Jin, and Peiqi Liu
• Research Presentation in Cryptocurrency and Blockchains: Shamir’s secret sharing, with Sushmanth Kakulla and Paul Wawszczyk
• Research Presentation in Topological Graph Theory: The Heawood Conjecture

Miscellaneous

• Programming Languages: Python, Q, R, MATLAB, Julia, Java, C/C++
• Competition Honors: 3rd place at Harvard-MIT Math Tournament, AMC/AIME MOP cutoff, Ross math camp alum
• Interests: Cinema studies, Paleontology, Culinary arts