Projects per year
Personal profile
Personal profile
Yaofei Xu received his Ph.D. from the University of Glasgow in 2021. His research interests are mainly related to quantitative finance. He is also interested in applying theory in the real capital market.
Research interests
Option Pricing
Asset Pricing
Credit Risk
Fundamental Valuation
Market Microstructure
Term Structure Modeling
Experience
Assistant Professor, Xian Jiaotong Liverpool University (2023‐Present)
Awards and honours
Visiting Scholar, Baruch College, City University of New York, USA, 2019-2020
Education/Academic qualification
PhD in Finance, University of Glasgow, 2021
MSc in Financial Engineering, University of London, Birkbeck, 2016
MSc in Finance and Investment, University of Nottingham, 2013
Person Types
- Staff
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Collaborations and top research areas from the last five years
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Projects
- 1 Active
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Cross-Sectional Variation of Stock Option Risk Premium
1/01/24 → 31/12/26
Project: Internal Research Project
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Cross-Sectional Variation of Risk-targeting Option Portfolios
Wu, L. & Xu, Y., 2024, FMA 2024 conference on derivatives & volatility; 13th International Conference on Futures and Derivatives; IFABS 2024 Shanghai Conference.Research output: Chapter in Book or Report/Conference proceeding › Conference Proceeding › peer-review
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Greeks-Neutral Option Excess Returns
Hong, Y., Liu, P., Xu, Y. & Zhang, Z., Nov 2024, 13th International Conference on Futures and Derivatives.Research output: Chapter in Book or Report/Conference proceeding › Conference Proceeding › peer-review
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Identifying Stock Option Mispricing at a Large Cross Section
Xu, Y., Wang, S., Zhang, D. & Li, Z., 2024, 13th International Conference on Futures and Derivatives.Research output: Chapter in Book or Report/Conference proceeding › Conference Proceeding › peer-review
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Predict Stock Return Variance Across the Information Cycle
Wu, L. & Xu, Y., Jul 2024, China International Conference in Finance (CICF) .Research output: Chapter in Book or Report/Conference proceeding › Conference Proceeding › peer-review
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Relative Asset Valuation: A Global Perspective
Hong, Y., Xu, Y. & Zhang, Z., Dec 2024, IFABS 2024 Shanghai Conference.Research output: Chapter in Book or Report/Conference proceeding › Conference Proceeding › peer-review