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)
Teaching
MTH403 Introduction to Pricing and Hedging
MTH205 Introduction to Statistical Methods
MTH116 Foundations of Financial Computing
Awards and honours
2025 International Academic Conference on Digital Finance [Outstanding Paper]
2024 Jiangsu Province Innovation Entrepreneurship Doctor
2019 Visiting Scholar at Baruch College, City University of New York
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
Research areas
- Quantitative Finance
- Machine Learning
Keywords
- HG Finance
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
Xu, Y. (PI)
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., Mar 2026, In: Review of Asset Pricing Studies. 16, 1, p. 133-161 29 p.Research output: Contribution to journal › Article › peer-review
1 Citation (Scopus) -
The Resilient Contour of Limit Order Books
Xu, Y., Hong, Y. & Liu, Y., Jun 2026, 2026 Chengdu International Conference on Machine Learning in Finance and Econometrics.Research output: Chapter in Book or Report/Conference proceeding › Conference Proceeding › peer-review
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Greeks-Neutral Option Excess Returns
Xu, Y., Hong, Y., Liu, P. J. & Zhang, Z., May 2025, In: Journal of Futures Markets. 45, 8, p. 1049-1070 22 p.Research output: Contribution to journal › Article › peer-review
1 Downloads (Pure) -
Identifying Stock Option Mispricing at a Large Cross Section
Xu, Y., Zhang, D., Li, Z. & Wang, S., Jun 2025, In: Journal of Futures Markets. 45, 9, p. 1202-1231 30 p.Research output: Contribution to journal › Article › peer-review
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The Term Structure of Credit Default Swap Spreads and the Cross Section of Options Returns
Zhang, H., Shi, Y., Han, D., Liu, J. & Xu, Y., 27 Mar 2025, In: Journal of Futures Markets. 45, 6, p. 637-658 22 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile618 Downloads (Pure)
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Journal of Digital Economy (Journal)
Xu, Y. (Editor)
6 Aug 2025 → …Activity: Peer-review and editorial work of publications › Editorial work
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Hedge Ratios on CDS Contract
Xu, Y. (Speaker)
Jul 2025Activity: Talk or presentation › Presentation at conference/workshop/seminar
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How Institutional Investors Impact Stocks: Evidence from Chinese Mutual Funds
Xu, Y. (Speaker)
May 2025Activity: Talk or presentation › Presentation at conference/workshop/seminar
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Imag(in)ing Volatility Dynamics
Xu, Y. (Speaker)
May 2025Activity: Talk or presentation › Presentation at conference/workshop/seminar
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Cross-Sectional Variation of Risk-targeting Option Portfolios
Xu, Y. (Speaker)
Dec 2024Activity: Talk or presentation › Presentation at conference/workshop/seminar