Projects per year
Personal profile
Personal profile
Yi Hong received his Ph.D from University of Warwick in 2011. Currently, he is the Programme Director (PD) of Financial Mathematics (UG) Programme, and also is the Deputy Director of Research Institute of Quantitative Finance (RIQF). Before joining XJTLU, he worked as a risk analyst in interest-rate derivatives at Lloyds TSB Bank Group, UK. and had experiences in information technology industry. Dr. Hong’s research area is mainly on asset pricing and financial risk management in derivatives markets, volatility trading and asset allocation and study on hedge funds in China.
Research interests
Asset Pricing and Allocation
Financial Econometrics
Financial Risk Management
Stochastic Modelling
Experience
Xian Jiaotong Liverpool University (2011‐Present)
Visiting Research Follow, Shanghai Advanced Institute of Finance (SAIF) (2015-2017)
Risk Analyst in Interest RatesDerivatives, Lloyds TSB Bank Group, UK (2005-2006)
Teaching
MTH322 Probability Measures and Asset Pricing
MTH319 Financial Engineering
MTH222 Financial Modeling with VBA
MTH202 Introduction to Financial Mathematics
MTH016 Introduction to Financial Modelling
MTH008 Multivariable Calculus
Awards and honours
Visiting Scholar at Shanghai Advanced Institute of Finance (SAIF) (2015-2017)
Person Types
- Staff
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Collaborations and top research areas from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
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Valuation of American and Barrier Options under Continuous-Time Markov Chains and Applications
Hong, Y., Zhou, Y., Yang, C., Wu, Y. & Xu, M.
1/01/23 → 31/12/25
Project: Internal Research Project
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Social media on firm’s ‘black lives metters' (BLM) marketing initiatives and impact on firm financial performance
Xun, J., Hong, Y., Guo, B. & Zhan, Y.
1/09/21 → 31/08/24
Project: Internal Research Project
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Credit card debt puzzle: empirical analysis and behavioral intervention
Jia, M., Hong, Y. & Horvath, G.
1/01/20 → 31/03/24
Project: Internal Research Project
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Valuation and Risk Management of Volatility Derivatives under Lévy Processes
1/04/17 → 31/03/21
Project: Internal Research Project
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Digital transformation for Chinese service firms: the role of business intelligence and analytics use on firm financial and non-financial performance
Yang, D., Xun, J. & Hong, Y., 2023, Academy of International Business Special Theme Conference: Sustainable Development and International Competitiveness of Small and Medium-sized Enterprises in the Post COVID-19 Era. 10-11 June 2023 University of Nottingham Ningbo China..Research output: Chapter in Book or Report/Conference proceeding › Conference Proceeding › peer-review
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Jump-diffusion volatility models for variance swaps: An empirical performance analysis
Jin, X. & Hong, Y., May 2023, In: International Review of Financial Analysis. 87, 102606.Research output: Contribution to journal › Article › peer-review
2 Citations (Scopus) -
Pricing of variance swap rates and investment decisions of variance swaps: Evidence from a three-factor model
Hong, Y. & Jin, X., 1 Dec 2022, In: European Journal of Operational Research. 303, 2, p. 975-985 11 p.Research output: Contribution to journal › Article › peer-review
4 Citations (Scopus) -
Arbitrage Bounds on Currency Basket Options
Hong, Y., 26 Sept 2020, In: mathematical and computational applications. 25, 60, 25(60).Research output: Contribution to journal › Article › peer-review
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Empirical Study on Risk Factors for Long-only Equity Hedge Funds in China
Zhao, X. & Zhang, Y. A., 21 Jun 2019, In: Finance. 9, 1, p. 58-73Research output: Contribution to journal › Article › peer-review
Activities
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Relative Asset Valuation: A Global Perspective
Yi Hong (Speaker)
20 Oct 2023 → 22 Oct 2023Activity: Talk or presentation › Presentation at conference/workshop/seminar
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Launch Ceremony of the MoU collaboration between SMP and Soochow Futures
Yi Hong (Organiser)
12 Jun 2023Activity: Participating in or organising an event › Organising an event e.g. a conference, workshop, …
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Informational Content of Options Markets (SURF)
Yi Hong (Supervisor)
1 Jun 2023 → 31 Aug 2023Activity: Supervision › Completed SURF Project
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High Frequency Volatility of Oil Futures in China: Components, Modeling and Prediction
Yi Hong (Speaker)
15 Apr 2023 → 16 Apr 2023Activity: Talk or presentation › Presentation at conference/workshop/seminar
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Launch Ceremony of the RIQF Scientific Committee and Annual Seminar
Yi Hong (Organiser)
7 Apr 2023 → 8 Apr 2023Activity: Participating in or organising an event › Organising an event e.g. a conference, workshop, …