Credit risk based Asset Pricing
1. Volatility trading in CDS, option and stock markets
2. Joint valuation of CDS, individual option and index option
3. Credit implied volatility
4. Calibration risk in Bates and Heston model, a more robust nonparametric jump and volatility risk measure
6th International Conference on Futures and Other Derivatives
7th International Conference on Futures and Other Derivatives
Hedge Fund Risk Management (Seminar), ECON5071
Phd Topic: Credit Based Asset Pricing.
Yaofei got his bachelor degree, BSc Project Management, in Zhongnan University of Economics and Law. After that, he finished MSc Finance and Investment in University of Nottingham. Additionally, he finished MSc Financial Engineering in University of London, Birkbeck.
He previously worked as a financial engineer in BBD, to individually work out a time-varied trinomial tree on callable bonds pricing. He also finished a python-based order matching system for TF security.
He is now interested in OTC option design and hedging, and market making in commodity options.