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Quantitative Pricing and Hedging Models for the Chinese Derivatives Market: Commodity and Financial Futures, and Equity Options

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  • Full or part time
    Dr Q Deng
    Dr H Assa
  • Application Deadline
    Applications accepted all year round

Project Description

Project Description

China’s euity market remains a highly speculative one. s such, it has not been functioning as a long-term wealth preservation and generation tool for the investors. rom a uantitative perspective, one of the key reasons behind the market’s high volatility is that, the investors, institutional and individuals alike, have not utilized available derivative instruments, such as futures and options, in a uantitative manner, to effectively hedge the volatilities of the primary equity market.

For example, commodity futures are found to be effective at reducing variance for equity portfolios without losing proportional returns, and precious metal commodities (e.g., gold) may be utilized as safe heaven against high volatility in the equity market. In addition, it is well studied and adequately validated that portfolio can be hedged with derivatives such as financial futures and equity options to reduce volatility.

On the other hand, academic research on how to utilize the volatility-reducing properties of commodity futures to effective hedge portfolio risks is lacking. Also, to my knowledge, no literature exists that discusses dynamic and practical hedging strategies on how to use any of the instruments in the Chinese market. This is the motivation of the research.

The candidate should have a first class or upper second class honours degree, or a master’s degree (or equivalent qualification), in finance, mathematics, statistitcs, physics, computer science, and other relevant fields. Evidence of good spoken and written English is essential. The candidate should have an IELTS score of 6.5 or above, or an equivalent qualification, if the first language is not English. This position is open to all qualified candidates irrespective of nationality.

Degree: The student will be awarded a PhD degree from the University of Liverpool (UK) upon successful completion of the program.

For more information about doctoral scholarship and PhD programme at Xi’an Jiaotong-Liverpool University (XJTLU): Please visit:

How to Apply
Interested applicants are advised to email the following documents to [email protected] (please put the project title and primary supervisor’s name in the subject line).
- CV
- Two reference letters
- Personal statement outlining your interest in the position
- Proof of English language proficiency (an IELTS score of above 6.5 or equivalent is required
- Verified school transcripts in both Chinese and English (for international students, only the English version is required)
- Verified certificates of education qualifications in both Chinese and English (for international students, only the English version is required)

Informal enquiries may be addressed to Dr. i Deng ([email protected]), whose personal profile is linked below:

Funding Notes

The PhD studentship is available for three years subject to satisfactory progress by the student. The award covers tuition fees for three years (currently equivalent to RMB 80,000 per annum) and provides a monthly stipend of 3500 RMB as a contribution to living expenses. It also provides up to RMB 16,500 to allow participation at international conferences during the period of the award. It is a condition of the award that holders of XJTLU PhD scholarships carry out 300-500 hours of teaching assistance work per year.
The scholarship holder is expected to carry out the major part of his or her research at XJTLU in Suzhou, China. However, he or she is eligible for a research study visit to the University of Liverpool of up to three months, if this is required by the project.

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