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000753986 020__ $$a9783319290942$$q(electronic book)
000753986 020__ $$a3319290940$$q(electronic book)
000753986 020__ $$z9783319290928
000753986 0247_ $$a10.1007/978-3-319-29094-2$$2doi
000753986 035__ $$aSP(OCoLC)ocn941134421
000753986 035__ $$aSP(OCoLC)941134421
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000753986 049__ $$aISEA
000753986 050_4 $$aHG6043
000753986 08204 $$a332.63/27$$223
000753986 1001_ $$aLeung, Tim$$c(Professor of industrial engineering),$$eauthor.
000753986 24510 $$aLeveraged exchange-traded funds$$h[electronic resource] :$$bprice dynamics and options valuation /$$cTim Leung, Marco Santoli.
000753986 264_1 $$aCham :$$bSpringer,$$c2016.
000753986 300__ $$a1 online resource (x, 97 pages) :$$bcolor illustrations.
000753986 336__ $$atext$$btxt$$2rdacontent
000753986 337__ $$acomputer$$bc$$2rdamedia
000753986 338__ $$aonline resource$$bcr$$2rdacarrier
000753986 4901_ $$aSpringerBriefs in quantitative finance,$$x2192-7006
000753986 504__ $$aIncludes bibliographical references and index.
000753986 5050_ $$aIntroduction -- Price Dynamics of Leveraged ETFs -- Risk Analysis of Leveraged ETFs -- Options on Leveraged ETFs -- Conclusions.
000753986 506__ $$aAccess limited to authorized users.
000753986 520__ $$aThis book provides an analysis, under both discrete-time and continuous-time frameworks, on the price dynamics of leveraged exchange-traded funds (LETFs), with emphasis on the roles of leverage ratio, realized volatility, investment horizon, and tracking errors. This study provides new insights on the risks associated with LETFs. It also leads to the discussion of new risk management concepts, such as admissible leverage ratios and admissible risk horizon, as well as the mathematical and empirical analyses of several trading strategies, including static portfolios, pairs trading, and stop-loss strategies involving ETFs and LETFs. The final part of the book addresses the pricing of options written on LETFs. Since different LETFs are designed to track the same reference index, these funds and their associated options share very similar sources of randomness. The authors provide a no-arbitrage pricing approach that consistently value options on LETFs with different leverage ratios with stochastic volatility and jumps in the reference index. Their results are useful for market making of these options, and for identifying price discrepancies across the LETF options markets. As the market of leveraged exchange-traded products become a sizeable connected part of the financial market, it is crucial to better understand its feedback effect and broader market impact. This is important not only for individual and institutional investors, but also for regulators.
000753986 588__ $$aOnline resource; title from PDF title page (SpringerLink, viewed March 1, 2016).
000753986 650_0 $$aExchange traded funds.
000753986 650_0 $$aFinancial leverage.
000753986 7001_ $$aSantoli, Marco,$$eauthor.
000753986 77608 $$iPrint version:$$z9783319290928
000753986 830_0 $$aSpringerBriefs in quantitative finance.
000753986 852__ $$bebk
000753986 85640 $$3SpringerLink$$uhttps://univsouthin.idm.oclc.org/login?url=http://link.springer.com/10.1007/978-3-319-29094-2$$zOnline Access$$91397441.1
000753986 909CO $$ooai:library.usi.edu:753986$$pGLOBAL_SET
000753986 980__ $$aEBOOK
000753986 980__ $$aBIB
000753986 982__ $$aEbook
000753986 983__ $$aOnline
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