Leveraged exchange-traded funds [electronic resource] : price dynamics and options valuation / Tim Leung, Marco Santoli.
Leung, Tim (Professor of industrial engineering), author.; Santoli, Marco, author.
2016
HG6043
Available Online

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Title Leveraged exchange-traded funds [electronic resource] : price dynamics and options valuation / Tim Leung, Marco Santoli.
Author Leung, Tim (Professor of industrial engineering), author.
ISBN 9783319290942 (electronic book)
3319290940 (electronic book)
9783319290928
DOI https://doi.org/10.1007/978-3-319-29094-2
Published Cham : Springer, 2016.
Language English
Description 1 online resource (x, 97 pages) : color illustrations.
Other Standard Identifiers 10.1007/978-3-319-29094-2 doi
Call Number HG6043
Dewey Decimal Classification 332.63/27
Summary This 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.
Bibliography, etc. Note Includes bibliographical references and index.
Access Note Access limited to authorized users.
Source of Description Online resource; title from PDF title page (SpringerLink, viewed March 1, 2016).
Added Author Santoli, Marco, author.
Series SpringerBriefs in quantitative finance.
Available in Other Form Print version: 9783319290928
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Record Appears in Online Resources > Ebooks
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Introduction
Price Dynamics of Leveraged ETFs
Risk Analysis of Leveraged ETFs
Options on Leveraged ETFs
Conclusions.

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