rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Leveraged Exchange-Traded Funds
    sub title: Price Dynamics and Options Valuation
  name:
    name part: Leung, Tim.
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: Santoli, Marco.
    role:
      role term: author.
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: gw
    date issued: 2016
    edition: 1st ed. 2016.
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: X, 97 p. 32 illus. in color. online resource.
  abstract: 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.
  table of contents: Introduction -- Price Dynamics of Leveraged ETFs -- Risk Analysis of Leveraged ETFs -- Options on Leveraged ETFs -- Conclusions.
  note: by Tim Leung, Marco Santoli.
  subject:
    topic: Mathematics
  subject:
    topic: Economics, Mathematical
  subject:
    topic: Macroeconomics
  subject:
    topic: Mathematics
  subject:
    topic: Quantitative Finance
  subject:
    topic: Macroeconomics/Monetary Economics//Financial Economics
  classification: HB135-147
  classification: 519
  related item:
    title info:
      title: Springer eBooks
  related item:
    title info:
      title: SpringerBriefs in Quantitative Finance
  identifier: 9783319290942
  identifier: http://dx.doi.org/10.1007/978-3-319-29094-2
  record info:
    record creation date: 160224
    record change date: 20160225141646.0
    record identifier: 978-3-319-29094-2