Leveraged Exchange-Traded Funds

Price Dynamics and Options Valuation

Nonfiction, Science & Nature, Mathematics, Applied, Business & Finance, Economics, Macroeconomics
Cover of the book Leveraged Exchange-Traded Funds by Tim Leung, Marco Santoli, Springer International Publishing
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Tim Leung, Marco Santoli ISBN: 9783319290942
Publisher: Springer International Publishing Publication: February 24, 2016
Imprint: Springer Language: English
Author: Tim Leung, Marco Santoli
ISBN: 9783319290942
Publisher: Springer International Publishing
Publication: February 24, 2016
Imprint: Springer
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Springer International Publishing

Cover of the book Political Analysis Using R by Tim Leung, Marco Santoli
Cover of the book Strengthening Local Governance in Bangladesh by Tim Leung, Marco Santoli
Cover of the book Textbook of Hyperbaric Medicine by Tim Leung, Marco Santoli
Cover of the book Guide to Vulnerability Analysis for Computer Networks and Systems by Tim Leung, Marco Santoli
Cover of the book Mendel 2015 by Tim Leung, Marco Santoli
Cover of the book Dual Language Education: Teaching and Leading in Two Languages by Tim Leung, Marco Santoli
Cover of the book Public Service Accountability by Tim Leung, Marco Santoli
Cover of the book Image Analysis and Recognition by Tim Leung, Marco Santoli
Cover of the book International Entrepreneurship by Tim Leung, Marco Santoli
Cover of the book Towards the Humanisation of Birth by Tim Leung, Marco Santoli
Cover of the book The Design of Learning Experience by Tim Leung, Marco Santoli
Cover of the book Analytical Techniques in the Assessment of Credit Risk by Tim Leung, Marco Santoli
Cover of the book Measurement, Modeling and Automation in Advanced Food Processing by Tim Leung, Marco Santoli
Cover of the book Against‐Medical‐Advice Discharges from the Hospital by Tim Leung, Marco Santoli
Cover of the book Jaghmīnī’s Mulakhkhaṣ by Tim Leung, Marco Santoli
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy