01003cam0 2200265 450 E60020004232220210608062258.020081125d1965 |||||ita|0103 baitaITAspetti del pensiero politico di DanteGiuseppe LumiaMilanoGiuffrè1965108 p.25 cmPubblicazioni a cura della Facoltà di Giurisprudenza dell'Università di Palermo16001LAEC000258062001 *Pubblicazioni a cura della Facoltà di Giurisprudenza dell'Università di Palermo16Lumia, GiuseppeAF00009437070234642ITUNISOB20210608RICAUNISOBUNISOB32059578E600200042322M 102 Monografia moderna SBNM320001315Si59578Acquistopregresso2UNISOBUNISOB20081125125956.020200108084454.0SpinosaAspetti del pensiero politico di Dante753620UNISOB03831nam 22006255 450 991025408190332120200705145244.03-319-29094-010.1007/978-3-319-29094-2(CKB)3710000000602305(EBL)4427533(SSID)ssj0001653610(PQKBManifestationID)16433460(PQKBTitleCode)TC0001653610(PQKBWorkID)14982732(PQKB)11043198(DE-He213)978-3-319-29094-2(MiAaPQ)EBC4427533(PPN)192220578(EXLCZ)99371000000060230520160224d2016 u| 0engur|n|---|||||txtccrLeveraged Exchange-Traded Funds Price Dynamics and Options Valuation /by Tim Leung, Marco Santoli1st ed. 2016.Cham :Springer International Publishing :Imprint: Springer,2016.1 online resource (104 p.)SpringerBriefs in Quantitative Finance,2192-7006Description based upon print version of record.3-319-29092-4 Includes bibliographical references and index.Introduction -- Price Dynamics of Leveraged ETFs -- Risk Analysis of Leveraged ETFs -- Options on Leveraged ETFs -- Conclusions.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.SpringerBriefs in Quantitative Finance,2192-7006Economics, MathematicalMacroeconomicsQuantitative Financehttps://scigraph.springernature.com/ontologies/product-market-codes/M13062Macroeconomics/Monetary Economics//Financial Economicshttps://scigraph.springernature.com/ontologies/product-market-codes/W32000Economics, Mathematical.Macroeconomics.Quantitative Finance.Macroeconomics/Monetary Economics//Financial Economics.510Leung Timauthttp://id.loc.gov/vocabulary/relators/aut755960Santoli Marcoauthttp://id.loc.gov/vocabulary/relators/autMiAaPQMiAaPQMiAaPQBOOK9910254081903321Leveraged Exchange-Traded Funds2004682UNINA