LEADER 03831nam 22006255 450 001 9910254081903321 005 20200705145244.0 010 $a3-319-29094-0 024 7 $a10.1007/978-3-319-29094-2 035 $a(CKB)3710000000602305 035 $a(EBL)4427533 035 $a(SSID)ssj0001653610 035 $a(PQKBManifestationID)16433460 035 $a(PQKBTitleCode)TC0001653610 035 $a(PQKBWorkID)14982732 035 $a(PQKB)11043198 035 $a(DE-He213)978-3-319-29094-2 035 $a(MiAaPQ)EBC4427533 035 $a(PPN)192220578 035 $a(EXLCZ)993710000000602305 100 $a20160224d2016 u| 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aLeveraged Exchange-Traded Funds $ePrice Dynamics and Options Valuation /$fby Tim Leung, Marco Santoli 205 $a1st ed. 2016. 210 1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2016. 215 $a1 online resource (104 p.) 225 1 $aSpringerBriefs in Quantitative Finance,$x2192-7006 300 $aDescription based upon print version of record. 311 $a3-319-29092-4 320 $aIncludes bibliographical references and index. 327 $aIntroduction -- Price Dynamics of Leveraged ETFs -- Risk Analysis of Leveraged ETFs -- Options on Leveraged ETFs -- Conclusions. 330 $aThis book provides an analysis, under both discrete-time and continuous-time frameworks, on the price dynamics of leveraged exchange-traded funds (LETFs), with emphasis on the roles of leverage ratio, realized volatility, investment horizon, and tracking errors. This study provides new insights on the risks associated with LETFs. It also leads to the discussion of new risk management concepts, such as admissible leverage ratios and admissible risk horizon, as well as the mathematical and empirical analyses of several trading strategies, including static portfolios, pairs trading, and stop-loss strategies involving ETFs and LETFs. The final part of the book addresses the pricing of options written on LETFs. Since different LETFs are designed to track the same reference index, these funds and their associated options share very similar sources of randomness. The authors provide a no-arbitrage pricing approach that consistently value options on LETFs with different leverage ratios with stochastic volatility and jumps in the reference index. Their results are useful for market making of these options, and for identifying price discrepancies across the LETF options markets. As the market of leveraged exchange-traded products become a sizeable connected part of the financial market, it is crucial to better understand its feedback effect and broader market impact. This is important not only for individual and institutional investors, but also for regulators. 410 0$aSpringerBriefs in Quantitative Finance,$x2192-7006 606 $aEconomics, Mathematical 606 $aMacroeconomics 606 $aQuantitative Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/M13062 606 $aMacroeconomics/Monetary Economics//Financial Economics$3https://scigraph.springernature.com/ontologies/product-market-codes/W32000 615 0$aEconomics, Mathematical. 615 0$aMacroeconomics. 615 14$aQuantitative Finance. 615 24$aMacroeconomics/Monetary Economics//Financial Economics. 676 $a510 700 $aLeung$b Tim$4aut$4http://id.loc.gov/vocabulary/relators/aut$0755960 702 $aSantoli$b Marco$4aut$4http://id.loc.gov/vocabulary/relators/aut 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910254081903321 996 $aLeveraged Exchange-Traded Funds$92004682 997 $aUNINA