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Leveraged exchange-traded funds [electronic resource] : price dynamics and options valuation

Leveraged exchange-traded funds [electronic resource] : price dynamics and options valuation

자료유형
E-Book(소장)
개인저자
Leung, Tim. Santoli, Marco.
서명 / 저자사항
Leveraged exchange-traded funds [electronic resource] : price dynamics and options valuation / by Tim Leung, Marco Santoli.
발행사항
Cham :   Springer International Publishing :   Imprint: Springer,   c2016.  
형태사항
1 online resource (x, 97 p.) : col. ill.
총서사항
SpringerBriefs in quantitative finance,2192-7006, 2192-7014 (electronic)
ISBN
9783319290942
요약
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.
일반주기
Title from e-Book title page.  
내용주기
Introduction -- Price Dynamics of Leveraged ETFs -- Risk Analysis of Leveraged ETFs -- Options on Leveraged ETFs -- Conclusions.
서지주기
Includes bibliographical references and index.
이용가능한 다른형태자료
Issued also as a book.  
일반주제명
Exchange traded funds. Financial leverage.
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008 200508s2016 sz a ob 001 0 eng d
020 ▼a 9783319290942
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050 4 ▼a HB135-147
082 0 4 ▼a 332.63/27 ▼2 23
084 ▼a 332.6327 ▼2 DDCK
090 ▼a 332.6327
100 1 ▼a Leung, Tim.
245 1 0 ▼a Leveraged exchange-traded funds ▼h [electronic resource] : ▼b price dynamics and options valuation / ▼c by Tim Leung, Marco Santoli.
260 ▼a Cham : ▼b Springer International Publishing : ▼b Imprint: Springer, ▼c c2016.
300 ▼a 1 online resource (x, 97 p.) : ▼b col. ill.
490 1 ▼a SpringerBriefs in quantitative finance, ▼x 2192-7006, ▼x 2192-7014 (electronic)
500 ▼a Title from e-Book title page.
504 ▼a Includes bibliographical references and index.
505 0 ▼a Introduction -- Price Dynamics of Leveraged ETFs -- Risk Analysis of Leveraged ETFs -- Options on Leveraged ETFs -- Conclusions.
520 ▼a 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.
530 ▼a Issued also as a book.
538 ▼a Mode of access: World Wide Web.
650 0 ▼a Exchange traded funds.
650 0 ▼a Financial leverage.
700 1 ▼a Santoli, Marco.
830 0 ▼a SpringerBriefs in quantitative finance.
856 4 0 ▼u https://oca.korea.ac.kr/link.n2s?url=http://dx.doi.org/10.1007/978-3-319-29094-2
945 ▼a KLPA
991 ▼a E-Book(소장)

소장정보

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 중앙도서관/e-Book 컬렉션/ 청구기호 CR 332.6327 등록번호 E14021525 도서상태 대출불가(열람가능) 반납예정일 예약 서비스 M

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