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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

Material type
E-Book(소장)
Personal Author
Leung, Tim. Santoli, Marco.
Title Statement
Leveraged exchange-traded funds [electronic resource] : price dynamics and options valuation / by Tim Leung, Marco Santoli.
Publication, Distribution, etc
Cham :   Springer International Publishing :   Imprint: Springer,   c2016.  
Physical Medium
1 online resource (x, 97 p.) : col. ill.
Series Statement
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.
General Note
Title from e-Book title page.  
Content Notes
Introduction -- Price Dynamics of Leveraged ETFs -- Risk Analysis of Leveraged ETFs -- Options on Leveraged ETFs -- Conclusions.
Bibliography, Etc. Note
Includes bibliographical references and index.
이용가능한 다른형태자료
Issued also as a book.  
Subject Added Entry-Topical Term
Exchange traded funds. Financial leverage.
Short cut
URL
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001 000046026887
005 20200518092053
006 m d
007 cr
008 200508s2016 sz a ob 001 0 eng d
020 ▼a 9783319290942
040 ▼a 211009 ▼c 211009 ▼d 211009
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)

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Main Library/e-Book Collection/ Call Number CR 332.6327 Accession No. E14021525 Availability Loan can not(reference room) Due Date Make a Reservation Service M

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