Visit our Christmas Gift Finder
Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation - SpringerBriefs in Quantitative Finance (Paperback)
  • Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation - SpringerBriefs in Quantitative Finance (Paperback)
zoom

Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation - SpringerBriefs in Quantitative Finance (Paperback)

(author), (author)
£49.99
Paperback 97 Pages / Published: 08/03/2016
  • We can order this

Usually dispatched within 3 weeks

  • This item has been added to your basket

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.

Publisher: Springer International Publishing AG
ISBN: 9783319290928
Number of pages: 97
Weight: 1766 g
Dimensions: 235 x 155 x 6 mm
Edition: 1st ed. 2016


MEDIA REVIEWS

"The book provides an overview of the major characteristics of leveraged exchange-traded funds (LETF), examines their price dynamics, and analyzes the mathematical problems that arise from trading LETFs and pricing LETF options. ... Using the formulas provided, investors can quantify the risk and tailor suitable trading strategies. ... The book is useful reading for both academics and professionals in finance." (Pavel Stoynov, zbMATH 1338.91007, 2016)

You may also be interested in...

The Dividend Investor
Added to basket
One Up On Wall Street
Added to basket
The Warren Buffett Stock Portfolio
Added to basket
Get Started in Shares
Added to basket
The Little Book of Valuation
Added to basket
When Genius Failed
Added to basket
Small Companies, Big Profits
Added to basket
The Future is Small
Added to basket
Shares Made Simple
Added to basket
£13.99
Paperback
The Disciplined Trader
Added to basket
£24.95
Hardback
Moneyball
Added to basket
£11.99
Paperback
Day Trading For Dummies
Added to basket
The Stock Market Explained
Added to basket
The Trade Lifecycle
Added to basket
How to Trade In Stocks
Added to basket
The Zulu Principle
Added to basket
£25.00
Hardback

Reviews

Please sign in to write a review

Your review has been submitted successfully.