東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

Leveraged exchange-traded funds = pr...

Leung, Tim.

Linked to FindBook

Google Book

Amazon

博客來

Leveraged exchange-traded funds = price dynamics and options valuation /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Leveraged exchange-traded funds/ by Tim Leung, Marco Santoli.
Reminder of title:	price dynamics and options valuation /
Author:	Leung, Tim.
other author:	Santoli, Marco.
Published:	Cham :Springer International Publishing : : 2016.,
Description:	x, 97 p. :ill., digital ;24 cm.
[NT 15003449]:	Introduction -- Price Dynamics of Leveraged ETFs -- Risk Analysis of Leveraged ETFs -- Options on Leveraged ETFs -- Conclusions.
Contained By:	Springer eBooks
Subject:	Exchange traded funds. -
Online resource:	http://dx.doi.org/10.1007/978-3-319-29094-2
ISBN:	9783319290942$q(electronic bk.)

Leveraged exchange-traded funds = price dynamics and options valuation /
Leung, Tim.

Leveraged exchange-traded fundsprice dynamics and options valuation /[electronic resource] :by Tim Leung, Marco Santoli. - Cham :Springer International Publishing :2016. - x, 97 p. :ill., digital ;24 cm. - SpringerBriefs in quantitative finance,2192-7006. - SpringerBriefs in quantitative finance..

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.

ISBN: 9783319290942$q(electronic bk.)

Standard No.: 10.1007/978-3-319-29094-2doiSubjects--Topical Terms:

749136
Exchange traded funds.

LC Class. No.: HG6043

Dewey Class. No.: 332.6327

Leveraged exchange-traded funds = price dynamics and options valuation /
LDR:02663nmm a2200337 a 4500 001 2030985
003 DE-He213
005 20160825113505.0
006 m d
007 cr nn 008maaau
008 160908s2016 gw s 0 eng d
020 $a 9783319290942$q(electronic bk.)
020 $a 9783319290928$q(paper)
024 7 $a 10.1007/978-3-319-29094-2 $2 doi
035 $a 978-3-319-29094-2
040 $a GP $c GP
041 0 $a eng
050 4 $a HG6043
072 7 $a KF $2 bicssc
072 7 $a MAT003000 $2 bisacsh
072 7 $a BUS027000 $2 bisacsh
082 0 4 $a 332.6327 $2 23
090 $a HG6043 $b .L653 2016
100 1 $a Leung, Tim. $3 2165700
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 2016.
300 $a x, 97 p. : $b ill., digital ; $c 24 cm.
490 1 $a SpringerBriefs in quantitative finance, $x 2192-7006
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.
650 0 $a Exchange traded funds. $3 749136
650 0 $a Financial leverage. $3 709883
650 1 4 $a Mathematics. $3 515831
650 2 4 $a Quantitative Finance. $3 891090
650 2 4 $a Macroeconomics/Monetary Economics//Financial Economics. $3 2162289
700 1 $a Santoli, Marco. $3 2183108
710 2 $a SpringerLink (Online service) $3 836513
773 0 $t Springer eBooks
830 0 $a SpringerBriefs in quantitative finance. $3 2072008
856 4 0 $u http://dx.doi.org/10.1007/978-3-319-29094-2
950 $a Mathematics and Statistics (Springer-11649)