Tim Leung

(Author)

Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation (2016)Paperback - 2016, 8 March 2016

Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation (2016)
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Part of Series
Springerbriefs in Quantitative Finance
Print Length
97 pages
Language
English
Publisher
Springer
Date Published
8 Mar 2016
ISBN-10
3319290924
ISBN-13
9783319290928

Description

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.

Product Details

Authors:
Tim LeungMarco Santoli
Book Edition:
2016
Book Format:
Paperback
Country of Origin:
NL
Date Published:
8 March 2016
Dimensions:
23.39 x 15.6 x 0.56 cm
ISBN-10:
3319290924
ISBN-13:
9783319290928
Language:
English
Location:
Cham
Pages:
97
Publisher:
Weight:
163.29 gm

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