| 書(shū)目名稱 | Leveraged Exchange-Traded Funds | | 副標(biāo)題 | Price Dynamics and O | | 編輯 | Tim Leung,Marco Santoli | | 視頻video | http://file.papertrans.cn/586/585373/585373.mp4 | | 概述 | Important timely topic.Includes a detailed discussion on how to implement and regenerate findings within the book.Provides a systematic study of a number of mathematical problems associated with excha | | 叢書(shū)名稱 | SpringerBriefs in Quantitative Finance | | 圖書(shū)封面 |  | | 描述 | .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 withstochastic 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 marke | | 出版日期 | Book 2016 | | 關(guān)鍵詞 | Exchange-traded funds; Leverage; Option pricing; Risk horizon; Tracking errors; Trading strategies; Levera | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-319-29094-2 | | isbn_softcover | 978-3-319-29092-8 | | isbn_ebook | 978-3-319-29094-2Series ISSN 2192-7006 Series E-ISSN 2192-7014 | | issn_series | 2192-7006 | | copyright | The Author(s) 2016 |
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