Leveraged exchange-traded funds: price dynamics and options valuation
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cham
Springer
[2016]
|
| Schriftenreihe: | SpringerBriefs in quantitative finance
|
| Schlagworte: | |
| Online-Zugang: | BTU01 FHR01 FRO01 TUM01 UBM01 UBT01 UBW01 UEI01 UPA01 Volltext Abstract Inhaltsverzeichnis |
| Beschreibung: | 1 Online Ressource (X, 97 Seiten, 32 illus. in color) |
| ISBN: | 9783319290942 |
| ISSN: | 2192-7006 |
| DOI: | 10.1007/978-3-319-29094-2 |
Internformat
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Datensatz im Suchindex
| _version_ | 1804176017698324480 |
|---|---|
| adam_text | LEVERAGED EXCHANGE-TRADED FUNDS
/ LEUNG, TIM
: 2016
ABSTRACT / INHALTSTEXT
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
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
LEVERAGED EXCHANGE-TRADED FUNDS
/ LEUNG, TIM
: 2016
TABLE OF CONTENTS / INHALTSVERZEICHNIS
INTRODUCTION
PRICE DYNAMICS OF LEVERAGED ETFS
RISK ANALYSIS OF LEVERAGED ETFS
OPTIONS ON LEVERAGED ETFS
CONCLUSIONS
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
|
| any_adam_object | 1 |
| author | Leung, Tim Santoli, Marco |
| author_GND | (DE-588)137785097 |
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| author_sort | Leung, Tim |
| author_variant | t l tl m s ms |
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| dewey-tens | 510 - Mathematics |
| discipline | Mathematik Wirtschaftswissenschaften |
| doi_str_mv | 10.1007/978-3-319-29094-2 |
| format | Electronic eBook |
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| indexdate | 2024-07-10T07:25:30Z |
| institution | BVB |
| isbn | 9783319290942 |
| issn | 2192-7006 |
| language | English |
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| spelling | Leung, Tim Verfasser (DE-588)137785097 aut Leveraged exchange-traded funds price dynamics and options valuation Tim Leung, Marco Santoli Cham Springer [2016] © 2016 1 Online Ressource (X, 97 Seiten, 32 illus. in color) txt rdacontent c rdamedia cr rdacarrier SpringerBriefs in quantitative finance 2192-7006 Mathematics Economics, Mathematical Macroeconomics Quantitative Finance Macroeconomics/Monetary Economics//Financial Economics Mathematik Santoli, Marco Verfasser aut Erscheint auch als Druckausgabe 978-3-319-29092-8 https://doi.org/10.1007/978-3-319-29094-2 Verlag Volltext Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028840761&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Abstract Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028840761&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Leung, Tim Santoli, Marco Leveraged exchange-traded funds price dynamics and options valuation Mathematics Economics, Mathematical Macroeconomics Quantitative Finance Macroeconomics/Monetary Economics//Financial Economics Mathematik |
| title | Leveraged exchange-traded funds price dynamics and options valuation |
| title_auth | Leveraged exchange-traded funds price dynamics and options valuation |
| title_exact_search | Leveraged exchange-traded funds price dynamics and options valuation |
| title_full | Leveraged exchange-traded funds price dynamics and options valuation Tim Leung, Marco Santoli |
| title_fullStr | Leveraged exchange-traded funds price dynamics and options valuation Tim Leung, Marco Santoli |
| title_full_unstemmed | Leveraged exchange-traded funds price dynamics and options valuation Tim Leung, Marco Santoli |
| title_short | Leveraged exchange-traded funds |
| title_sort | leveraged exchange traded funds price dynamics and options valuation |
| title_sub | price dynamics and options valuation |
| topic | Mathematics Economics, Mathematical Macroeconomics Quantitative Finance Macroeconomics/Monetary Economics//Financial Economics Mathematik |
| topic_facet | Mathematics Economics, Mathematical Macroeconomics Quantitative Finance Macroeconomics/Monetary Economics//Financial Economics Mathematik |
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