Leveraged Exchange-Traded Funds

Price Dynamics and Options Valuation

AvTim Leung,Marco Santoli

Häftad, Engelska, 2016

Del i serien SpringerBriefs in Quantitative Finance

478 kr

Beställningsvara. Skickas inom 5-8 vardagar. Fri frakt över 249 kr.

Beskrivning

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.

Produktinformation

Utgivningsdatum:2016-03-08
Mått:155 x 235 x 8 mm
Vikt:176 g
Format:Häftad
Språk:Engelska
Serie:SpringerBriefs in Quantitative Finance
Antal sidor:97
Förlag:Springer International Publishing AG
ISBN:9783319290928

Utforska kategorier

Finansiering inom Ekonomi och Ledarskap

Mer om författaren

Tim Leung is a tenure-track Assistant Professor at Columbia University's Industrial Engineering and Operations Research (IEOR) Department. He is also an affiliated faculty member of the Center for Financial Engineering, and Data Sciences Institute at Columbia. He received a PhD in Operations Research & Financial Engineering (ORFE) from Princeton University. Dr. Leung's research areas are Financial Engineering and Optimal Stochastic Control, with a focus on the valuation of financial derivatives, and associated risk management and trading strategies. He has written extensively on exchange-traded funds (ETFs). His research has been funded by the National Science Foundation (NSF). He has published in various Financial Mathematics journals, including Mathematical Finance, Finance and Stochastics, SIAM Journal on Financial Mathematics, and Quantitative Finance. He is also an officer of the SIAM SIAG on Financial Mathematics and Engineering, and the INFORMS Finance Section.

Recensioner i media

"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)