Leveraged Exchange-Traded Funds

Price Dynamics and Options Valuation

Häftad, Engelska, 2016

579 kr

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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

Utgivningsdatum2016-03-08
Mått155 x 235 x 8 mm
Vikt176 g
FormatHäftad
SpråkEngelska
SerieSpringerBriefs in Quantitative Finance
Antal sidor97
FörlagSpringer International Publishing AG
ISBN9783319290928

Tillhör följande kategorier

Tillämpad matematik inom Naturvetenskap och teknik
Finansiering inom Ekonomi och ledarskap
Makroekonomi inom Ekonomi och ledarskap

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.

"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)