ETF Research
Leveraged ETFs — Price Dynamics and Options Valuation
Book Description, Table of Contents, and Sample Chapters
This book aims to provide an overview of the major characteristics of LETFs, examine their price dynamics, and analyze the practical problems that arise from trading LETFs and pricing options written on these funds.
When writing this book, we aim to make it useful not only for graduate and advanced undergraduate students but also for researchers interested in financial engineering, as well as practitioners who specialize in trading leveraged or non-leveraged ETFs and related derivatives.
Table of Contents (pdf)
- Introduction
- Price Dynamics of Leveraged ETFs
- Risk Analysis of Leveraged ETFs
- Options on Leveraged ETFs
- Conclusions
In the first part of the book, we assume very little background in probability and statistics in our discussion of the price dynamics of LETFs. Nevertheless, new insights and trading strategies are discussed with mathematical justification and illustrated with a host of examples using empirical data.
