Leveraged exchange-traded funds price dynamics and options valuation


This book provides an analysis, under both discrete-time and continuous-time frameworks, on the price dynamics of leveraged exchange-traded funds LETFswith emphasis on the roles of leverage ratio, realized volatility, investment horizon, and tracking errors.

This research 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.

The final part of the book addresses the pricing of options written on LETFs. The authors provide a no-arbitrage pricing leveraged exchange-traded funds price dynamics and options valuation that consistently value options on LETFs with different leverage ratios with stochastic volatility and jumps in the reference index.

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The information contained herein is only as current as of the date indicated, and may be superseded by subsequent market events or for other reasons. The views and opinions expressed herein are those of the author and do not necessarily reflect the views of AQR Capital Management, LLC, its affiliates or its employees.

This information is not intended to, and does not relate specifically to any investment strategy or product that AQR offers. Past performance is not a guarantee of future results. Hypothetical performance results have many inherent limitations, some of which, but not all, leveraged exchange-traded funds price dynamics and options valuation described herein. Hypothetical performance results are presented for illustrative purposes only. Diversification does not eliminate the risk of experiencing investment loss.

Certain publications may have been written prior to the author being an employee of AQR. This material is intended for informational purposes only and should not be construed as legal or tax advice, nor is it intended to replace the advice of a qualified attorney or leveraged exchange-traded funds price dynamics and options valuation advisor. You are about to leave AQR. Price Dynamics and Options Valuation.

SpringerBriefs in Quantitative Financeforthcoming This book provides an analysis, under both discrete-time and continuous-time frameworks, on the price dynamics of leveraged exchange-traded funds LETFswith emphasis on the roles of leverage ratio, realized volatility, investment horizon, and tracking errors. You are now leaving AQR.

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If empirical data had no variability, it would be natural to treat them as algebraic. But if there is variability in empirical data, a probabilistic framework is more appropriate. In particular, it is common to interpret algebraic models of behavior as assuming that behavior is deterministic, which may be too strong an assumption.

While some decision makers display relatively small amounts of variability in their binary choices, the typical picture for actual participants in the Tversky study and the Regenwetter et al. But we will see that even data like those of HDM warrant quantitative testing.