Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation
Free book download
The ETF industry has experienced tremendous growth over the past decade. Within the ETF universe, some funds are designed to replicate a constant multiple (called leverage ratio) of the daily returns of a reference index. These relatively new financial products are called leveraged ETFs (LETFs).
This book aims to provide an overview of the major characteristics of leveraged ETFs, examine their price dynamics, and analyze the practical problems that arise from trading LETFs and pricing options written on these funds.
The full book is available for free download (see link below).
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)
