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Found 1 from your keywords: author="Marco Santoli"
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Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation
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Tim LeungMarco Santoli

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. This study provides new insights on the risks associated with LETFs. It also leads to the discussion of new risk management concepts, …

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978-3-319-29094-2
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