Model-driven statistical arbitrage on LETF option markets

LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS

(2016) Tim Leung et al.   MATHEMATICAL FINANCE

Tie the straps: Uniform bootstrap confidence bands for semiparametric additive models

(2015) Wolfgang Karl Härdle et al.   JOURNAL OF MULTIVARIATE ANALYSIS

Consistent Pricing of Options on Leveraged ETFs

(2015) Andrew Ahn et al.   SIAM Journal on Financial Mathematics

A simple bootstrap method for constructing nonparametric confidence bands for functions

(2013) Peter Hall et al.   ANNALS OF STATISTICS

Path-Dependence of Leveraged ETF Returns

(2011) Marco Avellaneda et al.   SIAM Journal on Financial Mathematics

Statistical arbitrage in the US equities market

(2010) Marco Avellaneda et al.   QUANTITATIVE FINANCE

Gamma expansion of the Heston stochastic volatility model

(2009) Paul Glasserman et al.   FINANCE AND STOCHASTICS

Time Series Modelling With Semiparametric Factor Dynamics

(2009) Byeong U. Park et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

A comparison of biased simulation schemes for stochastic volatility models

(2009) Roger Lord et al.   QUANTITATIVE FINANCE