Risk Neutral Valuation Of Real Estate Derivatives
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Risk Neutral Valuation Of Real Estate Derivatives
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Author : David van Bragt
language : en
Publisher:
Release Date : 2019
Risk Neutral Valuation Of Real Estate Derivatives written by David van Bragt and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
We propose a novel and intuitive risk-neutral valuation model for real estate derivatives. We first model the underlying efficient market price of real estate and then construct the observed index value with an adaptation of the price update rule by Blundell and Ward (1987). The resulting index behavior can easily be analyzed and closed-form pricing solutions are derived for forwards, swaps and European put and call options. We demonstrate the application of the model by valuing a put option on a house price index. Autocorrelation in the index returns appears to have a large impact on the option value. We also study the effect of an over- or undervalued real estate market. The observed effects are significant and as expected.
Pricing Residential Real Estate Derivatives
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Author : Mark Richter
language : en
Publisher:
Release Date : 2015
Pricing Residential Real Estate Derivatives written by Mark Richter and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
This article, which is primarily didactic in nature, provides basic intuition on asset pricing and risk-neutral valuation with a specific focus on residential real estate. I look into the pricing of physical real estate and two variations of derivative. I derive some specific valuation formulas in a highly simplified context of a one-period economy on a discrete probability space. I generalise the formulas to a limited extent for a multi-period economy. The formulas can be applied to richer structures in a straightforward manner and which I hope to do in future iterations of this text.
Real Estate Derivatives
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Author : Radu Tunaru
language : en
Publisher: Oxford University Press
Release Date : 2017
Real Estate Derivatives written by Radu Tunaru and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with Business & Economics categories.
"...Provides a state-of-the-art overview of real-estate derivatives, covering the description of these financial products, their applications, and the most important models proposed in the literature...The book examines econometric aspects of real-estate index prices time series and financial engineering non-arbitrage principles that govern the pricing of derivatives...examples are based on real-world data from exchanges, major investment banks or financial houses in London. The numerical analysis is easily replicable with Excel and Matlab."--back jacket cover.
Property Derivatives
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Author : Juerg M. Syz
language : en
Publisher: John Wiley & Sons
Release Date : 2008-12-08
Property Derivatives written by Juerg M. Syz and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-12-08 with Business & Economics categories.
Property derivatives have the potential to revolutionize real estate - the last major asset class without a liquid derivatives market. The new instruments offer ease and flexibility in the management of property risk and return. Property funds, insurance companies, pension and life funds, speculators, hedge funds or any asset manager with a view on the real estate market can apply the new derivatives to hedge property risk, to invest synthetically in real estate, or for portfolio optimization. Moreover, developers, builders, home suppliers, occupiers, banks, mortgage lenders and governmental agencies can better cope with their real estate exposure using property derivatives. This book is a practical introduction to property derivatives and their numerous applications. Providing a comprehensive overview of the property derivatives market and indices, there is also in-depth coverage of pricing, hedging and risk management, which will deepen the readers understanding of the market's mechanisms. Covering both the theoretical and practical aspects of the property derivatives markets; this book is the definitive reference guide to a new and fast-growing market.
Towards A Better Understanding Of Stocks Interest Rate Derivatives And Real Estate Investment Trusts
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Author : Bing Han
language : en
Publisher:
Release Date : 2002
Towards A Better Understanding Of Stocks Interest Rate Derivatives And Real Estate Investment Trusts written by Bing Han and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Bond market categories.
Derivatives In Financial Markets With Stochastic Volatility
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Author : Jean-Pierre Fouque
language : en
Publisher: Cambridge University Press
Release Date : 2000-07-03
Derivatives In Financial Markets With Stochastic Volatility written by Jean-Pierre Fouque and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-07-03 with Business & Economics categories.
This book, first published in 2000, addresses pricing and hedging derivative securities in uncertain and changing market volatility.
Real Estate Derivatives
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Author : Radu S. Tunaru
language : en
Publisher: Oxford University Press
Release Date : 2017-03-29
Real Estate Derivatives written by Radu S. Tunaru and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-03-29 with Business & Economics categories.
This book brings together the latest concepts and models in real-estate derivatives, the new frontier in financial markets. The importance of real-estate derivatives in managing property price risk that has destabilized economies frequently over the last hundred years has been brought into the limelight by Robert Shiller. In spite of his masterful campaign for the introduction of real-estate derivatives, these financial instruments are still in a state of infancy. This book aims to provide a state-of-the-art overview of real-estate derivatives, covering the description of these financial products, their applications, and the most important models proposed in the literature. In order to facilitate a better understanding of the situations when these products can be successfully used, ancillary topics such as real-estate indices, mortgages, securitization, and equity release mortgages are also discussed. The book examines econometric aspects of real-estate index prices time series and financial engineering non-arbitrage principles governing the pricing of derivatives. The emphasis is on understanding the financial instruments through their mechanics and comparative description. The examples are based on real-world data from exchanges or from major investment banks or financial houses in London. The numerical analysis is easily replicable with Excel and Matlab.
New Frontiers In Real Estate Finance
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Author : Patrick Lecomte
language : en
Publisher: Routledge
Release Date : 2021-06-03
New Frontiers In Real Estate Finance written by Patrick Lecomte and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-06-03 with Business & Economics categories.
Introduces three innovative concepts and associated financial instruments with the potential to revolutionize real estate finance Covers methodological issues pertaining to real estate risk analysis factors Proposes concepts and methods for identifying, pricing and trading these new property rights. Essential reading for all real estate, finance and smart technology researchers and professionals
Option Implied Risk Neutral Distributions And Risk Aversion
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Author : Jens Carsten Jackwerth
language : en
Publisher:
Release Date : 2008
Option Implied Risk Neutral Distributions And Risk Aversion written by Jens Carsten Jackwerth and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Risk Neutral Valuation
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Author : Nicholas H. Bingham
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-06-29
Risk Neutral Valuation written by Nicholas H. Bingham and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-29 with Mathematics categories.
This second edition - completely up to date with new exercises - provides a comprehensive and self-contained treatment of the probabilistic theory behind the risk-neutral valuation principle and its application to the pricing and hedging of financial derivatives. On the probabilistic side, both discrete- and continuous-time stochastic processes are treated, with special emphasis on martingale theory, stochastic integration and change-of-measure techniques. Based on firm probabilistic foundations, general properties of discrete- and continuous-time financial market models are discussed.