INDICE: Preface PART I INTRODUCTION TO PROPERTY DERIVATIVES 1 A Finance View on the Real Estate Market 1.1 Real Estate is Different from Other Asset Classes 1.2 Limited Access to Real Estate Investments 1.3 New Instruments needed 2Basic Derivative Instruments 2.1 Forwards, Futures and Swaps 2.2 Options 3 Rationales for Property Derivatives 3.1 Advantages and Disadvantages of PropertyDerivatives 3.2 Finding a Suitable Real Estate Investment 3.3 Usage of Property Derivatives 4 Hurdles for Property Derivatives 4.1 Creating a Benchmark 4.2Education and Acceptance 4.3 Heterogeneity and Lack of Replicability 4.4 Regulation and Taxation 4.5 Building Liquidity 5 Experience in Property Derivatives 5.1 United Kingdom 5.2 United States 5.3 Other Countries and Future Expectations 6 Underlying Indices 6.1 Characteristics of Underlying Indices 6.2 Appraisal-Based Indices 6.3 Transaction-Based Indices PART II PRICING, HEDGING AND RISK MANAGEMENT 7 Index Dynamics 7.1 Economic Dependencies and Cycles 7.2 Bubbles, Peaks and Downturns 7.3 Degree of Randomness 7.4 Dynamics of Appraisal-based Indices 7.5 Dynamics of Transaction-based Indices 7.6 Empirical Index Analysis 7.7 Distribution of Index Returns 8 Feedback Effects 8.1 Impact on Volatility 8.2 Impact on Risk Premium 8.3 Impact on Appraisal Practice 8.4 Impact on Transaction Volumes 9 The Property Premium Puzzle 9.1 No Replication No Arbitrage 9.2 The Property Spread 10 Pricing Property Derivatives in Established Markets 10.1 Forward Property Prices 10.2 Pricing Options on Property Indices 11 Measuring and Managing Risk 11.1 Market Development and Liquidity 11.2 Early and Mature Stages 11.3 Property Value-at-Risk 12 Decomposing a Property Index 12.1 General Explanatory Factors 12.2 Tradable Explanatory Factors 12.3 Example: The Halifax HPI 13 Pricing and Hedging in Incomplete Markets 13.1 Hedging Analysis 13.2 Pricing without a Perfect Hedge 13.3 Example: Hedging a Trading Portfolio 13.4 Risk Transfer PART III APPLICATIONS 14 Range of Applications 14.1Professional Investers and Businesses 14.2 The Private Housing Market 15 Investing in Real Estate 15.1 Properties of Property 15.2 Property Derivatives andIndirect Investment Vehicles 15.3 Investing in Real Estate with Property Derivatives 16 Hedging Real Estate Exposure 16.1 Short Hedge 16.2 Long Hedge 16.3 Hedge Efficiency and Basis Risk 17 Management of Real Estate Portfolios 17.1 Tactical Asset Allocation 17.2 Generating Alpha 17.3 Sector and Country Swaps 18 Corporate Applications 18.1 Selling Buildings Synthetically 18.2 AcquisitionFinance 19 Indexed Building Savings 19.1 Linking the Savings Plan to a House Price Index 19.2 Engineering a Suitable Saving Plan 20 Home Equity Insurance 20.1 Index-Linked Mortgages 20.2 Collateral Thinking 20.3 Is an Index-Hedge Appropriate? Appendix Bibliography Index
- ISBN: 978-0-470-99802-1
- Editorial: John Wiley & Sons
- Encuadernacion: Cartoné
- Páginas: 248
- Fecha Publicación: 20/06/2008
- Nº Volúmenes: 1
- Idioma: Inglés