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Real-Estate derivatives: from econometrics to financial engineering

book
posted on 2023-06-09, 20:22 authored by Radu TunaruRadu Tunaru
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 in the last hundred years has been brought into the limelight by Robert Shiller over the last three decades. 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 at this moment in time, covering the description of these financial products, their applications, and the most important models proposed in the literature in this area. 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 is designed to pay attention to the econometric aspects of real-estate index prices, time series, and also to financial engineering no-arbitrage principles governing 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. This is the most advanced published book in this area, combining practical relevance with intellectual rigour. Real-estate derivatives will become important for managing macro risks in order to pass stress tests imposed by regulators.

History

Publication status

  • Published

Publisher

Oxford University Press

Pages

288.0

Place of publication

Oxford

ISBN

9780198742920

Department affiliated with

  • Accounting and Finance Publications

Research groups affiliated with

  • Quantitative International Finance Network Publications

Full text available

  • No

Peer reviewed?

  • No

Legacy Posted Date

2020-01-23

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