Although property markets represent a large proportion of total wealth in developed
countries, the real‐estate derivatives markets are still lagging behind in volume of trading and …

The housing sector is the largest spot market in the world without a developed derivative
contract to serve the risk management needs of market participants. This paper describes the …

Based upon contingent claims methodology and standard techniques in statistical modeling
and stochastic calculus, we develop a framework for determining the financial value of …

New methods are developed here for pricing the main real estate derivatives — futures and
forward contracts, total return swaps, and options. Accounting for the incompleteness of this …

This study considers state of the art subset selection and shrinkage procedures − stepwise
regression, ridge regression, lasso, bridge regression and the elastic net along with the …

… For each period we also have an observable return value y T i = log ( S T i / S t i ) associated
with the market value of the equity index S T i . We can assess the validity of the assumed …

Dividend derivatives are not simply a by-product of equity derivatives. They constitute a distinct
growing market and an entire suite of dividend derivatives are offered to investors. In this …

The reverse mortgage is a financial instrument that can be tracked back to the 1960s in the
United States, with more activity reintroduced during the early1 1980s, before spreading to …

Edgeworth binomial trees were applied to price contingent claims when the underlying return
distribution is skewed and leptokurtic, but with the limitation of working only for a limited set …

Credit default risk for an obligor can be hedged with either a credit default swap (CDS) or a
constant maturity credit default swap (CMCDS). We find strong evidence of persistent …