Real-Estate Derivatives : From Econometrics to Financial Engineering

Real-Estate Derivatives : From Econometrics to Financial Engineering / Radu S. Tunaru.

Provides a state-of-the-art overview of real-estate derivatives which covers the description of these financial products, their applications, and the most important models.

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Bibliographic Details
Main Author: Tunaru, Radu (Author)
Format: eBook
Language:English
Published: Oxford : OUP Oxford, 2017.
Subjects:
Real estate investment > Finance.
Real estate investment > Finance > Mathematical models.
BUSINESS & ECONOMICS > Finance.
Real estate investment > Finance
Real estate investment > Finance > Mathematical models
Online Access:Click for online access
Table of Contents:
  • Cover; Real-Estate Derivatives: From Econometrics to Financial Engineering; Copyright; Dedication; PREFACE; Organization of the Book; ACKNOWLEDGEMENTS; CONTENTS; LIST OF FIGURES; LIST OF TABLES; 1: An Overview of Real-Estate Prices; 1.1 Introduction; 1.1.1 REAL-ESTATE MARKETS; US; UK; Asian and Pacific countries; 1.2 Residential versus Commercial Property; 1.2.1 CHARACTERISTICS OF RESIDENTIAL PROPERTY; 1.2.2 CHARACTERISTICS OF COMMERCIAL PROPERTY; 1.3 Empirical Characteristics of Real-Estate Prices Time Series; 1.3.1 DETERMINANTS OF COMMERCIAL PROPERTY PRICES.
  • 1.4 Summary Points and Further Reading2: A Review of Real-Estate Indices; 2.1 Introduction; 2.2 A Classification of Real-Estate Indices; 2.2.1 TRANSACTION-BASED INDICES; 2.2.2 APPRAISAL-BASED INDICES; 2.3 Main Real-Estate Indices Worldwide; 2.3.1 THE INVESTMENT PROPERTY DATA INDEX; 2.3.2 NCREIF PROPERTY INDEX; 2.3.3 MOODY'S/RCA COMMERCIAL PROPERTY PRICE INDEX; 2.3.4 S & P CASE-SHILLER INDEX; 2.3.5 RESIDENTIAL PROPERTY INDEX; 2.3.6 HALIFAX HOUSE PRICE INDEX; 2.3.7 NATIONWIDE HOUSE PRICE INDEX; 2.4 Other Indices; 2.5 Summary Points and Further Reading; 3: Financial Modelling for Mortgages.
  • 3.1 Introduction3.2 Mortgages; 3.2.1 COMMERCIAL MORTGAGES; 3.2.2 RESIDENTIAL MORTGAGES; Prime vs. NonconformingMortgages; A revision of mortgage calculus; 3.3 Main Drivers of Mortgage Rates; 3.3.1 PREPAYMENT RISK; 3.3.2 DEFAULT RISK; 3.3.3 ARREARS; 3.3.4 LOSS SEVERITY; 3.3.5 DRIVERS OF LOSSES FOR NONCONFORMING MORTGAGES; 3.3.6 RISK MANAGEMENT CONSIDERATIONS FOR MORTGAGES; 3.4 An Overview of Prepayment Models; 3.4.1 THE ARCTANGENT MODEL; 3.4.2 THE CHINLOY MODEL; 3.4.3 THE SCHWARTZ AND TOROUS MODEL; 3.4.4 THE GOLDMAN SACHS MODEL (RICHARD AND ROLL, 1989); 3.4.5 THE MODIFIED GOLDMAN SACHS MODEL.
  • 3.4.6 A NUMERICAL EXAMPLE OF USING THE RICHARD AND ROLL MODEL3.4.7 CITIGROUP MODEL; 3.4.8 LEHMAN BROTHERS LOGISTIC REGRESSION MODEL; 3.5 Default Models; 3.5.1 CASE-SHILLER MODEL; 3.6 Supervisory Stress Tests: The OFHEO Experience; 3.7 Summary Points and Further Reading; 3.8 Appendix; 3.8.1 THE LIBOR MARKET MODEL; 3.8.2 THE TWO-FACTOR ADDITIVE GAUSSIAN MODEL; 4: Mortgage Securitization; Pricing and Risk Management; 4.1 Introduction; 4.2 Mortgage Backed Securities; 4.2.1 BRIEF OVERVIEW; 4.2.2 PRIVATE LABEL; 4.3 Commercial Mortgage Backed Securities; 4.3.1 BRIEF OVERVIEW.
  • 4.3.2 MODELLING ISSUES FOR CMBS4.4 Securitization; 4.4.1 FEDERAL AGENCY SECURITIES
  • US; 4.4.2 FACTORS INFLUENCING THE MBS PORTFOLIOS; 4.5 Valuation of Mortgage Cash-Flows; 4.5.1 PRICING MBS FRAMEWORK; 4.5.2 BOND-EQUIVALENT MBS YIELD AND THE OAS ADJUSTMENT RATE; 4.6 Balance Guaranteed Swaps; 4.6.1 INDEX AMORTIZING SWAPS; 4.6.2 CAPS, FLOORS, AND SWAPTIONS; 4.6.3 BALANCE GUARANTEED SWAPS; 4.6.4 STRUCTURING OF BGS; Pricing BGS with swaptions; Pricing off the lower curve; Pricing off the upper curve; Pricing off the middle curve; Other BGS contracts; Problems with BGS; LIBOR-BBR swap.

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