Property Derivatives: Pricing, Hedging and Applications

246 Pages·2008·3.333 MB·English

by  Juerg M. Syz

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Property Derivatives
Pricing, Hedging and Applications
Juerg M. Syz
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Property Derivatives
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ForothertitlesintheWileyFinanceSeries
pleaseseewww.wiley.com/finance
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Property Derivatives
Pricing, Hedging and Applications
Juerg M. Syz
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LibraryofCongressCataloging-in-PublicationData
Syz,JuergM.
Propertyderivatives:pricing,hedgingandapplications/JuergM.Syz.
p.cm.—(TheWileyfinanceseries)
Includesbibliographicalreferencesandindex.
ISBN978-0-470-99802-1(cloth:alk.paper) 1.Realestateinvestment. 2.Realproperty—prices.
3.Hedging(Finance) I.Title.
HD1382.5.S992008
332.63(cid:3)24—dc22
2008015121
BritishLibraryCataloguinginPublicationData
AcataloguerecordforthisbookisavailablefromtheBritishLibrary
ISBN978-0-470-99802-1(HB)
Typesetin10/12ptTimesbyAptara,NewDelhi,India
PrintedandboundinGreatBritainbyAntonyRoweLtd,Chippenham,Wiltshire
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ToMyFamily
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Contents
Preface xi
PARTI INTRODUCTIONTOPROPERTYDERIVATIVES 1
1 AFinanceViewontheRealEstateMarket 3
1.1 RealEstateisDifferentfromOtherAssetClasses 4
1.2 LimitedAccesstoRealEstateInvestments 5
1.3 NewInstrumentsneeded 5
2 BasicDerivativeInstruments 7
2.1 Forwards,FuturesandSwaps 8
2.2 Options 12
3 RationalesforPropertyDerivatives 23
3.1 AdvantagesandDisadvantagesofPropertyDerivatives 23
3.2 FindingaSuitableRealEstateInvestment 25
3.3 UsageofPropertyDerivatives 26
4 HurdlesforPropertyDerivatives 29
4.1 CreatingaBenchmark 30
4.2 EducationandAcceptance 31
4.3 HeterogeneityandLackofReplicability 31
4.4 RegulationandTaxation 32
4.5 BuildingLiquidity 33
5 ExperienceinPropertyDerivatives 35
5.1 UnitedKingdom 36
5.2 UnitedStates 43
5.3 OtherCountriesandFutureExpectations 47
5.4 FeedbackEffects 49
6 UnderlyingIndices 53
6.1 CharacteristicsofUnderlyingIndices 54
6.2 Appraisal-BasedIndices 57
6.3 Transaction-BasedIndices 68
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