{"id":1786,"date":"2012-11-05T16:21:12","date_gmt":"2012-11-05T16:21:12","guid":{"rendered":"http:\/\/blogs.kent.ac.uk\/kbs-news-events\/?p=1786"},"modified":"2022-02-22T21:34:04","modified_gmt":"2022-02-22T21:34:04","slug":"new-pricing-framework-for-real-estate-derivatives","status":"publish","type":"post","link":"https:\/\/blogs.kent.ac.uk\/kbs-news-events\/2012\/11\/new-pricing-framework-for-real-estate-derivatives\/","title":{"rendered":"New pricing framework for real estate derivatives"},"content":{"rendered":"<p>New research by Professor Radu Tunaru and collaborators proposes a new pricing \u00a0framework for real estate derivatives. \u00a0The findings are published in <em>European Financial Management <\/em>(Fabozzi, Shiller and Tunaru, 2012).<\/p>\n<p>A summary of the project follows:<\/p>\n<p>New methods are developed here for pricing the main real estate derivatives \u2014<br \/>\nfutures and forward contracts, total return swaps, and options. Accounting for the<br \/>\nincompleteness of this market, a suitable modelling framework is outlined that can<br \/>\nproduce exact formulae, assuming that the market price of risk is known. This<br \/>\nframework can accommodate econometric properties of real estate indices such<br \/>\nas predictability due to autocorrelations. The term structure of the market price of<br \/>\nrisk is calibrated from futures market prices on the Investment Property Databank<br \/>\nindex. The evolution of the market price of risk associated with all five futures<br \/>\ncurves during 2009 is discussed.<\/p>\n<p>For more information please contact r.tunaru@kent.ac.uk.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>New research by Professor Radu Tunaru and collaborators proposes a new pricing \u00a0framework for real estate derivatives. \u00a0The findings are published in European Financial Management &hellip; <a href=\"https:\/\/blogs.kent.ac.uk\/kbs-news-events\/2012\/11\/new-pricing-framework-for-real-estate-derivatives\/\">Read&nbsp;more<\/a><\/p>\n","protected":false},"author":2414,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":[],"categories":[124],"tags":[19171,261682],"_links":{"self":[{"href":"https:\/\/blogs.kent.ac.uk\/kbs-news-events\/wp-json\/wp\/v2\/posts\/1786"}],"collection":[{"href":"https:\/\/blogs.kent.ac.uk\/kbs-news-events\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/blogs.kent.ac.uk\/kbs-news-events\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/blogs.kent.ac.uk\/kbs-news-events\/wp-json\/wp\/v2\/users\/2414"}],"replies":[{"embeddable":true,"href":"https:\/\/blogs.kent.ac.uk\/kbs-news-events\/wp-json\/wp\/v2\/comments?post=1786"}],"version-history":[{"count":2,"href":"https:\/\/blogs.kent.ac.uk\/kbs-news-events\/wp-json\/wp\/v2\/posts\/1786\/revisions"}],"predecessor-version":[{"id":1788,"href":"https:\/\/blogs.kent.ac.uk\/kbs-news-events\/wp-json\/wp\/v2\/posts\/1786\/revisions\/1788"}],"wp:attachment":[{"href":"https:\/\/blogs.kent.ac.uk\/kbs-news-events\/wp-json\/wp\/v2\/media?parent=1786"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/blogs.kent.ac.uk\/kbs-news-events\/wp-json\/wp\/v2\/categories?post=1786"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/blogs.kent.ac.uk\/kbs-news-events\/wp-json\/wp\/v2\/tags?post=1786"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}