This paper contributes to a novel and fast growing literature which introduces game theory in the analysis of real options investments in competitive settings. Specifically, in this paper we focus on the issue of multiple equilibria and on the implications that different equilibrium selections...

In turmoil periods, market liquidity can experience sudden dry ups connected with a significant price movements. This unexpected changes in liquidity patterns, often driven by irrational investorsí behaviour,and it is normally defined as Liquidity Black Hole (LBH). So far relevant research in...

This paper contributes to a fast growing literature which introduces game theory in the analysis of real option investments in a competitive setting. Specifically, in this paper we focus on the issue of market incompleteness and the practical difficulty of finding a twin security in order to...

In this paper we study optimal portfolio allocation of real estate assets using IPD transaction-based data. Currently, appraisal-based indices represent a standard tool for the analysis of property returns in portfolio decisions. However, appraisal-based indices present a number of shortcomings:...

The application of game theory to real option analysis is useful to understand the interaction between agents and the reason why developers tend to develop earlier than expected. Using a discrete time model, we critically present the limits of the Smit and Ankum (1993) model and propose a...

Swap contracts in financial markets are normally priced assuming (either strong or weak) market efficiency. A recent study by Baum, Lizieri and Marcato [2006] highlighted the importance of inefficiencies for total return swap contracts in real estate markets. After identifying the main...

"The current credit crunch has revealed that the property fundamentals should account for the prices of at least lower ranked tranches. Therefore, we intend to identify the driving factors of the initial spread of commercial mortgage backed securities (CMBS) in European markets. Previous studies...

In modelling real estate assets, the assumption of market completeness is violated. In this work we introduce indifference pricing in the valuation of development projects for the first time in the context of real option analysis. We model both a simple call option to defer and a compound put...

[abstract missing - contribution appeared in the programme]

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