In several countries the economic crisis has again confronted homeowners with the risks of their ownership. Price-increases are not self-evident. The uncertainty of the costs of home ownership has increased. We will present a stochastic model by which the costs and risks of home ownership will...

Several house price indices exist for the Netherlands. These different indices arise from different data sources and index construction methodologies. In this paper we analyze indices from the Dutch Association of Real Estate Brokers and Real Estate Experts, the Statistics Netherlands, and two...

We propose a novel and intuitive risk-neutral valuation model for real estate derivatives. We first model the underlying efficient market price of real estate and then construct the observed index value with an adaptation of the price update rule by Blundell and Ward (1987). The resulting index...

This paper introduces a general, formal treatment of dynamic constraints, i.e., constraints on the state changes that are allowed in a given state space. Such dynamic constraints can be seen as representations of "real world" constraints in a managerial context. The notions of transition,...