The reversibility phenomenon for the repeat-sales index (RSI) is a serious obstacle for the derivatives products; it could hinder their introduction or their success. It is also an undesirable characteristic for the management of the real estate risk. This article provides a general solution for...

This paper empirically investigates the risk factors of the property swap prices using four years of price data relative to the UK Investment Property Databank (IPD) Total Return All Property Swap. The implied forward rates are analyzed with a first difference model to determine its main...

The European economic integration and the financialization of the real estate certainly brought enormous contributions for the investment in this class of asset, on the other hand, the faster propagation of the shocks and the sudden corrections of markets become serious subjects. The aim of this...

The reversibility phenomenon in the repeat-sales index (RSI) is a serious obstacle for derivatives products. This article provides a solution for this problem, using an informational reformulation of the RSI framework. A theoretical formula (simple, easy to interpret, and easy to handle) is...

Le " La crise du logement ! " est un signifiant qui circule puissamment. Bien que l'évidence d'une telle crise soit assez discutable, il s'affirme, indépendamment. Certains traits de ce discours indiquent qu'il porte plus que lui-même, il est l'un des avatars contemporains du Malaise dans la...

The recent growth of the real estate indexed derivatives market calls for a greater attention to the pricing of these products. This paper contributes to the literature providing a simple connection between instruments such as year on year zero coupon swap or real estate indexed forwards. A...