Trading pension claims would serve many purposes. Beneficiaries would be able to diversify the idiosyncratic credit risk of their plan sponsors. And systematic risk could be reallocated to comply with individual risk-return preferences. The result would be an alignment of companies' and pension...

A finance view on the real estate market -- Basic derivative instruments -- Rationales for property derivatives -- Hurdles for property derivatives -- Experience in property derivatives -- Underlying indices -- Index dynamics -- Feedback effects -- The property premium puzzle -- Pricing property...

The recent real estate bubble was fuelled by non-risk adjusted lending policies, low interest rates and complex finance vehicles. Mortgage-backed securities (MBS) played a crucial role in the crisis. These vehicles were praised as liquid capital market instruments that allowed mortgage lenders...

Economists have forcefully argued for the introduction and use of property derivatives as a hedge against house price risk (e.g. Shiller and Weiss, 1999). The rationale for these financial instruments seems clear, as many households are heavily invested in housing and standard financial...

We introduce a new class of derivative products whose payoff is linked to the trend of the underlying instrument. Many institutional and private investors hold their investments for an extended period of time. The time of buying and selling is generally determined by multiple decision factors...

Options whose payoff are linked to the trend of an underlying rather than to the underlying itself have many advantages, both for investors and hedgers. We describe the properties of trend options and show how the pin risk of these contracts is withdrawn

Market frictions inhibit the perfect replication of property derivatives, and define the property spread as a price measure in the incomplete real estate market. We identify transaction costs, transaction time, and short sale constraints as the main frictions in this market. Based on these...

Economists have forcefully argued for the introduction and use of property derivatives as a hedge against house price risk (e.g. Shiller and Weiss, 1999). The rationale for these financial instruments seems clear, as many households are heavily invested in housing and standard financial...