We propose a new and intuitive risk-neutral valuation model for real estate derivatives which are linked to autocorrelated indices. We model the observed index with an autoregressive model which can be estimated using standard econometric techniques. The resulting index behavior can easily be...

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...

"Several house price indices exist for the Netherlands. These different indices come from different sources. In this paper we analyze indices from the Dutch Association of Real Estate Agents (NVM), the Land Registry Office (Kadaster), ORTAX and ABF. First we discuss the index construction...

House price forecasts are important for several parties. For example, (potential) owner-occupiers want to know whether or not it is a good time to buy or sell a home, and decisions of policy makers and commercial parties may depend on house price expectations. In this paper we are not primarily...

Asset Liability Management (ALM) models for housing corporations work on the basis of stochastic scenario models for important risk and return drivers such as interest and inflation rates, construction costs and sales prices of houses. Given the situation of the housing corporation (current real...

The rapid growth of a global electronic market place, together with the establishment of standard negotiation protocols, currently leads to the development of multi-agent architectures in which artificial agents can negotiate on behalf of their users. Ideally, these agents should be able to...