Article

Home Price Derivatives and Modelling

Alexander Levin

in The Oxford Handbook of Credit Derivatives

Published in print January 2011 | ISBN: 9780199546787
Published online September 2012 | | DOI: http://dx.doi.org/10.1093/oxfordhb/9780199546787.013.0017

Series: Oxford Handbooks in Finance

 Home Price Derivatives and Modelling

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This article discusses the nature of the housing prices and their dynamics. More specifically, it presents a qualitative and quantitative overview of the formation of the housing price bubble in the United States and its subsequent collapse. The article argues that home prices are stochastic in nature and proposes their modelling in two complementary ways: (a) based on pure empirical considerations; and (b) based on general risk-neutral arguments using the fact that several purely financial home price indices are traded at various exchanges.

Keywords: housing prices; housing price bubble; US housing market; home price indices

Article.  10012 words. 

Subjects: Economics ; Financial Markets ; Econometric and Statistical Methods and Methodology: General

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