Property Derivatives: Pricing, Hedging and Applications »

Juerg M. Syzis head of financial engineering investments at Zürcher Kantonalbank (ZKB) in Zurich, Switzerland. He has six years experience of working in structured derivatives across various asset classes with a focus on product development. At ZKB, he was responsible for the first property derivatives traded in Switzerland and for the launch of the first mortgage that is linked to a property index, protecting home equity.

Juerg holds a Master of Science in Finance from the University of Zurich, as well as the CFA Charter and a Master in Business Administration from INSEAD. He publishes regularly in internationally renowned journals and lectures at the Swiss Real Estate School and the Swiss Training Centre for Investment Professionals.

“Juerg Syz delivers a rare balance of technical competence, academic excellence and pragmatism in this lucid treatise on the embryonic market for Property Derivatives. Standing apart from the uninformed debate and the over-reliance on conventional derivatives technology, Syz presents us with the first unified, state-of-the-art and honest appraisal of real estate indices and their derivative products. A landmark achievement destined to become classic reading for bankers, investors and property professionals alike.” —Christophe Cuny, ABN AMRO, Property Derivatives

“Juerg Syz knows his subject and most importantly how to package and explain property derivatives. The property derivative market needs pioneers and reference work that explains property derivatives in real terms, thankfully we have Juerg Syz and this book.” —Peter Sceats, Director, Tradition Property, the Real Estate Division of the Tradition Group

"Juerg's book is a timely and detailed guide into the history, mechanics, and applications of property derivatives. I would recommend that anyone with an interest in the fast-growing market for derivatives on the worlds largest asset class should read this book." - Guy Ratcliffe, Head of Property Derivatives, Morgan Stanley

Pt. I Introduction to Property Derivatives 1

1 A Finance View on the Real Estate Market 3

2 Basic Derivative Instruments 7

3 Rationales for Property Derivatives 23

4 Hurdles for Property Derivatives 29

5 Experience in Property Derivatives 35

6 Underlying Indices 53

Pt. II Pricing, Hedging and Risk Management 87

7 Index Dynamics 89

8 The Property Spread 101

9 Pricing Property Derivatives in Established Markets 109

10 Measuring and Managing Risk 117

11 Decomposing a Property Index 127

12 Pricing and Hedging in Incomplete Markets 131

Pt. III Applications 143

13 Range of Applications 145

14 Investing in Real Estate 149

15 Hedging Real Estate Exposure 165

16 Management of Real Estate Portfolios 173

17 Corporate Applications 183

18 Indexed Building Savings 187

19 Home Equity Insurance 193

Appendix 203

Bibliography 209

Index 215