Pricing Property Derivatives: An Initial Review (September 2006)
A report from the IPF/IPFET Joint Research Programme. The burgeoning property derivatives market and impending introduction of the REIT created a new, and little understood, asset class for many property investors. This research examines the development of the market and explores the underlying pricing framework. Analysis shows pricing anomalies, as swap margins are higher than expected, reflecting the complexity of real estate and the immaturity of the market.