Property Derivatives: Pricing, Hedging and Applications

Property derivatives have the potential to revolutionize real estate – the last major asset class without a liquid derivatives market. The new instruments offer ease and flexibility in the management of property risk and return.

Property funds, insurance companies, pension and life funds, speculators, hedge funds or any asset manager with a view on the real estate market can apply the new derivatives to hedge property risk, to invest synthetically in real estate, or for portfolio optimization. Moreover, developers, builders, home suppliers, occupiers, banks, mortgage lenders and governmental agencies can better cope with their real estate exposure using property derivatives.

This book is a practical introduction to property derivatives and their numerous applications. Providing a comprehensive overview of the property derivatives market and indices, there is also in-depth coverage of pricing, hedging and risk management, which will deepen the readers understanding of the market’s mechanisms.

Covering both the theoretical and practical aspects of the property derivatives markets; this book is the definitive reference guide to a new and fast-growing market.

“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

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.