Housing market dynamics and advances in mortgages: option based modeling and hedging

Download
2019
Yılmaz, Bilgi
In the last two decades, academicians and professionals intending to study in any area of real estate and finance not only must master advanced financial mathematics concepts and mathematical/econometric models but also should be able to implement those concepts computationally to improve real estate markets' efficiency. This comprehensive thesis mainly aims to combine the theory of financial mathematics with an emphasis on real-life applications in keeping with the way, both investors and policymakers, in today's real estate markets. Unlike most studies on real estate markets, housing markets and mortgages, the thesis covers both non-parametric statistical modeling methods (Multivariate Adaptive Regression Splines (MARS) and Generalized Linear Models (GLM)) and stochastic calculus (Stochastic Differential Equations (SDE), Malliavin calculus theory) with Monte Carlo simulations, Capital Asset Pricing Model (CAPM) and Fama French three-factor model with its extensions. The thesis offers thorough models in the subject of housing markets and provides hedging strategies of default and prepayment options embedded into mortgage contracts. Along with with the theoretical aspects, the thesis presents numerous applications for pricing, investment decision, risk management via hedging strategies, and portfolio management. The numerical illustrations are on determining the housing market price drivers and the effect of large investors, house price forecasting by using the US housing market data, determining hedging strategies for both mortgage default and prepayment options by computing the hedging coefficients via using Monte Carlo simulations and analyzing the T-REITs returns performance in various aspects.

Suggestions

Housing affordability of different income groups in turkey: regional comparison
Aksoy, Esma; Özdemir Sarı, Özgül Burcu; Department of City and Regional Planning (2017)
Housing affordability has been a major topic of interest both for researchers and policy makers in many countries. However, in the Turkish case, research on housing affordability is scarce. The problem of housing has usually been considered as a quantitative deficiency problem in Turkey, and for many decades any other dimension of the problem is neglected. Increasing the housing stock in numbers has always been given priority by the Turkish governments. This tendency to support new housing production has co...
Understanding real estate bubbles: an analysis of the recent trends in the Turkish housing market
Karasu, Mustafa Nusret; Cömert, Hasan; Department of Economics (2015)
The main aim of this thesis is to determine whether there is a real estate bubble in Turkey recently, where the house prices are increasing rapidly. In order to do this, the thesis tries to define the bubble concept, by reviewing literature. The common view among economists is that bubbles are deviation of prices from their fundamentals which is associated with sudden increases in prices. We usually witness harsh economic crises after the bursts of bubbles in economies and this constitutes the source of the...
Remapping contemporary housing production in Turkey : a case study on housing patterns and marketing strategies
Koca, Duygu; Güzer, Celal Abdi; Department of Architecture (2012)
The important positions of the thesis are mainly to understand the transformation in the architecture discipline under the umbrella of globalization and to define the current situation of residential architecture dominated by the new actors of construction sector through the transformation of identity value. In the first part of the study, how the production of residential architecture in Turkey is affected by the new values of capitalist globalization in the 21st century is examined. In order to monitor th...
Investigation of housing valuation models based on spatial and non-spatial techniques
Boza, Ertuğrul; Düzgün, H. Şebnem; Türel, Ali; Department of Geodetic and Geographical Information Technologies (2015)
The aim of this thesis is to develop hedonic housing valuation models based on spatial (SAR-simultaneous spatial autoregression and GWR - geographically weighted regression) and non-spatial (OLS - ordinary least squares) techniques, to compare the performances of these models and to investigate significant factors affecting housing value. The developed housing valuation models were tested at the Çankaya and Keçiören districts of Ankara province, Turkey. The results of the analyses revealed that significant ...
Housing crediting and urban development in Turkey.
Kasar, Cere; Keskinok, H. Çağatay.; Department of Urban Policy Planning and Local Governments (2019)
One of the most significant problems in developing countries relates to housing finance. Long-term housing assets are securitized during economic recessions, and the use of real estate as collateral to obtain bank credits creates fictitious growth in the economy. In the vicious circle, where most investments are made into the construction sector every year, it is the rural areas that strive to develop around the cities that suffer the most. The present study puts forward a good practice model to steer prope...
Citation Formats
B. Yılmaz, “Housing market dynamics and advances in mortgages: option based modeling and hedging,” Thesis (Ph.D.) -- Graduate School of Applied Mathematics. Financial Mathematics., Middle East Technical University, 2019.