Space-time approach to commercial property prices valuation

Commercial property prices and bank performance - April 2005

We seek to assess the effect of commercial property price movements on the behaviour and performance of individual banks in a range of industrialised economies, extending the existing micro literature on bank performance. Our results suggest that commercial property prices tend to be positively associated with bank lending and profitability, and negatively associated with banks’ net interest ma...

Industrial and Commercial Customer Response To Real Time Electricity Prices

Executive Summary This paper uses hourly data from industrial and commercial customers that volunteered to participate in Central and Southwest Service's (CSW) real-time pricing (RTP) programs to characterize the induced price response. The CSW RTP program, which adopted the two-part, revenue neutral design first introduced by Niagara Mohawk, was introduced to large commercial and industrial cu...

Option Valuation using Fourier Space Time Stepping

It is well known that the Black-Scholes-Merton model suffers from several deficiencies. Jumpdiffusion and Lévy models have been widely used to partially alleviate some of the biases inherent in this classical model. Unfortunately, the resulting pricing problem requires solving a more difficult partial-integro differential equation (PIDE) and although several approaches for solving the PIDE have...

Petroleum Property Valuation

Sustainability and property valuation: a risk-based approach

The proportion of sustainable property in the total building stock remains small. One reason is that the financial added value resulting from sustainability is not sufficiently taken into account in property valuation due to the tendency of valuations to lag behind market trends. This article presents the development of a new approach that attempts to provide the quantitative information necess...