Commercial RE Equity Derivatives II: Advanced Topics: July 30-31 (NY, NY)

Course Overview

Designed for real estate professionals with some familiarity with derivatives and for derivatives professionals with no familiarity with real estate, this course first quickly reviews, then builds on, the material in the “Derivatives I” course. The course focuses on index-based swap contracts, with advanced topics including an in-depth consideration of the nature of the commercial property price indexes that underlie the derivatives (including simple index forecasting tools), simple Excel-based Monte Carlo simulation of derivative positions and performance (without need of specialized Excel or programming skills), and certainty-equivalence based valuation of derivative positions (the way to apply DCF to model the PV of derivative contracts). Course will also include Excel model templates, and guest speakers from the industry. Course will overlap slightly with the “Derivatives I” course. Topics to be covered during the two-day course include:

Topics:

• Review of derivatives (what, why & how)

• Understanding of derivative positions (long & short, covered & uncovered)

• Real estate index issues & forecasting (transactions-based, appraisal-based)

• Advanced derivatives pricing (arbitrage & equilibrium with index lag)

• Hedge ratios & certainty-equivalence discounting

• Use of simulation modeling

Learning Objectives and Outcomes

• Deepen your understanding of real estate derivatives.

• Explain the subtleties of real estate indexes that underlie derivatives.

• Develop practical tools for correct pricing and valuation of real estate index derivatives.

• Take away Excel templates for simulation analysis of derivatives.

Course Location

TIAA-CREF Global Real Estate
730 Third Avenue
New York, NY 10017-3206

Instructor Bio

David Geltner is the Director of the MIT Center for Real Estate, as well as the George Macomber Professor and Professor of Real Estate Finance in the Department of Urban Studies & Planning (DUSP).  As the Center’s Director, Dr. Geltner shares responsibility for the overall planning and management of the Center and heads MIT’s Master of Science in Real Estate Development (MSRED) program.