相关论文: Modeling the impact of Climate transition on real …

The aim of this work is to propose an end-by-end modeling framework to evaluate the risk measures of a bank's portfolio of collateralized loans in an economy subject to the climate transition. The economy, organized in sectors, is driven by…

In this article, we develop a model for the evolution of real estate prices. A wide range of inputs, including stochastic interest rates and changing demands for the asset, are considered. Maximizing their expected utility, home owners make…

In this paper, we compare different mitigation policies when housing investments are irreversible. We use a general equilibrium model with non-homothetic preferences and an elaborate setup of the residential housing and energy production…

I show that house prices can be modeled using machine learning (kNN and tree-bagging) and a small dataset composed of macro-economic factors (MEF), including an inflation metric (CPI), US treasury rates (10-yr), Gross Domestic Product…

The use of an Ornstein-Uhlenbeck (OU) process is ubiquitous in business, economics and finance to capture various price processes and evolution of economic indicators exhibiting mean-reverting properties. When structural changes happen,…

The mitigation of climate change requires a fundamental transition of the energy system. Affordability, reliability and the reduction of greenhouse gas emissions constitute central but often conflicting targets for this energy transition.…

High future discounting rates favor inaction on present expending while lower rates advise for a more immediate political action. A possible approach to this key issue in global economy is to take historical time series for nominal interest…

In this study we consider the pricing of energy derivatives when the evolution of spot prices follows a tempered stable or a CGMY driven Ornstein- Uhlenbeck process. To this end, we first calculate the characteristic function of the…

The cost of the impacts of climate change have already proven to be larger than previously believed. Understanding the costs and benefits of adapting to the changing climate is necessary to make targeted and appropriate investment…

For environmental problems such as global warming future costs must be balanced against present costs. This is traditionally done using an exponential function with a constant discount rate, which reduces the present value of future costs.…

Energy savings from efficiency methods in individual residential buildings are measured in 10's of dollars, while the energy savings from such measures nationally would amount to 10's of billions of dollars, leading to the "tragedy of the…

In this paper, we investigate the impact of mortgage rates on home prices, and how the impact may be used to help property purchase discussions at individual buyer level and to adjust home price indices across time. A mortgage-rate-adjusted…

Real estate appraisal, which is the process of estimating the price for real estate properties, is crucial for both buys and sellers as the basis for negotiation and transaction. Traditionally, the repeat sales model has been widely adopted…

This paper introduces an information-based model for the pricing of storable commodities such as crude oil and natural gas. The model uses the concept of market information about future supply and demand as a basis for valuation. Physical…

Real estate prices have a significant impact on individuals, families, businesses, and governments. The general objective of real estate price prediction is to identify and exploit socioeconomic patterns arising from real estate…

In this paper, we consider a stochastic asset price model where the trend is an unobservable Ornstein Uhlenbeck process. We first review some classical results from Kalman filtering. Expectedly, the choice of the parameters is crucial to…

We study an optimal execution problem in the presence of market impact where the security price follows a geometric Ornstein-Uhlenbeck process, which implies the mean-reverting property, and show that the optimal strategy is a mixture of…

The real estate market is exposed to many fluctuations in prices because of existing correlations with many variables, some of which cannot be controlled or might even be unknown. Housing prices can increase rapidly (or in some cases, also…

Climate and energy policy targets of the European Commission aim to make Europe the first climate-neutral continent by 2050. For low-carbon and net-neutral energy systems primarily based on variable renewable power generation, issues…

We represent the functioning of the housing market and study the relation between income segregation, income inequality and house prices by introducing a spatial Agent-Based Model (ABM). Differently from traditional models in urban…