房地产金融资产及衍生物定价与风险管理研究

The continuing soaring of housing prices has been greatly influencing people's living conditions and harassing the popular sentiment in past years. Government's attitude is clear and firm: "to push ahead the prices reasonably back to normal." The control on China's real estate has become a consistent trend. As a result, the research on real estate assets pricing and risk management is facing a great challenge, highlighting the important academic significance and far-reaching social impact. This project, aligning with the academic and industry elites home and abroad, fully tapping the stock and incremental resources, relying on the system of real estate finance theory, considering the complex game processin which players of the real estate market participate as the entry point, tries to explore the kinetic mechanism of the price formation and evolution, and studies the strongly nonlinearity, high dimensional uncertainty and dynamic characteristics of real estate financial assets and derivatives pricing and risk management issues under the current complex environment. Using the platform of computational finance and experimental and numerical simulation, the project tries to create an integrated system of real estate asset class pricing and risk control referring to international standards, and put forward reports on the design of the price index of China's real estate asset class. Following the idea of "Scenario - response", the project analyzes the deep-seated reasons why research findings deviate from the practice within the framework of the integration of the neo-classical finance and behavioral finance, offers a full demonstration of the scientificalness, effectiveness, robustness and operability of our research findings,and also strives to provide a reference for the sustained and sound development of Chinese real estate market from the aspect of market liquidity, price discovery and risk hedging .

居高不下的房价扰民情，揪人心！政府态度坚定:"促进房价合理回归"渐成我国房地产宏观调控常态化趋势。因此，房地产资产类定价与风险管理研究面临极大的挑战且彰显重要的学术意义和深远的社会影响。本项目与海内外学术界和业界强手联盟，充分挖掘存量及增量资源，依附现代房地产金融理论体系，以房地产市场众多参与者的复杂博弈过程为切入点，力图探究房价形成与演化的动力学机理，研究复杂环境下房地产金融资产及衍生物定价与风险管理问题的强非线性、高维不确定性及动态特征，借助于计算金融实验数值化平台，参照国际标准创建房地产资产类定价与风险控制集成系统，并提出中国房地产资产类价格指数设计报告，遵循"情景-应对"思想，尝试在新古典金融和行为金融相融合的框架下剖析研究结论偏离实际的深层次原因，充分论证本项目研究成果的科学性、有效性、稳健性和可操作性，努力从市场流动性、价格发现和风险对冲视角为中国房地产市场健康发展建言献策。

本项目紧扣立项申请书主题，在”房地产金融资产及衍生物定价与风险管理”的研究方面取得了较大的进展。.建立了不完全市场条件下不可交易标的物与随机利率相互耦合作用的房地产衍生物定价理论模型，采用有限差分、二叉树以及径向基等方法获得了房地产指数期权定价的数值解，提出了期权交易策略的房地产金融资产风险管理解决方案。.采用空间计量分析、时间序列统计分析及数值模拟技术，研究了市场波动的本征特质---厚尾性、高维性、时变性、异质性及非对称性对全球房地产市场相依性的影响，分析了极端条件下房地产市场的波动溢出及风险传染效应。.对卖家意愿接受（WTA）与买家意愿支付（WTP）价差实验的现有文献进行了荟萃分析，提出了住房市场WTA- WTP实验设计的指导原则，采用现场实验方法，从行为经济学和信息经济学的视角，探究了住房市场WTA- WTP价差的形成机理及心理学表现，研究了损失厌恶和信息不对称对住房市场参与者决策偏差的影响，验证了住房市场卖家禀赋效应的存在。.研究了“杠杆溢出”和“波动率溢出”等定价因子对股票收益的解释能力，实证检验了北美、中国和日本股票市场“杠杆溢出”和“波动率溢出”的市场表现；分析了不同市场条件下资本结构参考点的选择对股票损益区域的影响，探讨了美国房地产市场REITs资本结构与股票收益之间相互关系存在“异象”的内在机理。.建立了商业房地产市场流动性与价格相互作用的演化模型，采用数值模拟技术比较了恒流动性指数与非恒流动性指数的差异性，完成了中国恒流动性房地产指数初步设计的研究报告。.遵循国家关于推进房地产市场平稳健康发展的总体布局，完成了中国房地产资产证券化资料汇编手册，就我国房地产市场长效机制的建设广泛开展市场调研，撰写参政议政、建言献策报告，部分已在有影响的媒体发声，成效显著。培养多名博士后、博士研究生和硕士研究生，其中多人获得研究生国家奖学金。已与英国剑桥大学等国际知名大学建立了密切的合作关系。