.

jordan@uom.gr




.
.

.
,
100
2




,
.

( ),
,


P n
:

Kt=K0(1+)t

t
.



5


1
18

1
2
5
10
20

16
14
12
10
8

5%
10%
15%
1.050
1.100
1.150
1.103
1.210
1.323
1.276
1.331
2.011
1.629
2.594
4.046
2.653
6.727
16.37

= 15%
= 10%

6
4

= 5%

2
0
0

10

15

20

25

 -

5 . 4 , =
0,08 .

12 . 2 ,
= 5% .


A
n :

K0=Kt(1+)-t

t .


A

0,8

1
2
5
10
20

0,6

= 5%

1,2
1

= 15%

5%
.952
.907
.784
.614
.377

10%
.909
.826
.621
.386
.149

15%
.870
.756
.497
.247
.061

=
10%

0,4
0,2
0
0

10

12

14

16

18

20

6% 4.000.000
10 ;

10
5.000.000 ,
7 ,
5%.
10




,
, ..
2 (), 4 (), 12 (), 52 ()
, ,
.
. =1,
.

1 1

11

300.000
5 ,
2 = 0,06

4%

12

t=K0(1+rt)

,
0 ,
r
t
m/365 n/12
13

Kt
K0
1 rt

0 ,
r
t
m/365 n/12

14

 -
. 5.000.000
180 10-10- 07 0,20
.
8-2-08
0,18.
:


20%
;
15

,

,

, .
(1/r)
.
16


, =1,

:

1 1

, ,
:

TA BS

1
B

17

. 5.000
4 ,
12 = 0,18.

6 .

18


, =1,

:

1 1

, ,
:
t
1 1
A B t B

19

.
5
. 15 . .
5 ,
10 . ,
5
300.000 .
,
2 = 0,18.
20

, ., t=.

,
.

21



,

:

P = /

.
22

,

8.000 .

,
0,10;
23



.




.


.
.
24

,

,

.

25


r
t, :

CI I t I 0
r

I0
I0

,
CI =
t = t
0 = 0 ()
26

1.000.000 1
50.000 .
1.050.000 . ;

27


:
Po = T1 / (1+R)1 + T2 / (1+R)2 + + Tn / (1+R)n + O / (1+R)n

Po: 0.
Ti : i
R: H
:
n:
28

29


:
R = ( + ) /

R:

30

6
2004 41. 24
4 0,75 .
6/2/06 39.
;

31



Po = 1 / (1+R)1 + 2 / (1+R)2 + + n / (1+R)n

Po:
i : i
R: H
n: O (
)
32


-

Po = / R

:
- (g)

Po = 1 / (R - g)

1 1.
0 0 1 = 0 (1 + g)

33



/ (Price to Earnings Ratio)
Po / E1 = d / ( R ROE[1+d] )

ROE: (Return on
Equity) = /
d: =
/ (E1)
E1:
R :

34



F
C .
, t,
, t+. F
t +.
t +1, t +2, ,
t +.
(yield to maturity) r,
, Pt, :
Pt

C
C
CF
C
F
M

...

1 r 1 r 2
1 r M r
1 r M
35



,
C, r=C/F,

. Pt = F ( ).
:
r>r,


(at a discount).
r<r,


(at a premium).
36

()

,




,
.


, ,


37

38

39

40

5
1000
4% 40 .
5%.
;
5
1000
4% 40 .
3%.
;
41

.


:

42

,
. :




.
,

.
43




.
:

44

200
20

25 .

0,7 .

2%.
;
45

46



.
,
,
:

r0 r i r i

, r0 =
r =
i =
47


r,

r0 i, :

1 r0
r
1

1 i

:
r = r0 i

, .
48




:
r = r0(1-) i
,
r =
r0 =
i =
=

49

rg

F
1 rg n 1 r1 1 r2 1 r3 ...1 rn 1
P

,
P = 0
F =
n
rj = j = 1,2,3,
,n
rg =
50


.
2.000.000
5%
10% 15%
. ;
= 2.000.000*(1,05)*(1,10)*(0,85) = 1.963.500.
:

1
.
963
.
500
r3
1 3 0,98175 1 0,9939 1 0,0061
2.000.000

-0,61%
51

Options -
100 30 EUR
.
30 EUR ( ),
100 x 2 EUR (200 EUR). ,
. ,
,
.
, ,
.

30
EUR. 2 EUR.
28 EUR (

.
28 EUR
(unhedged
position) . .

52

Options -
,
(= ). ,

. 2 EUR
.
,
.

53

Options -
30
.
30 ( ),
, 3.
, 3.
30 27. 30,
.

30-33

.

33 (

+ )

54

Options -
, 3,
, . ,
(
).

55


,
,

.

.

.
56

.
12 ,
,
25 .
57

58


()
,

,
.

.
. 3,6 12 .
.


.
59

.
.



()
.

,

.
60

:

.
:
.

,

.


.
61

62



,
,
,
, ,





.

63




,
,


.



.
64





,
,
.
,

,

.
65


(nominal price)
.



.

.

.
66





.


.
67

( +
+ +
)
.



.
68



.

.




.
69

(Futures)
(Options)
(Forwards)
(Swaps)

, ,

,

70


()



( )

. :




71

72

 - Options

, ,


(
).

(...)
,

.
73

 Options

(types)

(positions).

(Call Options)
(Put Options)

(Long position)
(Short position)

4 :

(Long Call)
(Short Call)
(Long Put)
(Short Put)

74

 Swaps
. ,
swap
,

,

.


.
75

.
,
,
.
, ,
,
.

,

, .
76


(Forwards)
A (,
buyer) (, seller)
( ,
underlying asset,) ( ,
forward rate) (
, delivery date) .

forward:


.


.
77


(
) 100.000
1 0,68$ .
0,65$.
0,68$
.
68.000$
100.000 .
1$ ,
( )
32.000$.
0,50$
( ) 18.000$.
78