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, ", " ", " - ( , - ), .

, .

, 8% , , - . .

" " " " " " [108].

, " "

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, 1973 - ( , ), "-- " , "" .

1979 , - " " ( , ).

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4.

, (. . 5), , . , , " " .

:

( ),

( ).

() - , 2? N

, N + /, 0 < < ,

m(N+k/m)

+/ () = B0(l +

" - ()" N

BN(oo)=B0er^N. (2)

,

BN{m) BN{),

() > r(oo), > .

() = , " " ()

r(m) = m(er/m-l), (3)

, () ()

r = m]n(l + ^Y (4)

, = 1, = (1) = () :

= 1, =1(1+). (5)

" " " q", , (1) BQ = \\ (1 Q). :

(l-g)(l+r) = l,

q =

l+r

: N ( = /100) - 2 ? , N

2 = /

,

In2 100 70

N = .

( , , ) 72: /100, 72/ .

, ( 1,2,3,4,6,12, ), Bt () t = 0,1,..., 10, So = 10000 () =0.1 \\\r\n 1 2 3 4 6 12 \r\n0 10000 10000 10000 10000 10000 10000 10000\r\n1 11000 11025 11034 11038 11043 11047 11052\r\n2 12100 12155 12174 12184 12194 12204 12214\r\n3 13310 13401 13433 13449 13465 13482 13499\r\n4 14641 14775 14821 14845 14869 14894 14918\r\n5 16105 16289 16353 16386 16419 16453 16487\r\n6 17716 17959 18044 18087 18131 18176 18221\r\n7 19487 19799 19909 19965 20022 20079 20138\r\n8 21436 21829 21967 22038 22109 22182 22255\r\n9 23579 24066 24238 24325 24414 24504 24596\r\n10 25937 26533 26743 26851 26960 27070 27183\r\n
, .

( ) , . , , , , , . , , , , , , . , , , , -, .
, , , . (, STANDARD & POOR\'S BOND GUIDE), , . (.. ) . , .
, T 0, ((I)-(VII)):
(PAR VALUE, FACE VALUE) P(T,T), .. ,
(THE YEAR THE BOND MATURES) T, T - (MATURITY) ( , , ; - 1 10 , - ^ 10 );
(BOND\'S INTEREST RATE, COUPON YIELD) RC, - , "( )";
(THE ORIGINAL PRICE OF BOND) P(0,T), T = 0 .
, , T = 0 = 10 , 1000 $
6/100 (= 6%), , (, ) 1000$, 600$, :
+
10
1000$
1000 6% 10 = 600 $ 1000$ +600$
, T = 0, , - ( ) .
, , , , ^ . ( , 0 < T < )
(V) (T,T) T ( ).
, (0, ) - () , (, ) - . ( 1000 $.) , , , (T,T) (,), , P(T, ) < (, ).
, , (2,10) T = 2, = 10 800 $. :
+

800$
1000 6% 2 = 120 $ 1000$
, , . . 80$. , (2,10) = 800 $, 8 :
1000$ +
1000 6% 8 = 480 $
800 $
= +680 $
, , , . , (T,T) . : , , - .. {(<, )} , 0 < T < , , , (,), .

.
1 , P(T,T) T, 0 < T < , "" (, ).

(VI) (THE CURRENT YIELD) RC(?,T),0 < T < T, " " (-) :
(, ) P(T,T) \'
. ( (0,10) = = 6%, (2,10) = 6% 1000/800 = 7.5%.)
, , , ( ) , , :
(VII) ( ) (THE YIELD TO MATURITY),
P(T-T,T)
( TT ), (T, ] ; , , = ( I,\'T)
P(TT)~ (,) (,)
~ ^ +W (^ \' (6)
( , T = 1,2,..., .)
, P(T, ) - (, ), , ( T,T)= .
() P(10-
5 --
- { (?, )}, , , . - . III.
, {P(T, )} :
() (T,T) (A PRICE-BASED APPROACH);
, P(T, ), {( T, )}, " " (A TERM STRUCTURE APPROACH).
, (6), , " " (. (1) = 1). - " " (. (2)), . . .
, .
(CORPORATE BONDS) - , , ,....
(GOVERNMENT BONDS) - , , .... U.S. TREASURY BILLS, NOTES, BONDS, .
(MUNICIPAL BONDS), , ,... , - ( , , ,...), ,....
, (, . "NEW YORK STOCK EXCHANGE" "NEW YORK EXCHANGE BONDS" "AMERICAN STOCK EXCHANGE").
, , :
IBM-JJ15-7% OF \'01,
, IBM 2) 15 15 , = 7% 2001 .
, . ( ., , [469].)
6. (STOCK, STOCKS) - , , , ( ) . , , - - (COMMON STOCK) (PREFERRED STOCK), .
() , . . , , , , .
, , - ..
(- - ), "" , , , , .
50 . . ( 1992 . AT&T 2418447 1339916615; . [357].)
, (BROKERAGE HOUSE) - , (STOCK EXCHANGE). , , ( ) , - , , " " (INSTITUTIONAL INVESTORS),
2)
, - 6 .

(MUTUAL FUNDS), , , ., "" , .
. , , XVII , (1602 .), . () . ([482; . 10]).
NYSE (NEW YORK STOCK EXCHANGE - 1817 ; "" (SEATS) - 1366 1987 ) (AMERICAN STOCK EXCHANGE - 1921 NEW YORK CURB EXCHANGE, 1842 ). , ( , ..). , NYSE : ( ; PRE-TAX EARNINGS, PRE-TAX PROFIT) 2.5 . $; 1.1 . , 18 . $. , , ( 1993 2089 ). , , ; 841 .
NASDAQ (NATIONAL ASSOCIATION OF SECURITIES DEALERS AUTOMATIC QUOTATIONS) - ; 4700 - , , .
( 40 , [357]) - (OVER-THE-COUNTER). , NASDAQ, , , , NYSE, , .... - , . - , , , , , -, , .
, - , ( ) ..
, , , , "-" , " " , , , "" .
, "" "" - , , . "" , , "" "" .
"" " " "" (DOW JONES). "" :
D JIA - DOW JONES INDUSTRIAL AVERAGE ( 30 );
DOW JONES TRANSPORTATION AVERAGE (NO 20 , , );
DOW JONES UTILITY AVERAGE ( 15 , - );
DOW JONES 65 COMPOSITE AVERAGE ( 65 AVERAGES).
, , , () D JIA, DOW, ("BLUE-CHIP") , - . , . , ( "" ) [310].
( DOW. 1883 . (CHARLES . DOW) " " - . , , "THE WALL STREET JOURNAL" 1889 . (EDWARD. JONES). ., , [310].)
R
DOW JONES :
STANDARD POOR\'S 500 (S&P500) INDEX,
THE NYSE COMPOSITE INDEX,
THE NASDAQ COMPOSITE INDEX,
THE AMEX MARKET VALUE INDEX,
VALUE-LINE,
THE RUSSEL 2000,
THE WILSHIRE 5000,
STANDARD & POOR\'S 500 ( "DOW JONES") (500 = 400 + 20 + 40 + 40 ); "NYSE" , "NEW YORK STOCK EXCHANGE" ....
( STANDARD & POOR\'S. HENRY VARNUM POOR "POOR\'S MANUAL OF CORPORATE STATISTICS" 1860 - , DOW JONES & COMPANY " " 1941 POOR\'S FINANCE SERVICES STANDARD STATISTIC COMPANY - - . STANDARD & POOR\'S CORPORATION . ., , [310].)
, "" "" ("BID PRICE" "ASK PRICE") "NASDAQ", 5 . , - . , . " " , .
- , . ( : "WORLD", "WORLDWIDE" "GLOBAL" , ; "INTERNATIONAL" - , ).
16 (INTERNATIONAL) "THE WALL STREET JOURNAL" "STOCK MARKET INDICES"
.
, , , , .
, , , DJIA:
09.10.1989

. 3. DJIA (DOW JONES INDUSTRIAL AVERAGE). , 19.10.1987, DJIA 508
. 4 S = (SN) S&P500 1982-88 . , "" S = (SN), -
HN = IN , "", "", "-
>Ҳ-1
" (. 1 . II) "" S = (SN). H = (HN) . 5.
1987 ., . 3 4, , , " " . . , , NYSE 1987 .
\\T
1982 1983 1984 1985 1986 1987 1988 . 4. S&P500 1982-88 .

1982 1983 1984 1985 1986 1987 1988
. 5. HN = IN " S&P500,
-1
. 4

. 6. ( ) DEM/USD 24 19.08.1993 ( 0 0:00 )
300 . . , 19 1987 ., 604 . , 20 608 .
" " AT&T 30, " -" 231. , 21.2%.
, DJIA 19 1987 . 31 1986 . 22.6%, 500 (1 --109).
, 1929 , , , NYSE 24 ( ) 12.9 . , , 29 - 16.4 . . , DJIA 31 1928 . 12.8%, 14 .
. 3-5, DJIA S&P500 , - . 6, , DEM/USD - (, 19.08.1993).
S = (St)t^ ( ), , JI. (LOUIS BACHELIER; 11.03.1870-28.04.1946) "THEORIE DE LA SPECULATION" 1900 . ANNALES SCIENTIFIQUES DE L\'ECOLE NORMALE SUPERIEURE, 17, 1900, C. 21-86, [12], S = (St)t^ .
= 0, , 2,..., (
), , S^ ( ) | /.
, , T = 0,,2,...,
JA)
,

0 ( )
ST = SO + AWT, T ^ 0,
^ = {WT)T^Q , . ( - . (N. WIENER, [476]), 1923 ; . 3, . III).
, . = fx fx (St ~ , ( , = 0) () (), - (CALL OPTION) , (MATURITY TIME) (STRIKE PRICE, EXER-CISE PRICE) (. 1). ( St > , , St = , St;
St < , , -)
JI. (. 1, . VIII)

1 2
4>{) = "* () = <() DY,
(. LB, . VIII) - , S -- (ST) , ,
St = (8)
W = (WT)T^O ~ .
, , ? = (St )+ -:
= S0*(Y+) - (-), (9)

\'/. (10)
, SO^A2T
( 0 . . VIII.) , , (7), = Sq
=\'
- " " .
"" S = (St)t^Oj , - . ( II, III IV .) (. 4), (, ,
) V = {P(I, )} (0 ^ ^ < ) " ", .. T = . ( . III.)
<< | >>
: . .. . 1. . .: ,1998. 512 . (, .2). 1998

lb. :

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