20.500.12556/DKUM-73049 Vrednotenje terminskih pogodb Forward and futures contracts pricing V diplomskem projektu se bomo osredotočili na pomen nestandardiziranih in standardiziranih terminskih pogodb ter predstavili njihove lastnosti in razlike med njimi. Pojasnili bomo način izračunavanja obrestne mere in prikazali vpliv pogostejše kapitalizacije. Razmislili bomo, kakšna naj bo izpolnitvena cena pri nestandardiziranih terminskih pogodbah na sredstva, ki imetniku ne zagotavljajo dohodka, in tistih, ki imetniku zagotavljajo točen in predvidljiv dohodek. Pri tem bomo proučili, pod kakšnimi pogoji oziroma kdaj nastanejo arbitražne priložnosti. Pri standardiziranih terminskih pogodbah bomo dokazali enakost med izpolnitveno in terminsko ceno v času sklenitve pogodbe ob pogoju, da je obrestna mera konstantna, in na primeru prikazali dnevno spreminjanje depozita na računu investitorja pri klirinški hiši, ki ima pozicijo v standardizirani terminski pogodbi. In the degree project, we will focus on the meaning of forward and futures contracts. We will present their characteristics and differences between them. We will explain the method of calculating the interest rate and show the impact of compounding frequency. We will consider the forward prices on an investment asset that does not provide the holder an income and also the ones that will provide a perfectly predictable cash income to the holder. We will also study under which conditions arise arbitrage opportunities. We will prove the equality between forward and future prices at the time of conclusion of the contract, under condition that the interest rate is constant. By example we will present the daily change of investor’s deposit at the clearing house, induces by a position in futures contracts. nestandardizirana terminska pogodba standardizirana terminska pogodba izpolnitvena cena terminska cena obrestna mera zvezno obrestovanje kratka prodaja. forward contract futures contract forward price futures price interes rate continuous compounding shorting the asset. true true false [K. Kolarič] Slovenski jezik Angleški jezik Delo diplomskega projekta/projektno delo 2019-01-26 08:36:49 2019-06-27 12:25:05 2022-08-01 23:52:17 2019-07-11 19:42:46 2019 0 Maribor 0 0000-00-00 NiDoloceno NiDoloceno NiDoloceno 0000-00-00 0000-00-00 0000-00-00 336.76 13343516 URN:SI:UM:DK:BYDUFE58 UN_Kolaric_Karmen_2019.pdf UN_Kolaric_Karmen_2019.pdf 1 3D0E6BC5BE475EAE73BB9DFCF3073DBC a7eca78ad59dcfcf72ccf9d37ca157351a2499f5a6b15da34d965c6ec28949e7 96324ba0-7c10-11eb-bb7a-00155d0001ca 20.500.12556/dkum/ac9ab3ae-4c15-4dc9-a20c-7d1d4a5e8238 https://dk.um.si/Dokument.php?lang=slv&id=132361 Ekonomsko-poslovna fakulteta 0 0 0