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Miller, Tom

Introduction to Option-Adjusted Spread Analysis

Miller, Tom - Introduction to Option-Adjusted Spread Analysis, ebook

39,70€

Ebook, ePUB with Adobe DRM
ISBN: 9780470885154
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Printing48 pages with an additional page accrued every 16 hours, capped at 48 pages
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Top traders, investors, and analysts agree that one method, option-adjusted spread (OAS) analysis, is the most useful way to compare and value securities with options. Nearly every day the bond market figures out a new way to structure securities, most of which involve options.

This book explains OAS analysis in plain English, presenting each step in the method clearly and concisely. Topics covered include:

  • Why yield-based analysis breaks down for nonbullet bonds

  • How to model put and call provisions as embedded options

  • How to distinguish the intrinsic and time components of option value

  • How to model interest-rate volatility, future interest rates, and future bond prices

  • How to calculate option-free price and yield

  • How to estimate the "fair value" of a bond

  • How to calculate implied spot and forward rates

Salespeople, traders, and investors will want to read this book and keep it on their desks.

Author(s)
Publisher
John Wiley and Sons, Inc.
Publication year
2007
Language
en
Edition
3
Series
Bloomberg Professional
Page amount
159 pages
Category
Economy
Format
Ebook
eISBN (ePUB)
9780470885154
Printed ISBN
9781576602416

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