Introduction to Option-Adjusted Spread Analysis

Business & Finance, Finance & Investing, Investments & Securities
Cover of the book Introduction to Option-Adjusted Spread Analysis by Tom Miller, Wiley
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Author: Tom Miller ISBN: 9780470885154
Publisher: Wiley Publication: May 18, 2010
Imprint: Bloomberg Press Language: English
Author: Tom Miller
ISBN: 9780470885154
Publisher: Wiley
Publication: May 18, 2010
Imprint: Bloomberg Press
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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:

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

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