AN INTRODUCTION TO OPTION-ADJUSTED SPREAD ANALYSIS

AN INTRODUCTION TO OPTION-ADJUSTED SPREAD ANALYSIS

by Tom Miller

Book Publication Date: 01/05/2007

  $62.95
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.
ISBN:
9781576602416
9781576602416
Category:
Investment & securities
Format:
Book
Publication Date:
01-05-2007
Language:
English
Publisher:
Bloomberg Press
Country of origin:
United States
Edition:
3rd Edition
Pages:
160
Dimensions (mm):
215x147x19mm
Weight:
0.36kg
Tom Miller

Tom Miller grew up in Wauwatosa, Wisconsin. He graduated from Harvard University and went on to earn an MFA in creative writing from the University of Notre Dame and an MD from the University of Pittsburgh.

While writing The Philosopher’s Flight, he worked as a travel guidebook writer, EMT, and college English instructor. He's now an emergency room doctor in Madison, Wisconsin.

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