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An Introduction to Option Adjusted Spread Analysis, Revised and Expanded Third Edition Revised Edition
Contributor(s): Miller, Tom (Author)
ISBN: 1576602419     ISBN-13: 9781576602416
Publisher: Wiley-Bloomberg Press
OUR PRICE:   $35.96  
Product Type: Hardcover
Published: May 2007
Qty:
Annotation: Fixed-income investors and traders need to understand how much risk they are taking as they buy and sell bonds. Option-adjusted spread (OAS) analysis is a powerful analytical tool for making these assessments, which this book explains in a clear and easy-to-understand format.
Additional Information
BISAC Categories:
- Business & Economics | Investments & Securities - Options
Dewey: 332.632
LCCN: 2006101298
Series: Bloomberg Financial
Physical Information: 0.8" H x 5.82" W x 8.46" (0.80 lbs) 176 pages
 
Descriptions, Reviews, Etc.
Publisher Description:
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.