Introduction to Option-Adjusted Spread Analysis: Revised and Expanded Third Edition of the OAS Classic by Tom Windas - Rilegato

Miller, Tom

Rilegato

ISBN 10: 1576602419 ISBN 13: 9781576602416

Casa editrice: Bloomberg Pr, 2007

Riassunto

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.<br /> <br /> This book explains OAS analysis in plain English, presenting each step in the method clearly and concisely. Topics covered include: <ul> <li>Why yield-based analysis breaks down for nonbullet bonds</li> <li>How to model put and call provisions as embedded options</li> <li>How to distinguish the intrinsic and time components of option value</li> <li>How to model interest-rate volatility, future interest rates, and future bond prices</li> <li>How to calculate option-free price and yield</li> <li>How to estimate the "fair value" of a bond</li> <li>How to calculate implied spot and forward rates</li> </ul> <p><br /> Salespeople, traders, and investors will want to read this book and keep it on their desks.</p>

Su questo libro

Informazioni sull'autore

<p><b>Tom Miller,</b> who revised and expanded this edition, was head of the fixed income and derivatives sales team at Bloomberg L.P. in New York. He teaches at the New York University School of Continuing and Professional Studies. Prior to joining Bloomberg, he traded in the money markets for eleven years.</p>

Dalla quarta di copertina

<p><i>Imagine this: you&#8217;re offered two corporate bonds from similar issuers with identical credit ratings. Both bonds have 6 percent coupons and ten-year final maturities. The first is noncallable and priced at $98.00. The second is callable at par in seven years and priced at $97.50. Which bond is the better deal? Not the one most people would think...</i></p> <p>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. <p>This book explains OAS analysis in plain English, presenting each step in the method clearly and concisely. Topics covered include: <ul><li><i>Why yield-based analysis breaks down for nonbullet bonds</li> <li>How to model put and call provisions as embedded options</li> <li>How to distinguish the intrinsic and time components of option value</li> <li>How to model interest-rate volatility, future interest rates, and future bond prices</li> <li>How to calculate option-free price and yield</li> <li>How to estimate the &#8220;fair value&#8221; of a bond</li> <li>How to calculate implied spot and forward rates</i></li></ul> <p>Salespeople, traders, and investors will want to read this book and keep it on their desks.

Dettagli dell'edizione

• Editore: Bloomberg Pr
• Data di pubblicazione: 2007
• Lingua: Inglese
• ISBN 10: 1576602419
• ISBN 13: 9781576602416
• Rilegatura: Copertina rigida
• Numero di pagine: 159
• Contatto del produttore: non disponibile
• Persona responsabile: non disponibile