An Introduction to Option Adjusted Spread Analysis, Revised and Expanded Third Edition

Tom Miller

ISBN 10: 1576602419 / ISBN 13: 9781576602416

Published by Wiley Mai 2007, 2007

About this Item

Neuware - Imagine this: you'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.

Seller Inventory # 9781576602416

Bibliographic Details

• Title: An Introduction to Option Adjusted Spread Analysis, Revised and Expanded Third Edition
• Publisher: Wiley Mai 2007
• Publication Date: 2007
• Language: English
• ISBN 10: 1576602419
• ISBN 13: 9781576602416
• Binding: Buch
• Edition: 3rd Edition
• Condition: Neu
• Dimensions: 222W x 145H x 13D millimeters 222 millimeters width by 145 millimeters height by 13 millimeters depth
• Weight: 362 grams

About this title

Synopsis

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.

About the Author

Tom Miller, 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.