Details

Introduction to Option-Adjusted Spread Analysis


Introduction to Option-Adjusted Spread Analysis


Bloomberg Financial, Band 46 3rd Revised and Expanded Edition of the OAS Classic by Tom Windas

von: Tom Miller

25,99 €

Verlag: Wiley
Format: EPUB
Veröffentl.: 18.05.2010
ISBN/EAN: 9780470885154
Sprache: englisch
Anzahl Seiten: 176

DRM-geschütztes eBook, Sie benötigen z.B. Adobe Digital Editions und eine Adobe ID zum Lesen.

Beschreibungen

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>
Foreword  (Peter Wilson).<br /> <br /> Introduction: Why OAS Analysis?<br /> <br /> <b>PART ONE.</b> Yield Analysis versus OAS Analysis. <br /> <br /> CHAPTER 1. Fatal Flaws in Traditional Yield Calculations  <br /> <br /> CHAPTER 2. The Bond as a Portfolio.  <br /> <br /> <b>PART TWO.</b> Valuing Options. <br /> <br /> CHAPTER 3. Intrinsic Value. <br /> <br /> CHAPTER 4. Time Value. <br /> <br /> <b>PART THREE.</b> Modeling Interest Rates.<br /> <br /> CHAPTER 5. Implied Spot and Forward Rates. <br /> <br /> CHAPTER 6. Beyond the Lognormal Model. <br /> <br /> CHAPTER 7. Volatility and the Binomial Tree. <br /> <br /> CHAPTER 8. Matching the Model to the Market. <br /> <br /> <b>PART FOUR.</b> Measuring the Spread. <br /> <br /> CHAPTER 9. Bullet Bonds. <br /> <br /> CHAPTER 10. Nonbullet Bonds. <br /> <br /> <b>PART FIVE.</b> Applications of OAS Analysis. <br /> <br /> CHAPTER 11. Evaluating Performance. <br /> <br /> CHAPTER 12. Estimating Fair Value. <p>Glossary.<br /> Index.</p>
<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>
<p><i>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...</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> <p>This book explains OAS analysis in plain English, presenting each step in the method clearly and concisely. Topics covered include:</p> <ul> <li><i>Why yield-based analysis breaks down for nonbullet bonds</i></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>Salespeople, traders, and investors will want to read this book and keep it on their desks.</p>

Diese Produkte könnten Sie auch interessieren:

Agile Project Management
Agile Project Management
von: Project Management Journal
EPUB ebook
23,99 €
Make Change Work
Make Change Work
von: Randy Pennington
PDF ebook
14,99 €
Nonprofit Law Made Easy
Nonprofit Law Made Easy
von: Bruce R. Hopkins
EPUB ebook
53,99 €