Introduction to Option-Adjusted Spread Analysis by Tom Miller

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Introduction to Option-Adjusted Spread Analysis by Tom Miller

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Introduction to Option-Adjusted Spread Analysis by Tom Miller

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.

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Tom Miller moved to New York City in 1979 from Dayton, Ohio. The transplanted Buckeye brought with him a passion for investigating the personal stories of buildings. While his first employment was in the bustling Garment District as an office manager, he has since been involved for many years with the New York Police Department, where--whether on patrol or marching its wide avenues--he had the opportunity to see the city's seemingly endless variety of buildings. Tom currently holds the rank of Deputy Inspector within the NYPD's Auxiliary Police Force. In 2009 he started his blog, Daytonian in Manhattan which has now reviewed over a thousand buildings, statues and other points of interest. He is the author of Seeking New York published by Universe in 2015.
SKU Nicht verfügbar
ISBN 13 9781576602416
ISBN 10 1576602419
Titel Introduction to Option-Adjusted Spread Analysis
Autor Tom Miller
Serie Bloomberg Financial
Buchzustand Nicht verfügbar
Verlag Bloomberg Press
Erscheinungsjahr 2007-05-01
Seitenanzahl 176
Hinweis auf dem Einband Die Abbildung des Buches dient nur Illustrationszwecken, die tatsächliche Bindung, das Cover und die Auflage können sich davon unterscheiden.