Introduction to Option-Adjusted Spread Analysis
Top traders, investors, and analysts agree that one method,option-adjusted spread (OAS) analysis, is the most useful way tocompare and value securities with options. Nearly every day thebond market figures out a new way to structure securities, most ofwhich involve options.This book explains OAS analysis in plain English, presenting eachstep 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 optionvalue* How to model interest-rate volatility, future interest rate…
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Produktdetails
- ISBN: 978-0-470-88313-6
- EAN: 9780470883136
- Produktnummer: 13833475
- Verlag: Wiley
- Sprache: Englisch
- Erscheinungsjahr: 2010
- Seitenangabe: 159 S.
- Plattform: PDF
- Masse: 1'217 KB
- Auflage: 3. Aufl.
Über den Autor
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.
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