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Introduction to Option-Adjusted Spread Analysis的圖書 |
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Introduction to Option-Adjusted Spread Analysis 作者：Tom Miller 出版社：Wiley 出版日期：2010-05-18 語言：英文 |
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圖書介紹 - 資料來源：樂天KOBO 評分：
圖書名稱：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 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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