1 option
Introduction to option-adjusted spread analysis / Tom Windas ; revised by Tom Miller ; foreword by Peter Wilson.
- Format:
- Book
- Author/Creator:
- Windas, Tom.
- Series:
- Bloomberg Financial
- Bloomberg Financial ; v.46
- Language:
- English
- Subjects (All):
- Fixed-income securities.
- Option-adjusted spread analysis.
- Physical Description:
- 1 online resource (177 p.)
- Edition:
- Rev. and expanded 3rd ed.
- Other Title:
- Option-adjusted spread analysis
- Place of Publication:
- New York : Bloomberg Press, 2007.
- Language Note:
- English
- System Details:
- text file
- Summary:
- "Explains option-adjusted spread analysis, a method for valuing bonds with options. This book takes readers through each step of the calculation"--Provided by publisher.
- Contents:
- Introduction to Option-Adjusted Spread Analysis; CONTENTS; Foreword by Peter Wilson; Acknowledgments; Introduction: Why OAS Analysis?; PART ONE Yield Analysis Versus OAS Analysis; CHAPTER 1 Fatal Flaws in Traditional Yield Calculations; CHAPTER 2 The Bond as a Portfolio; PART TWO Valuing Options; CHAPTER 3 Intrinsic Value; CHAPTER 4 Time Value; PART THREE Modeling Interest Rates; CHAPTER 5 Implied Spot and Forward Rates; CHAPTER 6 Beyond the Lognormal Model; CHAPTER 7 Volatility and the Binomial Tree; CHAPTER 8 Matching the Model to the Market; PART FOUR Measuring the Spread
- CHAPTER 9 Bullet BondsCHAPTER 10 Nonbullet Bonds; PART FIVE Applications of OAS Analysis; CHAPTER 11 Evaluating Performance; CHAPTER 12 Estimating Fair Value; Conclusion: Building a Better OAS; Glossary; References & Additional Reading; Index
- Notes:
- Description based upon print version of record.
- Includes bibliographical references (p. 153-154) and index.
- ISBN:
- 9786612686856
- 9781119204787
- 111920478X
- 9781282686854
- 1282686852
- 9780470883136
- 0470883138
- OCLC:
- 642662051
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.