how to fix the O2 sensor coaxial cable?

[xagna]

I was going to change the exhaust gas temperature sensor. Then, I found this. The cable that leads into engine harness from O2 sensor connector was cut! It was not completely cut but outer layer and coil of the coaxial cable was but while inner core and inner coil remained intact.
So the circuit was open as a result. Now, I am driving without o2 sensor and the gas milege is worse than when the o2 sensor circuit was open.

I would like to know how I could fix this. Is fixing coaxial cable a lot harder than normal wire? I never have done this. What kinds of tools do I need and where should I get the spare coaxial cable?