Nicholas Burgess

University of Oxford, Said Business School

Post graduate student

Oxford, OX1 5NY

United Kingdom

  • University of Oxford, Said Business School

SCHOLARLY PAPERS

37

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29

Ideas:
“  Corporate Finance, Algorithmic Differentiation, Machine Learning in Finance  ”

  • University of Oxford, Said Business School

Scholarly Papers (37)

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1.

Cross Currency Swap Theory & Practice - An Illustrated Step-by-Step Guide of How to Price Cross Currency Swaps and Calculate the Basis Spread

Number of pages: 26 Posted: 12 Nov 2018 Last Revised: 28 Mar 2019
Nicholas Burgess
University of Oxford, Said Business School
Downloads 3,429 (4,041)
Citation 1

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Cross Currency Swaps, Marked-to-Market, Notional Resetting, Counterparty Credit Risk, CSA, Collateral Posting, FX Forward Rates, Present Value, Pricing, Par Spread, Basis Spread

2.

How to Price Swaps in Your Head - An Interest Rate Swap & Asset Swap Primer

Number of pages: 96 Posted: 31 Jul 2016 Last Revised: 10 Apr 2017
Nicholas Burgess
University of Oxford, Said Business School
Downloads 2,481 (6,914)
Citation 4

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Interest Rate Swap, Asset Swap, Par Rate, Swap Rate, PV01, DV01, Duration, Convexity, Credit Risk, Asset Swap Spread, Yield-Yield Method, Par-Par Method, Par Adjustments, Excel Pricing & Risk

3.

An Overview of the Vasicek Short Rate Model

Number of pages: 16 Posted: 15 Aug 2014 Last Revised: 27 Nov 2017
Nicholas Burgess
University of Oxford, Said Business School
Downloads 2,266 (8,033)
Citation 2

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Vasicek Model, Short Rate Models, Bond Pricing

4.

Tenor Basis Swap Formulae

Number of pages: 4 Posted: 27 Apr 2017
Nicholas Burgess
University of Oxford, Said Business School
Downloads 1,759 (12,092)

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Tenor Basis Swaps, Basis Spread, Present Value, Pricing, Annuity

5.

Par-Par Asset Swap Spreads: An Illustration of How to Price Asset Swaps

Number of pages: 10 Posted: 14 Jul 2016 Last Revised: 04 Dec 2016
Nicholas Burgess
University of Oxford, Said Business School
Downloads 1,655 (13,313)

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Asset Swap, Credit Risk, Asset Swap Spread, Yield-Yield Method, Par-Par Method, Par Adjustments, Accrued Interest, Dirty Price, Clean Price

6.

Bond Option Pricing using the Vasicek Short Rate Model

Number of pages: 30 Posted: 16 Aug 2014
Nicholas Burgess
University of Oxford, Said Business School
Downloads 1,182 (22,327)
Citation 2

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Vasicek Model, Forward Measure, Bond Option Pricing, Jamshidian's Trick

7.

Cash-Settled Swaptions - A Review of Cash-Settled Swaption Pricing

Number of pages: 15 Posted: 14 Feb 2018
Nicholas Burgess
University of Oxford, Said Business School
Downloads 1,039 (26,925)

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Interest Rate Swaption, Generalized Black-Scholes, Black Model, European Swaption Pricing, Annuity Martingale Measure, Cash / Physical Settlement, Pricing Formulae, Cash Annuity, Swap Stubs

8.

The Hull-White 1 Factor Convexity Adjustment and the Special Case when the Hull-White and Ho-Lee Models are Equivalent

Number of pages: 3 Posted: 11 Apr 2015 Last Revised: 10 Oct 2016
Nicholas Burgess
University of Oxford, Said Business School
Downloads 977 (29,342)

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Hull-White Model, Ho-Lee Model, Convexity Adjustments, Eurodollar Futures

9.

Interest Rate Swaptions - A Review & Derivation of Swaption Pricing Formulae

Journal of Economics and Financial Analysis, Vol:2, No:2 (2018) 87-103
Number of pages: 15 Posted: 05 Jan 2018 Last Revised: 16 Feb 2018
Nicholas Burgess
University of Oxford, Said Business School
Downloads 881 (33,982)
Citation 1

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Interest Rate Swaps, Swaptions, European Swaption Pricing, Cash/Physical Settlement, Martingale Representation Theorem, Annuity Martingale Measure, Radon-Nikodym Derivative, Change of Measure, Generalized Black-Scholes, Black-76 Model

10.

FX Forward Invariance & Discounting with CSA Collateral

Number of pages: 3 Posted: 31 Jul 2017
Nicholas Burgess
University of Oxford, Said Business School
Downloads 829 (36,896)
Citation 2

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FX Forward Invariance, CSA, Standard CSA, Native CSA, Non-Standard CSA, Yield Curve, Collateralization, Discount Factors

11.

Libor Benchmark Reform: An Overview of Libor Changes and Its Impact on Yield Curves, Pricing and Risk

Number of pages: 67 Posted: 12 Nov 2019 Last Revised: 03 Jan 2020
Nicholas Burgess
University of Oxford, Said Business School
Downloads 798 (39,062)
Citation 5

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Libor, Benchmark Reform, IBOR, Alternative Reference Rate, Risk-Free Rate, SOFR, ESTR, Secured, Unsecured, Yield Curves, Calibration, Risk

12.

A Review of the Vasicek & Hull-White Models & the Likelihood of Negative Rates

Number of pages: 13 Posted: 14 Feb 2018 Last Revised: 19 Nov 2018
Nicholas Burgess
University of Oxford, Said Business School
Downloads 725 (44,334)

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Short Rate Models, Vasicek Model, Hull-White Model, Negative Interest Rates, Gaussian Process, Normal Distribution

13.

Martingale Measures & Change of Measure Explained

Number of pages: 16 Posted: 01 May 2017
Nicholas Burgess
University of Oxford, Said Business School
Downloads 632 (53,228)
Citation 3

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Martingales, Numeraires, Measures, Change of Measure, Girsanov Theorem

14.

Convexity Adjustments Made Easy - A Review of Convexity Adjustment Methodologies and Formulae in Interest Rate Markets

Number of pages: 39 Posted: 17 Jun 2019 Last Revised: 23 Dec 2019
Nicholas Burgess
University of Oxford, Said Business School
Downloads 528 (66,703)
Citation 1

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Convexity Adjustments, Convexity Formulae, Convexity Conundrums, Change of Measure, Radon-Nykodym Derivative, Lognormal, Shifted-Lognormal, Normal, Hull's Method, Linear Swap Rate Method, Replication, Libor In-Arrears Swaps, Constant Maturity Swaps, CMS Caplets, Floorlets and Swaplets

15.

Credit Derivative Theory & Practice – A Credit Primer & Review of the Impact of ISDA Standardization on Credit Default Swap Pricing & Credit Model Calibration

Number of pages: 28 Posted: 14 Mar 2018 Last Revised: 06 Nov 2018
Nicholas Burgess
University of Oxford, Said Business School
Downloads 493 (72,609)

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Credit Derivatives, Credit Default Swaps, Credit Index, Credit Event, Credit Tightening, Credit Widening, Survival Probability, Default Probability, Hazard Rate, Loss Given Default (LGD), Recovery Rate, ISDA Standardization, Credit Spread, Par Spread, Risky Annuity, Risky Discount Factor

16.

An Overview of Collateralization Fundamentals & the ISDA Credit Support Annex

Number of pages: 7 Posted: 19 Sep 2017 Last Revised: 05 Feb 2018
Nicholas Burgess
University of Oxford, Said Business School
Downloads 483 (74,687)
Citation 9

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Central Clearing Counterparty, CCP, Central Clearing House, Cleared Transactions, Bilateral Trading, Exposure Profiles, Netting Sets, Counterparty Valuation Adjustments, XVA, CVA, Collateralization, Break-Clauses, Physical and Cash Settlement, ISDA Master Agreement, Credit Support Annex, Credit Thre

17.

A Review of the Generalized Black-Scholes Formula & It’s Application to Different Underlying Assets

Number of pages: 12 Posted: 23 Aug 2017 Last Revised: 15 Feb 2018
Nicholas Burgess
University of Oxford, Said Business School
Downloads 465 (77,967)
Citation 3

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Generalized Black-Scholes, Derivation, Black Model, Cost of Carry, European Option Pricing, Put-Call Parity, Put-Call Super-Symmetry

18.

An Introduction to Algorithmic Trading: Opportunities & Challenges within the Systematic Trading Industry

Number of pages: 3 Posted: 22 Oct 2019
Nicholas Burgess
University of Oxford, Said Business School
Downloads 437 (83,919)
Citation 1

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Algorithmic Trading, Systematic Trading, Efficient Market Hypothesis, Trading Systems, Fundamental Analysis, Technical Analysis, Machine Learning, Social Media, Alternative Reference Data, Operational Costs, Hedge Funds, Assets Under Management, High Frequency Trading, Trade Execution, Market Predic

19.

Cross Currency Swap Trading & Pricing Formulae - A PowerPoint Overview with Excel Pricing Examples

Number of pages: 30 Posted: 06 May 2019
Nicholas Burgess
University of Oxford, Said Business School
Downloads 356 (106,232)
Citation 1

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Cross Currency Swaps, Xccy Swaps, Trading, Pricing Formula, PowerPoint Overview, Excel Pricing Examples, Rates Trading, Interest Rate Swaps, Yield Curve Construction

20.

NYU Yield Curve Seminar - An Overview of Yield Curve Calibration & LIBOR Reform

Number of pages: 40 Posted: 08 Apr 2021
Nicholas Burgess
University of Oxford, Said Business School
Downloads 274 (140,679)

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Libor, Benchmark Reform, IBOR, Alternative Reference Rate, Risk-Free Rate, SOFR, ESTR, Secured, Unsecured, Yield Curves, Calibration, Risk

21.

Machine Earning – Algorithmic Trading Strategies for Superior Growth, Outperformance and Competitive Advantage

Number of pages: 44 Posted: 31 Mar 2021
Nicholas Burgess
University of Oxford, Said Business School
Downloads 201 (190,757)

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algorithmic trading, algos, strategies, artificial intelligence, AI, machine learning, ML, macro environment, Covid19, Coronavirus, PESTEL analysis, growth, value proposition, SWOT analysis, VRINO analysis, strategy canvas, core competencies competitive advantage, mergers and acquisitions, M&A

22.

Libor Benchmark Reform: Recipes for Success & Disaster

Number of pages: 5 Posted: 10 Apr 2020
Nicholas Burgess
University of Oxford, Said Business School
Downloads 180 (209,428)

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Libor, Libor Benchmark Reform, Alternative Reference Rates, ARRs, IOSCO Standards, ISDA Protocol, Fall-backs

23.

Are We Heading into a Recession? Yield Curve Inversion as a Recession Predictor

Number of pages: 6 Posted: 24 Sep 2019
Nicholas Burgess
University of Oxford, Said Business School
Downloads 161 (230,306)
Citation 3

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Yield Curves, Yield Spreads, Term Structure, Inverted, Recession, Prediction, Early Economic Indicator, Federal Reserve

24.

Capital Structure & Corporate Finance Techniques to Maximize Firm Value & Investor Returns

Number of pages: 17 Posted: 15 Nov 2020 Last Revised: 18 Nov 2020
Nicholas Burgess
University of Oxford, Said Business School
Downloads 129 (274,931)

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Capital Structure, Modigliani Miller, Trade-Off Theory, Tax-Shield, Bankruptcy Cost, Debt Financing, Equity Financing, Maximizing Firm Value

25.

How to Value Private Companies using Multiples and Discounted Cash Flow Analysis

Number of pages: 35 Posted: 27 May 2021
Nicholas Burgess
University of Oxford, Said Business School
Downloads 124 (283,216)

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Corporate Finance, Pricing, Valuation, Private Company, Illiquid, Proxy, Multiples, Discounted Cash Flows, DCF, Cost of Capital, WACC, Growth Rates, Leverage, Lever, Unlever, Beta, EBITDA, Balance Sheet, Cash Flows, Income, Excel

26.

Transforming Projects into Superior Investment Strategies Using Cash Flow Statement Analysis

Number of pages: 15 Posted: 04 Nov 2020 Last Revised: 20 Nov 2020
Nicholas Burgess
University of Oxford, Said Business School
Downloads 97 (335,354)
Citation 3

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Project Finance, Cash Flow Statements, Working Capital, Cost of Capital, Evaluating Risk, Net Present Value, Optimal Investments, Superior Investment Strategies

27.

Corporate & Project Finance Valuation Techniques for Maximizing Returns & Superior Growth Strategies

Number of pages: 17 Posted: 28 Aug 2020
Nicholas Burgess
University of Oxford, Said Business School
Downloads 90 (351,598)

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Corporate Finance, Project Finance, Time Value of Money, Maximizing Returns, Growth Strategies, Cost of Capital, WACC, Discount Factors, Present Value, Perpetuity, Annuity, Firm Value, Debt Value, Takeovers, Acquisitions, Debt Financing

28.

Advanced Yield Curve Calibration, Mixed Interpolation Schemes & How to Incorporate Jumps and the Turn-of-Year Effect

Number of pages: 5 Posted: 03 Sep 2021
Nicholas Burgess
University of Oxford, Said Business School
Downloads 77 (386,013)

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Yield Curves, Interest Rates, Discount Factors, Forward Rates, Interpolation, Turn-of-Year, Jumps, Turns, Calibration, Pricing, Discounting

29.

Strategic Analysis of Japanese Megabanks – Core Competency Development for Competitive Advantage

Number of pages: 8 Posted: 31 Aug 2020 Last Revised: 31 Mar 2021
Nicholas Burgess
University of Oxford, Said Business School
Downloads 71 (403,932)
Citation 1

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Corporate Finance, Japanese Megabanks, Core Competence, Sustainable Competitive Advantage, VRINO Analysis, Value Chain Analysis, Resource and Capability Assessment, SWOT Analysis

30.

Strategic Analysis of Japanese Megabanks - Macro Scenario Analysis of Financial Services

Number of pages: 8 Posted: 31 Aug 2020
Nicholas Burgess
University of Oxford, Said Business School
Downloads 63 (433,501)
Citation 2

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Corporate Finance, Macro Scenario Analysis, Financial Services, Japanese Megabanks, Corporate Strategy, PESTEL Analysis, Macro Prediction, Workforce Disruption, Green Finance, New Technologies, Digital Finance, Flexible Workforce, Quantitative Easing, Weak Economies, McKinsey Topology of Uncertainty

31.

Strategic Analysis of Japanese Megabanks – Strategy Canvas Analysis & Competitor Benchmarking

Number of pages: 7 Posted: 31 Aug 2020
Nicholas Burgess
University of Oxford, Said Business School
Downloads 55 (458,940)
Citation 1

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Corporate Finance, Japanese Megabanks, Competitor Analysis, Strategy Canvas, Critical Success Factors, Strategic Competitive Advantage, Blue Ocean Opportunities,

32.

Computationally Efficient Zero Coupon Swap Formulae

Number of pages: 2 Posted: 13 Aug 2021
Nicholas Burgess
University of Oxford, Said Business School
Downloads 49 (482,736)

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zero coupon swaps, zero rate, computationally efficient, swaps, price, present value

33.

How Risky is your Project Really? Corporate Finance Strategies for Assessing Risk

Number of pages: 9 Posted: 09 Feb 2021 Last Revised: 07 Apr 2021
Nicholas Burgess
University of Oxford, Said Business School
Downloads 49 (482,736)
Citation 1

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Risk, Expected Return, Beta, Capital Asset Pricing Model, CAPM, Weighted Average Cost of Capital, WACC, Leverage, Lever, Unlever, Debt Financing

34.

Strategic Analysis of Japanese Megabanks – Financial Services Industry Analysis

Number of pages: 8 Posted: 31 Aug 2020
Nicholas Burgess
University of Oxford, Said Business School
Downloads 45 (504,496)
Citation 2

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Corporate Finance, Japanese Megabanks, Porter's Five Forces, Rivalry, Substitution Threats, Buyer Power, Seller Power, New Market Entrants, Capital Costs, Alliances, Blue Ocean Opportunities

35.

Strategic Analysis of Japanese Megabanks - Changes in Relative Prioritization of Stakeholders & the Implication for Corporate Strategy

Number of pages: 8 Posted: 31 Aug 2020
Nicholas Burgess
University of Oxford, Said Business School
Downloads 43 (513,520)
Citation 2

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Stakeholder Prioritization, Corporate Strategy, Japanese Megabanks, Mission Statement, Incentives and Rewards, PESTEL Analysis, Growth Opportunities, Digital Finance, Social Media Trends, Green Finance, Climate Change, Cost-Cutting, Economies of Scale

36.

Solving Complex Equations Subject to Constraints Using Lagrangian Constrained Optimization

Number of pages: 6 Posted: 08 Sep 2021
Nicholas Burgess
University of Oxford, Said Business School
Downloads 39 (527,835)

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Lagrangian, Constrained Optimization, Minimum, Maximum, Constraints, First Derivative, Lagrange Multiplier, Solver

37.

Quant Notes - How to Solve & Minimize Complex Equations using the Newton-Raphson Method

Number of pages: 4 Posted: 31 Aug 2021
Nicholas Burgess
University of Oxford, Said Business School
Downloads 34 (553,407)

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Newton-Raphson, Solve, Minimize, Complex Formula Solving

Other Papers (1)

Total Downloads: 51
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1.

Interest Rate Swap Compounding Formulae

Number of pages: 2 Posted: 03 Aug 2021 Last Revised: 16 Aug 2021
Nicholas Burgess
University of Oxford, Said Business School
Downloads 51 (583,708)

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Interest Rate Swaps, Compounding, Formulae, Geometric, Arithmetic, Float Spread, ISDA