Nicholas Burgess

University of Oxford - Said Business School

Park End Street

Oxford, OX1 1HP

Great Britain

  • University of Oxford - Said Business School

SCHOLARLY PAPERS

50

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84,588

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55

Ideas:
“  Electronic Rates & Algorithmic Trading, Machine Learning Applications in Finance, Financial Strategy, Private Equity, Flow & Exotic Derivatives Pricing  ”

  • University of Oxford - Said Business School

Scholarly Papers (50)

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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 11,865 (941)

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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 7,077 (2,173)
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 4,137 (5,444)
Citation 2

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Vasicek Model, Short Rate Models, Bond Pricing

4.

Understanding Bonds, Pricing and the Risks ‘My Name Is Bond, James Bond’

Number of pages: 13 Posted: 17 Oct 2022 Last Revised: 21 Feb 2023
Nicholas Burgess
University of Oxford - Said Business School
Downloads 3,998 (5,758)

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Bond, dirty price, clean price, accrued interest, yield to maturity, internal rate of return, cash flows, optimization, Newton-Raphson, low latency, DV01

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 3,886 (6,026)

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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.

An Introduction to Arbitrage Trading Strategies

Number of pages: 6 Posted: 28 Apr 2023
Nicholas Burgess
University of Oxford - Said Business School
Downloads 3,699 (6,570)

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Arbitrage, Trading Strategies, Mispricing, Volatility, Structured Products, Capital Structure, Stocks, Equity, Credit Derivatives, Bonds, Options

7.

Tenor Basis Swap Formulae

Number of pages: 4 Posted: 27 Apr 2017
Nicholas Burgess
University of Oxford - Said Business School
Downloads 3,325 (7,793)

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

8.

An Introduction to Bond Carry Trading Strategies

Number of pages: 6 Posted: 12 May 2023
Nicholas Burgess
University of Oxford - Said Business School
Downloads 2,495 (12,238)

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Bonds, Carry, Trade, Strategy, Capital Requirements, Bond Default, Alpha, Benchmark Returns, Sharpe Ratio

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: 05 Feb 2022
Nicholas Burgess
University of Oxford - Said Business School
Downloads 2,458 (12,543)
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.

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 2,425 (12,833)

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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

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 2,418 (12,884)
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.

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

Number of pages: 40 Posted: 17 Jun 2019 Last Revised: 09 Mar 2022
Nicholas Burgess
University of Oxford - Said Business School
Downloads 2,335 (13,643)
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

13.

Martingale Measures & Change of Measure Explained

Number of pages: 16 Posted: 01 May 2017
Nicholas Burgess
University of Oxford - Said Business School
Downloads 2,296 (14,021)
Citation 3

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

14.

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 2,258 (14,385)
Citation 2

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

15.

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 2,211 (14,869)

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

16.

FX Forward Invariance & Discounting with CSA Collateral

Number of pages: 3 Posted: 31 Jul 2017 Last Revised: 08 Nov 2023
Nicholas Burgess
University of Oxford - Said Business School
Downloads 2,202 (14,987)
Citation 2

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

17.

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: 28 Mar 2022
Nicholas Burgess
University of Oxford - Said Business School
Downloads 1,967 (17,963)

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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

18.

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 1,838 (22,080)
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

19.

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 1,569 (25,507)
Citation 1

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

20.

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

International Journal of Artificial Intelligence and Machine Learning, 2(1), 38-60. doi: 10.51483/IJAIML.2.1.2022.38-60.1
Number of pages: 44 Posted: 31 Mar 2021 Last Revised: 20 Oct 2024
Nicholas Burgess
University of Oxford - Said Business School
Downloads 1,521 (26,687)
Citation 2

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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

21.

Algorithmic Adjoint Differentiation (AAD) for Swap Pricing and DV01 Risk

Number of pages: 21 Posted: 24 May 2022 Last Revised: 12 Feb 2023
Nicholas Burgess
University of Oxford - Said Business School
Downloads 1,463 (28,329)

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Interest Rate Swaps, Swap Pricing, Swap Risk, DV01, Algorithmic Differentiation (AD), Tangent Mode, Adjoint Mode, C++, AD By Hand, Professional AD Implementation

22.

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 1,341 (32,154)

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

23.

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 1,333 (32,522)
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

24.

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 1,296 (33,824)
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

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 1,240 (36,052)

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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.

Quanto Credit Default Swaps Theory, Pricing & Practice

Number of pages: 24 Posted: 06 Dec 2023
Nicholas Burgess
University of Oxford - Said Business School
Downloads 1,174 (39,351)

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Credit Derivatives, Credit Default Swaps, CDS, Quanto CDS, Par Spread, Market Data, Quanto FX Risks, FX Jump Risk, Hazard Rates, Quanto Effect, Quanto Basis, Implied FX Jumps, Eurozone, Japan, Brazil, Emerging Markets

27.

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 1,038 (46,593)
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

28.

Interest Rate Markets & The Forward Rate - Discount Factor Relationship Explained

Number of pages: 7 Posted: 18 Nov 2021 Last Revised: 20 Dec 2021
Nicholas Burgess
University of Oxford - Said Business School
Downloads 783 (68,720)

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Interest Rate Markets, Yield Curves, Forward Rates, Discount Factors, Calibration, Compounding, State Variables, Interpolation, FED Funds, SOFR

29.

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

Number of pages: 7 Posted: 03 Sep 2021 Last Revised: 20 Dec 2021
Nicholas Burgess
University of Oxford - Said Business School
Downloads 763 (71,046)

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

30.

Brazilian DI1 Interest Rate Futures

Number of pages: 4 Posted: 04 May 2022
Nicholas Burgess
University of Oxford - Said Business School
Downloads 742 (73,749)

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Brazil, Futures, Exchange Traded, Onshore, Interest Rates, CDI, Interbank Deposits, Cash Settlement

31.

Low Latency Interest Rate Markets - Theory, Pricing & Practice (Presentation Slides)

Number of pages: 55 Posted: 02 Feb 2023
Nicholas Burgess
University of Oxford - Said Business School
Downloads 738 (74,262)

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Electronic Markets, Trading, Quant Finance, High Frequency Trading, Market Making, Interest Rates, Credit Derivatives, Asset Swaps, Pricing, Risk, Yield Curves, Advanced Risk, Real-Time, Peformance, Efficiency, Accuracy, Low Latency, Curve Jacobians, Automatic Adjoint Differentiation, AAD

32.

Electronic Rates Markets & Low Latency Interest Rate Swap Calculations

Number of pages: 27 Posted: 07 Jun 2022
Nicholas Burgess
University of Oxford - Said Business School
Downloads 674 (83,482)

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Electronic Markets, Swap Execution Facility, SEF, Request-for-Quote, RFQ, Bloomberg, Interest Rate Swaps, IRS, Swap Schedules, High Speed, Low Latency, Dynamic Data, Static Data, Curve Jacobian, Algorithmic Adjoint Differentiation, Speed, Performance Acceleration.

33.

Algorithmic Differentiation Cheat Sheet

Number of pages: 7 Posted: 24 May 2022 Last Revised: 12 Feb 2023
Nicholas Burgess
University of Oxford - Said Business School
Downloads 659 (85,788)

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Algorithmic Differentiation, Chain-Rule, Tangent Mode, Forwards, Adjoint Mode, Backwards, Reverse, Accuracy, Machine Precision, Low Latency, By Hand, Finance, Risks, Sensitivities

34.

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 614 (93,920)
Citation 3

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

35.

Exotic Option Pricing using Heston Simulation

Number of pages: 22 Posted: 28 Mar 2022
Nicholas Burgess
University of Oxford - Said Business School
Downloads 480 (127,474)

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Exotic Options, Smile, Skew, Stochastic Volatility, Heston Model, Simulation, Monte Carlo, Euler Discretization, Exact Simulation, Almost Exact Simulation, Negative Variance, Absorption, Reflection, Cholesky Decomposition, Correlation, Integral Freezing, Pricing, Valuation, Python

36.

Bond Total Return Swaps - Theory, Pricing & Practice

Number of pages: 23 Posted: 15 Jan 2025
Nicholas Burgess
University of Oxford - Said Business School
Downloads 460 (134,180)

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37.

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 430 (145,628)

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

38.

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 412 (152,684)

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Newton-Raphson, Solve, Minimize, Complex Formula Solving

39.

Computationally Efficient Zero Coupon Swap Formulae

Number of pages: 2 Posted: 13 Aug 2021
Nicholas Burgess
University of Oxford - Said Business School
Downloads 309 (209,394)

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

40.

Libor Benchmark Reform: Recipes for Success & Disaster

Number of pages: 5 Posted: 10 Apr 2020
Nicholas Burgess
University of Oxford - Said Business School
Downloads 305 (212,373)

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

41.

Solving Complex Equations Subject to Constraints Using Lagrangian Constrained Optimization

Number of pages: 6 Posted: 08 Sep 2021 Last Revised: 10 Jan 2022
Nicholas Burgess
University of Oxford - Said Business School
Downloads 286 (227,214)

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

42.

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 279 (233,095)
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

43.

Synthetic Forward FX Replication & Collateralized Discount Factors

Number of pages: 15
Nicholas Burgess
University of Oxford - Said Business School
Downloads 276

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44.

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 251 (259,595)
Citation 1

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

45.

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 248 (262,691)
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

46.

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 246 (264,818)
Citation 3

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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

47.

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 218 (297,719)
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

48.

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 196 (328,945)
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

49.

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 193 (333,708)
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

50.

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 161 (392,045)
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

Other Papers (2)

Total Downloads: 6,233
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Email selected abstracts
1.

Correlated Monte Carlo Simulation using Cholesky Decomposition

Number of pages: 20 Posted: 04 May 2022 Last Revised: 13 May 2022
Nicholas Burgess
University of Oxford - Said Business School
Downloads 5,762

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Multi-Dimensional, Monte Carlo, Simulation, Correlation, Brownian Motion, Ito's Lemma, Cholesky Decomposition, Correlated Random Variables

2.

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 471 (583,708)

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