Nicholas Burgess

University of Oxford, Said Business School, Students

Oxford , OX1 5NY

United Kingdom

SCHOLARLY PAPERS

17

DOWNLOADS
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Top 5,285

in Total Papers Downloads

7,875

CITATIONS
Rank 32,059

SSRN RANKINGS

Top 32,059

in Total Papers Citations

17

Ideas:
“  High Performance Real-Time Interest Rate Risk Calculations using Yield Curve Jacobians  ”

Scholarly Papers (17)

1.

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, Students
Downloads 1,275 (14,838)
Citation 2

Abstract:

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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

2.

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, Students
Downloads 929 (23,899)
Citation 2

Abstract:

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Vasicek Model, Short Rate Models, Bond Pricing

3.

Tenor Basis Swap Formulae

Number of pages: 4 Posted: 27 Apr 2017
Nicholas Burgess
University of Oxford, Said Business School, Students
Downloads 844 (27,428)

Abstract:

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

4.

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, Students
Downloads 839 (27,656)

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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

5.

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, Students
Downloads 817 (28,683)
Citation 1

Abstract:

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

6.

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, Students
Downloads 684 (36,596)

Abstract:

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

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, Students
Downloads 434 (65,516)

Abstract:

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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.

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, Students
Downloads 386 (75,573)

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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

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, Students
Downloads 313 (95,619)
Citation 1

Abstract:

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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, Students
Downloads 296 (101,598)
Citation 1

Abstract:

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

11.

Martingale Measures & Change of Measure Explained

Number of pages: 16 Posted: 01 May 2017
Nicholas Burgess
University of Oxford, Said Business School, Students
Downloads 247 (122,875)
Citation 3

Abstract:

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

12.

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, Students
Downloads 195 (154,468)

Abstract:

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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

13.

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, Students
Downloads 190 (159,714)

Abstract:

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

14.

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, Students
Downloads 188 (159,714)
Citation 3

Abstract:

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

15.

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, Students
Downloads 148 (196,420)
Citation 4

Abstract:

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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

16.

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, Students
Downloads 49 (389,334)

Abstract:

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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

17.

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

Number of pages: 40 Posted: 17 Jun 2019
Nicholas Burgess
University of Oxford, Said Business School, Students
Downloads 41 (418,011)

Abstract:

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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