Nicholas Burgess

University of Oxford, Said Business School

Post graduate student

Oxford, OX1 5NY

United Kingdom

  • University of Oxford, Said Business School

SCHOLARLY PAPERS

30

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16,760

SSRN CITATIONS
Rank 27,174

SSRN RANKINGS

Top 27,174

in Total Papers Citations

5

CROSSREF CITATIONS

27

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

  • University of Oxford, Said Business School

Scholarly Papers (30)

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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 2,259 (7,114)
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 1,999 (8,723)
Citation 3

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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 1,858 (9,850)
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 1,427 (14,952)

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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 1,285 (17,541)

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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 1,041 (24,057)
Citation 2

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

7.

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 843 (32,550)

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

8.

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 770 (36,809)

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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

9.

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 631 (48,139)

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

10.

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 630 (48,226)
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

11.

FX Forward Invariance & Discounting with CSA Collateral

Number of pages: 3 Posted: 31 Jul 2017
Nicholas Burgess
University of Oxford, Said Business School
Downloads 618 (49,457)
Citation 2

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

12.

Martingale Measures & Change of Measure Explained

Number of pages: 16 Posted: 01 May 2017
Nicholas Burgess
University of Oxford, Said Business School
Downloads 484 (67,249)
Citation 3

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

13.

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 414 (81,243)
Citation 3

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

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
Downloads 388 (87,572)
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

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 374 (91,468)

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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 364 (94,261)
Citation 8

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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.

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 303 (115,605)

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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

18.

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 291 (120,590)
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

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 221 (158,956)
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.

Libor Benchmark Reform: Recipes for Success & Disaster

Number of pages: 5 Posted: 10 Apr 2020
Nicholas Burgess
University of Oxford, Said Business School
Downloads 123 (261,932)

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

21.

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 111 (281,883)
Citation 1

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

22.

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 74 (363,997)

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

23.

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 68 (381,219)
Citation 1

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

24.

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 57 (416,665)
Citation 2

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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

25.

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

Number of pages: 8 Posted: 31 Aug 2020
Nicholas Burgess
University of Oxford, Said Business School
Downloads 31 (526,344)

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

26.

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 28 (542,982)

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

27.

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 27 (548,738)

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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

28.

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 19 (599,959)

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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

29.

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 18 (606,596)

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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

30.

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

Number of pages: 9
Nicholas Burgess
University of Oxford, Said Business School
Downloads 4

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