Nicholas Burgess

Independent

SCHOLARLY PAPERS

17

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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
Independent
Downloads 1,206 (15,972)

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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
Independent
Downloads 855 (26,562)

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Vasicek Model, Short Rate Models, Bond Pricing

3.

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
Independent
Downloads 795 (29,379)

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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

4.

Tenor Basis Swap Formulae

Number of pages: 4 Posted: 27 Apr 2017
Nicholas Burgess
Independent
Downloads 790 (29,644)

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

5.

Bond Option Pricing using the Vasicek Short Rate Model

Number of pages: 30 Posted: 16 Aug 2014
Nicholas Burgess
Independent
Downloads 784 (29,975)

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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
Independent
Downloads 671 (37,056)

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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
Independent
Downloads 403 (70,737)

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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.

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
Independent
Downloads 285 (104,491)

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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

9.

FX Forward Invariance & Discounting with CSA Collateral

Number of pages: 3 Posted: 31 Jul 2017
Nicholas Burgess
Independent
Downloads 272 (109,906)

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

10.

Martingale Measures & Change of Measure Explained

Number of pages: 16 Posted: 01 May 2017
Nicholas Burgess
Independent
Downloads 230 (130,430)

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

11.
Downloads 221 (136,179)

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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

12.
Downloads 182 (162,388)

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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 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
Independent
Downloads 167 (175,293)

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

14.

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
Independent
Downloads 155 (186,669)

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

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
Independent
Downloads 129 (217,955)

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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
Independent
Downloads 39 (420,266)

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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

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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