Nicholas Burgess

University of Oxford, Said Business School

Post graduate student

Oxford, OX1 5NY

United Kingdom

SCHOLARLY PAPERS

36

DOWNLOADS
Rank 1,823

SSRN RANKINGS

Top 1,823

in Total Papers Downloads

21,243

SSRN CITATIONS
Rank 19,988

SSRN RANKINGS

Top 19,988

in Total Papers Citations

20

CROSSREF CITATIONS

32

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

Scholarly Papers (36)

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 3,072 (4,699)
Citation 1

Abstract:

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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 2,349 (7,314)
Citation 4

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

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 2,187 (8,227)
Citation 2

Abstract:

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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 1,663 (12,827)

Abstract:

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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 1,519 (14,772)

Abstract:

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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 1,148 (22,642)
Citation 2

Abstract:

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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 938 (30,335)

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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 937 (30,434)

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

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 811 (37,151)
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
Downloads 772 (39,733)
Citation 2

Abstract:

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

11.

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 700 (45,353)

Abstract:

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

12.

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 675 (47,648)
Citation 5

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

13.

Martingale Measures & Change of Measure Explained

Number of pages: 16 Posted: 01 May 2017
Nicholas Burgess
University of Oxford, Said Business School
Downloads 590 (56,716)
Citation 3

Abstract:

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

14.

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 460 (77,251)

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

15.

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 456 (78,240)
Citation 1

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

16.

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 443 (80,738)
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

17.

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 439 (81,602)
Citation 9

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

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 400 (90,993)
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 316 (118,604)
Citation 1

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

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 219 (171,919)

Abstract:

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

21.

Libor Benchmark Reform: Recipes for Success & Disaster

Number of pages: 5 Posted: 10 Apr 2020
Nicholas Burgess
University of Oxford, Said Business School
Downloads 161 (226,259)

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

22.

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 152 (237,461)

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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

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 149 (241,433)
Citation 3

Abstract:

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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 116 (292,324)

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

25.

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 92 (341,564)
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

26.

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 88 (351,254)

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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

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 84 (361,448)
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

28.

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 66 (410,747)
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

29.

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 54 (452,768)
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

30.

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 47 (480,508)
Citation 1

Abstract:

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

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 46 (484,696)
Citation 1

Abstract:

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

32.

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 35 (536,018)
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

33.

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 34 (541,260)
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

34.

Computationally Efficient Zero Coupon Swap Formulae

Number of pages: 2
Nicholas Burgess
University of Oxford, Said Business School
Downloads 16

Abstract:

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

35.

Interest Rate Swap Compounding Formulae

Number of pages: 2
Nicholas Burgess
University of Oxford, Said Business School
Downloads 7

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

36.

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

Number of pages: 4
Nicholas Burgess
University of Oxford, Said Business School
Downloads 2

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Newton-Raphson, Solve, Minimize, Complex Formula Solving