Phelim Boyle
Phelim Boyle | |
|---|---|
| Born | 1941 |
| Alma mater | Queens University Belfast, Trinity College Dublin |
| Scientific career | |
| Fields | Quantitive Finance |
| Institutions | Wilfrid Laurier University |
| Academic advisors | Petros Florides |
Phelim P. Boyle (born 1941), is an Irish economist and
quantitative finance. He is best known for initiating the use of Monte Carlo methods in option pricing.[1]
Biography
Born on a farm in
He is a professor of
Laurier School of Business & Economics at Wilfrid Laurier University in Canada.[4] Until June 2006 he held the J Page R Wadsworth Chair at the University of Waterloo. He is the founder of the Master of Quantitative Finance
(MQF) program there.
Additional to his contributions to quantitative finance, he has published papers on actuarial science and
quantitative finance.[6]
He has been awarded the Centennial Gold Medal of the
IAFE/SunGard Financial Engineer of the Year in 2005. In 2019, he was elected as a Fellow of the Royal Society of Canada.[7]
Work
Boyle is best known for initiating the use of Monte Carlo methods in option pricing. Other well-known contributions in the area of
His seminal work on Monte Carlo-based option pricing facilitated the 1980s explosion in the world of derivatives.[9]Publications
Boyle has authored and co-authored numerous articles.[10] A selection:
- Boyle, Phelim P. "Options: A Monte Carlo approach." Journal of Financial Economics 4.3 (1977): 323–338.
- Boyle, Phelim P. "A lattice framework for option pricing with two state variables." Journal of Financial and Quantitative Analysis 23.1 (1988): 1–12.
- Boyle, Phelim P., Jeremy Evnine, and Stephen Gibbs. "Numerical evaluation of multivariate contingent claims." Review of Financial Studies 2.2 (1989): 241–250.
- Boyle, Phelim P., and Ton Vorst. "Option replication in discrete time with transaction costs." The Journal of Finance 47.1 (1992): 271–293.
- Boyle, Phelim, Mark Broadie, and Paul Glasserman. "Monte Carlo methods for security pricing." Journal of economic dynamics and control 21.8 (1997): 1267–1321.
See also
References
- ^ An Interview with Dr. Phelim Boyle, IAFE/SunGard Financial Engineer of the Year at soa.org. Accessed 11 September 2013.
- ^ Curriculum Vitae
- ISBN 1-871408-07-5.
- ^ WLU Faculty Page
- ISBN 978-1899332885
- ^ Phelim Boyle on Google Scholar.
- ^ Phelim Boyle named Fellow of the Royal Society of Canada
- ^ European Options on global-derivatives.com. Accessed 11 September 2013.
- ^ Stafford, Philip (January 2016). "Finance hub is flourishing as Belfast puts troubles in past". www.ft.com. Financial Times. Retrieved 27 December 2023.
- ^ complete list, wilmottwiki
External links
- Phelim Boyle at the Mathematics Genealogy Project
- The Actuary Magazine: An Interview With Dr. Phelim Boyle
- Derivatives: The Tools That Changed Finance, thederivativesbook.com (Archived).
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