Phelim P. Boyle (born 1941), is an Irish economist and distinguished professor and actuary, and a pioneer of quantitative finance. He is best known for initiating the use of Monte Carlo methods in option pricing.
Born on a farm in Lavey, County Londonderry, Northern Ireland, Phelim Boyle attended Dreenan School, Garron Tower and Queen's University Belfast (B.Sc.) He earned his M.Sc., and PhD in applied mathematics, specialising in physics, from Trinity College, Dublin.
He is a professor of finance in the Laurier School of Business & Economics at Wilfrid Laurier University in Canada. Until June 2006 he held the J Page R Wadsworth Chair at the University of Waterloo. Additional to his contributions to quantitaive finance, he has published papers on actuarial science and demography. Together with his son, Feidhlim Boyle, he authored the highly readable Derivatives: the Tools that Changed Finance. He continues to contribute in the area of quantitative finance.
Boyle is best known for initiating the use of Monte Carlo methods in option pricing. Other well-known contributions in the area of quantitative finance include the use of the Trinomial method to price options. His seminal work on Monte Carlo-based option pricing facilitated the 1980s explosion in the world of derivatives.
Boyle has authored and co-authored numerous articles. 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.
- An Interview with Dr. Phelim Boyle, IAFE/SunGard Financial Engineer of the Year at soa.org. Accessed September 11, 2013.
- Curriculum Vitae
- WLU Faculty Page
- European Options on global-derivatives.com. Accessed September 11, 2013.
- complete list, wilmottwiki