Phelim P. Boyle (born 1941), is an Irish economist and

distinguished professor Distinguished Professor is an academic title given to some top tenured professors in a university, school, or department. Some distinguished professors may have endowed chairs. In the United States Often specific to one institution, titles such ...

and

actuary An actuary is a business professional who deals with the measurement and management of risk and uncertainty. The name of the corresponding field is actuarial science. These risks can affect both sides of the balance sheet and require asset man ...

, and a pioneer of

quantitative finance Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling of financial markets. In general, there exist two separate branches of finance that require ...

. He is best known for initiating the use of

Monte Carlo method Monte Carlo methods, or Monte Carlo experiments, are a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results. The underlying concept is to use randomness to solve problems that might be determi ...

s in

option pricing In finance, a price (premium) is paid or received for purchasing or selling options. This article discusses the calculation of this premium in general. For further detail, see: for discussion of the mathematics; Financial engineering for the impl ...

Biography

Born on a farm in

Lavey, County Londonderry Lavey is a Roman Catholic parish in County Londonderry, Northern Ireland. Lavey is bordered by the parishes of Castledawson, Maghera, Ballyscullion (Bellaghy), Greenlough and Kilrea. The parish contains no particularly large settlements, altho ...

Northern Ireland Northern Ireland ( ga, Tuaisceart Éireann ; sco, label= Ulster-Scots, Norlin Airlann) is a part of the United Kingdom, situated in the north-east of the island of Ireland, that is variously described as a country, province or region. Nort ...

, Phelim Boyle attended Dreenan School,

Garron Tower St MacNissi's College (now St Killian's College and colloquially known as Garron Tower) was a Roman Catholic grammar school located to the north of Carnlough. History The College is best known for its natural setting in grounds situated on a ...

and

Queen's University Belfast , mottoeng = For so much, what shall we give back? , top_free_label = , top_free = , top_free_label1 = , top_free1 = , top_free_label2 = , top_free2 = , established = , closed = , type = Public research university , parent = ...

(

B.Sc. A Bachelor of Science (BS, BSc, SB, or ScB; from the Latin ') is a bachelor's degree awarded for programs that generally last three to five years. The first university to admit a student to the degree of Bachelor of Science was the University of ...

) He earned his

M.Sc. A Master of Science ( la, Magisterii Scientiae; abbreviated MS, M.S., MSc, M.Sc., SM, S.M., ScM or Sc.M.) is a master's degree in the field of science awarded by universities in many countries or a person holding such a degree. In contrast to ...

in 1966 and PhD in 1970

applied mathematics Applied mathematics is the application of mathematical methods by different fields such as physics, engineering, medicine, biology, finance, business, computer science, and industry. Thus, applied mathematics is a combination of mathematical s ...

, specialising in

physics Physics is the natural science that studies matter, its fundamental constituents, its motion and behavior through space and time, and the related entities of energy and force. "Physical science is that department of knowledge which r ...

, from

Trinity College, Dublin , name_Latin = Collegium Sanctae et Individuae Trinitatis Reginae Elizabethae juxta Dublin , motto = ''Perpetuis futuris temporibus duraturam'' (Latin) , motto_lang = la , motto_English = It will last i ...

. He is a professor of

finance Finance is the study and discipline of money, currency and capital assets. It is related to, but not synonymous with economics, the study of production, distribution, and consumption of money, assets, goods and services (the discipline of fina ...

in the Laurier School of Business & Economics at

Wilfrid Laurier University Wilfrid Laurier University (commonly referred to as WLU or simply Laurier) is a public university in Ontario, Canada, with campuses in Waterloo, Brantford and Milton. The newer Brantford and Milton campuses are not considered satellite campuses ...

Canada Canada is a country in North America. Its ten provinces and three territories extend from the Atlantic Ocean to the Pacific Ocean and northward into the Arctic Ocean, covering over , making it the world's second-largest country by tot ...

. Until June 2006 he held the J Page R Wadsworth Chair at the

University of Waterloo The University of Waterloo (UWaterloo, UW, or Waterloo) is a public research university with a main campus in Waterloo, Ontario Waterloo is a city in the Canadian province of Ontario. It is one of three cities in the Regional Municipality ...

. He is the founder of the

Master of Quantitative Finance A master's degree in quantitative finance concerns the application of mathematical methods to the solution of problems in financial economics. There are several like-titled degrees which may further focus on financial engineering, computational fin ...

(MQF) program there. Additional to his contributions to quantitative finance, he has published papers on actuarial science and

demography Demography () is the statistics, statistical study of populations, especially human beings. Demographic analysis examines and measures the dimensions and Population dynamics, dynamics of populations; it can cover whole societies or groups ...

. Together with his son, Feidhlim Boyle, he authored ''Derivatives: the Tools that Changed Finance''. He continues to contribute in the area of

. He has been awarded the Centennial Gold Medal of the

International Actuarial Association The International Actuarial Association (IAA) is a worldwide association of local professional actuarial associations. History The IAA is the continuation of the ''Comité Permanent des Congrès d’Actuaires'', established in 1895, as an assoc ...

, and was the recipient 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 The Royal Society of Canada (RSC; french: Société royale du Canada, SRC), also known as the Academies of Arts, Humanities and Sciences of Canada (French: ''Académies des arts, des lettres et des sciences du Canada''), is the senior national, bil ...

Work

Boyle is best known for initiating the use of

s in

. Other well-known contributions in the area of

include the use of the Trinomial method to price options. His seminal work on Monte Carlo-based

facilitated the 1980s explosion in the world of derivatives.

Publications

Boyle has authored and co-authored numerous articles.complete list
wilmottwiki A selection: * Boyle, Phelim P.

" 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 Antonius Cornelis Franciscus (Ton) Vorst (born 1952, Utrecht) is a Dutch financial engineer and mathematician, Professor at the department of Finance of the Vrije Universiteit in Amsterdam, and Director of the VU Amsterdam School of Finance and Risk ...

. "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.

References

External links

*
The Actuary Magazine: An Interview With Dr. Phelim BoyleDerivatives: The Tools That Changed Finance
thederivativesbook.com (Archived). {{DEFAULTSORT:Boyle, Phelim Living people Canadian actuaries British actuaries Monte Carlo methodologists Canadian economists Alumni of Trinity College Dublin Financial economists 1941 births Wilfrid Laurier University faculty University of Waterloo faculty People from County Londonderry Alumni of Queen's University Belfast

Biography

Work

Publications

See also

References

External links