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

actuary An actuary is a professional with advanced mathematical skills who deals with the measurement and management of risk and uncertainty. These risks can affect both sides of the balance sheet and require investment management, asset management, ...

, 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 in the financial field. In general, there exist two separate branches of finance that requ ...

. 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 ...

s in

option pricing In finance, a price (premium) is paid or received for purchasing or selling options. The calculation of this premium will require sophisticated mathematics. Premium components This price can be split into two components: intrinsic value, and ...

Biography

Born on a farm in

Lavey, County Londonderry Lavey ()Placenames NI
is a Roman Catholic ecclesiastical parish, parish in County Londonderry, No ...

Northern Ireland Northern Ireland ( ; ) is a Countries of the United Kingdom, part of the United Kingdom in the north-east of the island of Ireland. It has been #Descriptions, variously described as a country, province or region. Northern Ireland shares Repub ...

, Phelim Boyle attended Dreenan School,

Garron Tower St Killian's College ( Irish: ''Coláiste Naomh Cillian'', also known colloquially as Garron Tower) is a secondary school located in the Glens of Antrim area of Northern Ireland. Garron Tower was built ''circa'' 1850 as a summer residence for ...

and

Queen's University Belfast The Queen's University of Belfast, commonly known as Queen's University Belfast (; abbreviated Queen's or QUB), is a public research university in Belfast, Northern Ireland, United Kingdom. The university received its charter in 1845 as part of ...

(

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

) He earned his

M.Sc. A Master of Science (; abbreviated MS, M.S., MSc, M.Sc., SM, S.M., ScM or Sc.M.) is a master's degree. In contrast to the Master of Arts degree, the Master of Science degree is typically granted for studies in sciences, engineering and medicine ...

in 1966 and

PhD A Doctor of Philosophy (PhD, DPhil; or ) is a terminal degree that usually denotes the highest level of academic achievement in a given discipline and is awarded following a course of graduate study and original research. The name of the deg ...

in 1970

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

, specialising in

physics Physics is the scientific study of matter, its Elementary particle, 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 whi ...

, from

Trinity College, Dublin Trinity College Dublin (), officially titled The College of the Holy and Undivided Trinity of Queen Elizabeth near Dublin, and legally incorporated as Trinity College, the University of Dublin (TCD), is the sole constituent college of the Univ ...

. He is a professor of

finance Finance refers to monetary resources and to the study and Academic discipline, discipline of money, currency, assets and Liability (financial accounting), liabilities. As a subject of study, is a field of Business administration, Business Admin ...

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, public university in Ontario, Canada, with campuses in Waterloo, Ontario, Waterloo, Brantford, Ontario, Brantford and Milton, Ontario, Milton. The ...

Canada Canada is a country in North America. Its Provinces and territories of Canada, ten provinces and three territories extend from the Atlantic Ocean to the Pacific Ocean and northward into the Arctic Ocean, making it the world's List of coun ...

. 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 university, public research university located in Waterloo, Ontario, Canada. The main campus is on of land adjacent to uptown Waterloo and Waterloo Park. The university also op ...

. He is the founder of the

Master of Quantitative Finance A master's degree in quantitative finance is a postgraduate degree focused on 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 e ...

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

demography Demography () is the statistical study of human populations: their size, composition (e.g., ethnic group, age), and how they change through the interplay of fertility (births), mortality (deaths), and migration. Demographic analysis examine ...

. 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 SunGard was an American multinational company based in Wayne, Pennsylvania, which provided software and services to education, financial services, and public sector organizations. It was formed in 1983, as a spin-off of the computer services di ...

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; , 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, bilingual council of distinguishe ...

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 methods in option pricing 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 ...

. "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 Academic staff of Wilfrid Laurier University Academic staff of the University of Waterloo People from County Londonderry Alumni of Queen's University Belfast

Biography

Work

Publications

See also

References

External links