Phelim Boyle
Encyclopedia
Phelim Boyle a distinguished professor and actuary
, is a professor of finance
in the Laurier School of Business & Economics
at Wilfrid Laurier University
in Canada
and is a pioneer of quantitative finance. He is best known for initiating the use of Monte Carlo method
s in option pricing
http://www.soa.org/library/newsletters/the-actuary-magazine/2006/april/act-interview-boyle.aspx. Other well known contributions in the area of quantitative finance include the use of the Trinomial method
to price options
http://www.global-derivatives.com/index.php?option=com_content&task=view&id=15&Itemid=31#Trinomial.
Until June 2006 he held the J Page R Wadsworth Chair at the University of Waterloo
. He has published papers on actuarial science and demography
. Together with his son, Feidhlim Boyle, he authored "Derivatives: the Tools that Changed Finance", a highly readable explanation of the world of derivatives.
In 1977, his seminal work on Monte Carlo
option
pricing was published, facilitating the 1980s explosion in the world of derivatives. He continues to contribute in the area of quantitative finance. He has been awarded the Centennial Gold Medal of the International Actuarial Association
and was the recipient of the IAFE
/SunGard
Financial Engineer of the Year in 2005.
Born on a farm in Lavey
, County Londonderry
, Northern Ireland
, Phelim Boyle attended Dreenan School, Garron Tower
and Queen's University Belfast (B.Sc., M.Sc.). He earned his PhD
in Applied Math specialising in Physics
from Trinity College, Dublin
.
Publications
Actuary
An actuary is a business professional who deals with the financial impact of risk and uncertainty. Actuaries provide expert assessments of financial security systems, with a focus on their complexity, their mathematics, and their mechanisms ....
, is a professor of finance
Finance
"Finance" is often defined simply as the management of money or “funds” management Modern finance, however, is a family of business activity that includes the origination, marketing, and management of cash and money surrogates through a variety of capital accounts, instruments, and markets created...
in the Laurier School of Business & Economics
Laurier School of Business & Economics
The Laurier School of Business & Economics is one of the largest business schools in Canada. With more than 4,500 students overall, it is the largest faculty at Wilfrid Laurier University...
at Wilfrid Laurier University
Wilfrid Laurier University
Wilfrid Laurier University is a university located in Waterloo, Ontario, Canada. It also has campuses in Brantford, Ontario, Kitchener, Ontario and Toronto, Ontario and a future proposed campus in Milton, Ontario. It is named in honour of Sir Wilfrid Laurier, the seventh Prime Minister of Canada....
in Canada
Canada
Canada is a North American country consisting of ten provinces and three territories. Located in the northern part of the continent, it extends from the Atlantic Ocean in the east to the Pacific Ocean in the west, and northward into the Arctic Ocean...
and is a pioneer of quantitative finance. He is best known for initiating the use of Monte Carlo method
Monte Carlo method
Monte Carlo methods are a class of computational algorithms that rely on repeated random sampling to compute their results. Monte Carlo methods are often used in computer simulations of physical and mathematical systems...
s in option pricing
Option (finance)
In finance, an option is a derivative financial instrument that specifies a contract between two parties for a future transaction on an asset at a reference price. The buyer of the option gains the right, but not the obligation, to engage in that transaction, while the seller incurs the...
http://www.soa.org/library/newsletters/the-actuary-magazine/2006/april/act-interview-boyle.aspx. Other well known contributions in the area of quantitative finance include the use of the Trinomial method
Trinomial Tree
The Trinomial tree is a lattice based computational model used in financial mathematics to price options. It was developed by Phelim Boyle in 1986. It is an extension of the Binomial options pricing model, and is conceptually similar...
to price options
Option (finance)
In finance, an option is a derivative financial instrument that specifies a contract between two parties for a future transaction on an asset at a reference price. The buyer of the option gains the right, but not the obligation, to engage in that transaction, while the seller incurs the...
http://www.global-derivatives.com/index.php?option=com_content&task=view&id=15&Itemid=31#Trinomial.
Until June 2006 he held the J Page R Wadsworth Chair at the University of Waterloo
University of Waterloo
The University of Waterloo is a comprehensive public university in the city of Waterloo, Ontario, Canada. The school was founded in 1957 by Drs. Gerry Hagey and Ira G. Needles, and has since grown to an institution of more than 30,000 students, faculty, and staff...
. He has published papers on actuarial science and demography
Demography
Demography is the statistical study of human population. It can be a very general science that can be applied to any kind of dynamic human population, that is, one that changes over time or space...
. Together with his son, Feidhlim Boyle, he authored "Derivatives: the Tools that Changed Finance", a highly readable explanation of the world of derivatives.
In 1977, his seminal work on Monte Carlo
Monte Carlo method
Monte Carlo methods are a class of computational algorithms that rely on repeated random sampling to compute their results. Monte Carlo methods are often used in computer simulations of physical and mathematical systems...
option
Option (finance)
In finance, an option is a derivative financial instrument that specifies a contract between two parties for a future transaction on an asset at a reference price. The buyer of the option gains the right, but not the obligation, to engage in that transaction, while the seller incurs the...
pricing was published, facilitating the 1980s explosion in the world of derivatives. He continues to contribute in the area of quantitative finance. He has been awarded the Centennial Gold Medal of the International Actuarial Association
International Actuarial Association
The International Actuarial Association is a worldwide association of local professional actuarial associations and their 64,000-odd fellows.-History:...
and was the recipient of the IAFE
International Association of Financial Engineers
The International Association of Financial Engineers is a non-profit professional society dedicated to fostering the field of financial engineering. The IAFE hosts several panel discussions throughout the year to discuss the issues that affect the industry from both academic and professional angles...
/SunGard
SunGard
SunGard is a multinational company based in Wayne, Pennsylvania, which provides software and services to education, financial services, and public sector organizations. It was formed in 1983, as a spin-off of the computer services division of Sun Oil Company, during a period of low crude oil...
Financial Engineer of the Year in 2005.
Born on a farm in Lavey
Lavey
Lavey is a Roman Catholic parish in County Londonderry, Northern Ireland. Lavey is bordered by the parishes of Castledawson, Maghera, Bellaghy, Greenlough and Kilrea. The parish contains no particularly large settlements, although it accommodates a number of small villages and hamlets, in order of...
, County Londonderry
County Londonderry
The place name Derry is an anglicisation of the old Irish Daire meaning oak-grove or oak-wood. As with the city, its name is subject to the Derry/Londonderry name dispute, with the form Derry preferred by nationalists and Londonderry preferred by unionists...
, Northern Ireland
Northern Ireland
Northern Ireland is one of the four countries of the United Kingdom. Situated in the north-east of the island of Ireland, it shares a border with the Republic of Ireland to the south and west...
, Phelim Boyle attended Dreenan School, Garron Tower
Garron Tower
IMPORTANT: This page concerns a school which no longer exists, for the current school operating in its campus, see St Killian's CollegeSt MacNissi's College, now St Killian's College was a grammar school located to the north of Larne, which was once Northern Ireland's busiest port...
and Queen's University Belfast (B.Sc., M.Sc.). He earned his PhD
PHD
PHD may refer to:*Ph.D., a doctorate of philosophy*Ph.D. , a 1980s British group*PHD finger, a protein sequence*PHD Mountain Software, an outdoor clothing and equipment company*PhD Docbook renderer, an XML renderer...
in Applied Math specialising in Physics
Physics
Physics is a natural science that involves the study of matter and its motion through spacetime, along with related concepts such as energy and force. More broadly, it is the general analysis of nature, conducted in order to understand how the universe behaves.Physics is one of the oldest academic...
from Trinity College, Dublin
Trinity College, Dublin
Trinity College, Dublin , formally known as the College of the Holy and Undivided Trinity of Queen Elizabeth near Dublin, was founded in 1592 by letters patent from Queen Elizabeth I as the "mother of a university", Extracts from Letters Patent of Elizabeth I, 1592: "...we...found and...
.
See also
- Monte Carlo methods for option pricing
- Monte Carlo methods in financeMonte Carlo methods in financeMonte Carlo methods are used in finance and mathematical finance to value and analyze instruments, portfolios and investments by simulating the various sources of uncertainty affecting their value, and then determining their average value over the range of resultant outcomes. This is usually done...
- Trinomial treeTrinomial TreeThe Trinomial tree is a lattice based computational model used in financial mathematics to price options. It was developed by Phelim Boyle in 1986. It is an extension of the Binomial options pricing model, and is conceptually similar...
External links and references
Phelim BoylePublications
- "Options: A Monte Carlo Approach", Journal of Financial EconomicsJournal of Financial EconomicsThe Journal of Financial Economics or JFE, is a peer-reviewed academic journal covering the theory of financial economics. Together with the Journal of Finance and the Review of Financial Studies, it is considered to be among the top three finance journal. The editor is Bill Schwert...
4, 4, 323-338 (1977) - "Option Valuation Using a Three-Jump Process", International Options Journal 3, 7-12 (1986)
- Derivatives: The Tools That Changed Finance (fulltext)
- complete list, wilmottwiki