Phelim Boyle
#13,419
Most Influential Person Now
Irish economist
Phelim Boyle's AcademicInfluence.com Rankings
Phelim Boyleeconomics Degrees
Economics
#1347
World Rank
#1557
Historical Rank
Financial Economics
#22
World Rank
#22
Historical Rank
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Economics
Phelim Boyle's Degrees
- PhD Economics National University of Ireland
- Bachelors Mathematical Sciences National University of Ireland
Why Is Phelim Boyle Influential?
(Suggest an Edit or Addition)According to Wikipedia, Phelim P. Boyle , 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.
Phelim Boyle's Published Works
Number of citations in a given year to any of this author's works
Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author
Published Works
- Options: A Monte Carlo approach (1977) (1320)
- Monte Carlo methods for security pricing (1997) (909)
- A Lattice Framework for Option Pricing with Two State Variables (1988) (497)
- Option Replication in Discrete Time with Transaction Costs (1992) (433)
- Numerical Evaluation of Multivariate Contingent Claims (1989) (355)
- Sharpe, William F. (2010) (283)
- Equilibrium Prices of Guarantees Under Equity-Linked Contracts (1977) (281)
- Quasi-Monte Carlo Methods in Numerical Finance (1996) (269)
- Bumping Up Against the Barrier with the Binomial Method (1994) (248)
- Keynes Meets Markowitz: The Tradeoff between Familiarity and Diversification (2009) (206)
- Discretely adjusted option hedges (1980) (197)
- Option Valuation Using a Three Jump Process (1986) (175)
- Financial Economics: With Applications to Investments, Insurance and Pensions (1999) (155)
- Reserving for maturity guarantees: Two approaches (1997) (152)
- Pricing exotic options under regime switching (2007) (150)
- Pricing Lookback and Barrier Options under the CEV Process (1999) (146)
- Guaranteed Annuity Options (2003) (131)
- Advances in Futures and Options Research (1996) (111)
- An explicit finite difference approach to the pricing of barrier options (1998) (106)
- The Quality Option and Timing Option in Futures Contracts (1989) (89)
- IMMUNIZATION UNDER STOCHASTIC MODELS OF THE TERM STRUCTURE (1978) (89)
- Rates of Return as Random Variables (1976) (86)
- Fertility trends, excess mortality, and the Great Irish Famine (1986) (83)
- The impact of variance estimation in option valuation models (1977) (81)
- Bounds on contingent claims based on several assets (1997) (77)
- The 1/n Pension Investment Puzzle (2004) (75)
- Explicit Representation of Cost-Efficient Strategies (2010) (73)
- PORTFOLIO MANAGEMENT WITH CONSTRAINTS (2007) (72)
- An Algorithm for Computing Values of Options on the Maximum or Minimum of Several Assets (1990) (69)
- Prices and sensitivities of Asian options: A survey (2008) (64)
- Locally Capped Investment Products and the RetailInvestor (2009) (56)
- Applications of randomized low discrepancy sequences to the valuation of complex securities (2000) (55)
- The design of equity-indexed annuities (2008) (54)
- Dynamic Fund Protection (2001) (43)
- Derivatives : The Tools That Changed Finance (2001) (33)
- Social Security Wealth and Private Saving in Canada (1979) (31)
- The Riccati Equation in Mathematical Finance (2002) (30)
- Mr . Madoff ’ s Amazing Returns : An Analysis of the Split-Strike Conversion Strategy (2009) (30)
- Pricing and hedging capped options (1989) (29)
- An improved simulation method for pricing high-dimensional American derivatives (2003) (28)
- Valuation of the Reset Options Embedded in Some Equity-Linked Insurance Products (2001) (25)
- Risk and probability measures (2002) (24)
- Pricing Options Using Lattice Rules (2005) (24)
- Reserving for maturity guarantees (1996) (23)
- Pricing American Derivatives using Simulation: A Biased Low Approach (2002) (22)
- Monte Carlo methods for pricing discrete Parisian options (2009) (22)
- Portfolio Selection with Skewness (2005) (20)
- Robust Stochastic Discount Factors (2008) (20)
- Ambiguity Aversion and the Puzzle of Own-Company Stock in Pension Plans ∗ (2003) (18)
- Pricing of New Securities in an Incomplete Market: the Catch 22 of No‐Arbitrage Pricing (2001) (18)
- Deposit Insurance with Changing Volatility: An Application of Exotic Options (1994) (17)
- A Natural Hedge for Equity Indexed Annuities (2011) (16)
- Positive Weights on the Efficient Frontier (2012) (16)
- The Determinants of Operational Losses (2008) (14)
- Life after VaR (2005) (14)
- Quadratic Interest Rate Models as Approximations to Effective Rate Models (1999) (14)
- Volatility estimation from observed option prices (2000) (13)
- Asset Allocation with Hedge Funds on the Menu (2007) (13)
- Asset allocation with time variation in expected returns (1997) (12)
- Calibrating the Black-Derman-Toy model: some theoretical results (2001) (12)
- Theory and Measurement of Exotic Options in U.S. Agricultural Support Programs (1997) (11)
- Pricing Bermudan options using low-discrepancy mesh methods (2013) (11)
- Computation of optimal portfolios using simulation-based dimension reduction (2008) (11)
- Mr. Madoff’s Amazing Returns: An Analysis of the Split-Strike Conversion Strategy (2009) (11)
- Karl Borch's Research Contributions to Insurance (1990) (10)
- The poisson-exponential model and the Non-Central Chi-squared distribution (1978) (10)
- Recent advances in simulation for security pricing (1995) (10)
- Designing a Countercyclical Insurance Program for Systemic Risk (2012) (9)
- Valuation of derivative securities involving several assets using discrete time methods (1990) (9)
- Applications of Scrambled Low Discrepancy Sequences To Exotic Options (2003) (8)
- Pensions and Survival, The Coming Crisis of Money and Retirement (1978) (8)
- “Investing for Retirement: Optimal Capital Growth and Dynamic Asset Allocation”, Hans U. Gerber and Elias S.W. Shiu, April 2000 (2000) (8)
- Optimal design of equity-linked products with a probabilistic constraint (2009) (8)
- Option Pricing, Interest Rates and Risk Management: Monte Carlo Methods for Security Pricing (2001) (7)
- Application of high-precision computing for pricing arithmetic asian options (2006) (7)
- Executive Stock Options and Concavity of the Option Price (2006) (6)
- Risk Sharing, Incentives and Moral Hazard (1984) (6)
- Hedge Fund Redemption Restrictions, Financial Crisis, and Fund Performance (2010) (6)
- Power Options in Executive Compensation (2016) (6)
- The Principal/Agent Problem—Numerical Solutions (1988) (6)
- An Exact Solution for the Optimal Stop Loss Limit (1983) (5)
- The lead-lag relation between spot and option markets and implied volatility in option prices (2002) (5)
- Notes on the variance of a widow's pension (1974) (5)
- Eigen Portfolio Selection: A Robust Approach to Sharpe Ratio Maximization (2018) (5)
- Discussion of “The valuation of initial public offerings”* (1989) (5)
- Annuity and Insurance Choice Under Habit Formation (2020) (4)
- BUMPING UP AGAINST THE BINOMIAL METHOD BARRIER WITH THE (1994) (4)
- Using Lattice Rules to Value Low-Dimensional Derivative Contracts-Proceedings AFIR 2001-Toronto, Canada (2001) (4)
- Reply to remark by Thelander (1979) (4)
- Advances in futures and options research : a research annual (1986) (4)
- Stock and Option Proportions in Executive Compensation (2011) (4)
- Mean-Preserving-Spread Risk Aversion and The CAPM (2013) (4)
- Optimal risk retention under partial insurance (1982) (4)
- Chapter 24 Large Deviation Techniques and Financial Applications (2007) (3)
- w-MPS Risk Aversion and the CAPM (2011) (3)
- Chapter 18 Financial Engineering: Applications in Insurance (2007) (3)
- Correlation Matrices with the Perron-Frobenius Property (2014) (3)
- Worldwide Asset and Liability Modeling. Edited by William T. Ziemba and John M. Mulvey (Cambridge University Press, 1998) (2000) (2)
- Pricing Complex Options: Echo-Bay Ltd. Gold Purchase Warrants (2009) (2)
- When Does the 1/N Rule Work? (2019) (2)
- Review of Economics and Insurance: Comment and Author's Reply (1975) (2)
- OPTION BOUNDS IN DISCRETE TIME WITH TRANSACTION COSTS (1991) (2)
- A NOTE ON STOP LOSS PREMIUMS (1991) (2)
- Perspectives on Mortgage Default Insurance (1987) (2)
- Leverage and Closed-End Bond Funds (2015) (1)
- Financial Instruments for Retired Homeowners (1977) (1)
- EXECUTIVE STOCK OPTIONS: A FIRM VALUE APPROACH (2005) (1)
- Temporal Price Relation between Stock and Option Markets and a Bias of Implied Volatility in Option Prices (1999) (1)
- Implied Volatility in Option Prices and the Lead-Lag Relation Between Stock and Option Prices (1998) (1)
- Accounting for equity investments of life insurance companies (1985) (1)
- Risk-based Capital for Financial Institutions (2000) (1)
- Short Positions in the First Principal Component Portfolio (2018) (1)
- Improving Risk Sharing and Borrower Incentives in Mortgage Design (2015) (1)
- Asset Allocation using Quasi Monte Carlo Methods (2002) (1)
- An algorithm for computing options on the maximum or minimum of several assets / 1535 (1989) (1)
- Assessment of Damages: Economic and Actuarial Evidence (1981) (1)
- Age Matters (2019) (1)
- AN APPROXIMATION METHOD TO CALCULATE THE VALUE OF A MATURITY GUARANTEE UNDER A LEVEL-PREMIUM-EQUITY-BASED CONTRACT (1980) (1)
- A Critique of the Interest-Adjusted Net Cost Index: Comment (1975) (0)
- Leases as First, Second and Third Best Contracts (1994) (0)
- ON THE CONFIDENCE INTERVAL OF BLACK-SCHOLES MODEL (1999) (0)
- Fixed-Strike European Arithmetic Asian Options: A Comment (2009) (0)
- Portfolios with Positive Weights on the Efficient Frontier (2014) (0)
- Outline of the Model and Main Results (2013) (0)
- The Award of a Gold Medal to Professor Phelim Boyle. Staple Inn, 1 December, 2008 (2009) (0)
- Abstract: Option Valuation Models–Some Implications of Parameter Estimation (1977) (0)
- The R. A. Evans ─ P. K. McElroy Award for 2008 Best Paper (2005) (0)
- Strap ? l Cutting edge Two-level binomial trees (0)
- 3181. A Formula for the Length of the Hyperbola (1967) (0)
- January Skewness, Another Enigma? (1989) (0)
- The 1 / n pension investment puzzle November 4 , 2003 (2003) (0)
- Recent Research on the Risk Return Relationship in Financial Economics (1986) (0)
- Limit of the sum of two groups of lognormal sums (2020) (0)
- Portfolios of Averages of Lognormal Variables (2022) (0)
- Recent advances in simulation for security pricing (1995) (2007) (0)
- The Magnificent Seven (2006) (0)
- QUASI-MONTE CARL 0 METHODS (2003) (0)
- Keng Seng Tan 1970–2023 In Memoriam (2023) (0)
- Analysis of simple investment strategies assuming lognormal returns (2021) (0)
- Book Reviews (2001) (0)
- How Black Scholes changed my life (2023) (0)
- Finance: A Fertile Field for Applications of MC and QMC (2004) (0)
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What Schools Are Affiliated With Phelim Boyle?
Phelim Boyle is affiliated with the following schools:
