Boyle, Phelim

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Bibliography

Books

  • Boyle Phelim P and Feidhlim P Boyle 2001 Derivatives: the Tools that Changed Finance. Risk Books, UK
  • Boyle, Phelim P 1995 Options and the Management of Financial Risk. Published by Society of Actuaries, 475 North Martingale Road, Suite 800, Schaumburg, IL 60173-2226.

Papers

  • Boyle, Phelim P, Mary R. Hardy and Ton Vorst, 2005 VaR Behaving Badly, Journal of Derivatives
  • Boyle, Phelim Tan Ken_Seng and George Lai, 2005 Pricing Options using lattice points, North American Actuarial Journal.
  • Windcliff, Heath and Phelim Boyle 2004, The 1/n Pension Plan Puzzle, North American Actuarial Journal. July 32-45
  • Boyle, P.P and Mary Hardy 2003, Guaranteed Annuity Options Astin Bulletin, 33, 2, 125-152,
  • Boyle, P.P Kolkiewicz and K S Tan 2003, Improved Simulation Method for Pricing High Dimensional American Derivatives, Mathematics and Computers in Simulation, 62, 3-6,315-322.
  • Boyle, P.P 2003, Finance: a Fertile Field for Applications of MC and QMC, H. Niederreiter, editor, Monte Carlo and Quasi-Monte Carlo Methods, Springer-Verlag, Berlin.
  • Boyle, P.P., A.W. Kolkiewicz and K.S. Tan 2002, Pricing American Derivatives using Simulation: A Biased Low Approach. K.-T. Fang, F.J. Hickernell, and H. Niederreiter, editors, Monte Carlo and Quasi-Monte Carlo Methods, Springer-Verlag, Berlin.
  • Boyle, Phelim P., Tian, Weidong, and Guan, Fred 2002, The Riccati equation in Mathematical Finance, Journal of Symbolic Computation, 33, 3, 343-356.
  • Boyle, P.P., Byoun, S and H.Y.Park 2002, The lead Lag Relationship between Spot and Option Markets and the Implied Volatility in Option Prices, Research In Finance, Volume 19, 269-294
  • Boyle, P.P., Siu, T.K. and Y. Yang 2002, Risk and Probability, Risk, July 15, 7, 53-57.
  • Boyle Phelim P., Ken Seng Tan and Weidong Tian 2001. Calibrating the Black Derman Toy Model; Some Theoretical Results. Applied Mathematical Finance, 8, 1, 27-48.
  • Boyle, Phelim P., Adam Kolkiewicz and Ken Seng Tan 2001. Valuing the Reset Option Embedded in some Equity-Linked Insurance Products. North American Actuarial Journal Vol 5, No 3, pp1-18.
  • Imai, Junichi and Phelim P. Boyle, 2001. Dynamic Fund Protection. North American Actuarial Journal, Vol 5, No 3, pp31-51.
  • Boyle, Phelim P. and Tan Wang 2001. Valuation in Incomplete Markets; the Catch 22 of Derivative Pricing. Mathematical Finance.Volume: 11 Number: 3 Page: 267 -- 284
  • Boyle, Phelim P. and D. Thangaraj 2000. Volatility Estimation from Observed Option Prices. Decisions in Economics and Finance: A Journal of Applied Mathematics, 23, 1, 31-52.
  • Tan, Ken Seng and Phelim P. Boyle 2000. Applications of Randomized Low Discrepancy Sequences to the Valuation of Complex Securities. Journal of Economic Dynamics and Control 24, 11-12, 1747-1782.
  • Boyle, Phelim P. and Weidong Tian 1999. Quadratic Interest Rate Models as Approximations to Effective Interest Rate Models. Journal of Fixed Income, 19, 1, 69-81.
  • Boyle, Phelim P. and Yisong Tian 1999. Lookback and Barrier Options under the CEV Process. Journal of Financial and Quantitative Analysis 34, 2, 241-264.
  • Boyle, Phelim P. 1999. Risk Management and Derivatives. Assurances, December 1999.
  • Boyle, Phelim P. and Yisong Tian 1998. An Explicit Finite Difference Approach to the Pricing of Barrier Options. Journal of Applied Mathematical Finance 5, 17-43.
  • Boyle, Phelim P. and Xiaodong Lin 1997. Valuation of Options on Several Risky Assets When There Are Transactions Costs. Advances in Futures and Options Research 9, 111-129.
  • Boyle, Phelim P., Viswanath Tirupattur, Robert J. Hauser 1997. Theory and Measurement of Exotic Options in U.S. Agricultural Support Programs. American Journal of Agricultural Economics, 79, 1127-1139.
  • Boyle, Phelim P. and X. Sheldon Lin 1997. Bounds on Contingent Claims Based on Several Assets. Journal of Financial Engineering, 46, 3, 383-400.
  • Boyle, Phelim P. and Mary R. Hardy 1997. Reserving for Maturity Guarantees: Two Approaches. Insurance, Mathematics and Economics, 21, 2, 113-127.
  • Boyle, Phelim P. and Hailiang Yang 1997. Asset Allocation with Time Variation in Expected Returns. Insurance, Mathematics and Economics, 21, 201-218.
  • Boyle, Phelim P., M. Broadie and P. Glasserman 1997. Monte Carlo Methods for Security Pricing. Journal of Economic Dynamics and Control, 21, 8/9, 1276-1321.
  • Boyle, Phelim P. and S. Lin 1997. Optimal Portfolio Selection with Transaction Costs. North American Actuarial Journal 1, 2, 27-39.
  • Joy, Corwin, Phelim P. Boyle and K.S. Tan 1996. Quasi Monte Carlo Methods in Numerical Finance. Management Science, 4, 2, 6, 926-936.
  • Boyle, Phelim P .and Inmoo Lee 1994. Deposit Insurance with Changing Volatility: An Application of Exotic Options. Journal of Financial Engineering, 3, 3/4, 205-227.
  • Boyle, Phelim P. and S.H. Lau 1994. Bumping up Against the Barrier with the Binomial Method. Journal of Derivatives 1, 4, 6-14.
  • Boyle, Phelim P. 1993. New Life Forms on the Option Landscape. Journal of Financial Engineering, 2, 3, 217-252.
  • Boyle, Phelim P., and T. Vorst 1992. Option Replication in Discrete Time with Transaction Costs. Journal of Finance, 47, 1, 271-294.
  • Boyle, Phelim P., David Nye 1991. A Note on Stop Loss Insurance Premiums. Journal of Risk and Insurance, 58, 3, 536-541.
  • Boyle, Phelim P. 1990. Karl Borch's Contributions to Insurance Research. Journal of Risk and Insurance, 62, 2, 307-320.
  • Boyle, Phelim P. 1990. Valuation of Derivative Securities Involving Several Assets Using Discrete Time Methods. Insurance: Mathematics and Economics, 9, 131-139.
  • Boyle, Phelim P. and Y. Tse 1990. An Algorithm for Computing Values of Options on the Maximum and Minimum of Several Assets. Journal ofFinancial and Quantitative Analysis 25, 2, 215-228.
  • Boyle, Phelim P., G. Blazenko and K. Newport 1990. Valuation of Tandem Options. Advances in Futures and Options Research 9, 39-49.
  • Boyle, PhelimP., J. Evnine and S. Gibbs 1989. Numerical Evaluation of Multivariate Contingent Claims. Review of Financial Studies 2, 2, 241-250.
  • Boyle, Phelim P. 1989. Valuing Canadian Mortgage-Backed Securities. Financial Analysts Journal 45, 3, 55-60.
  • Boyle, Phelim P. 1989. The Quality Option and Timing Option in Futures Contracts.Journal of Finance 44, 1, 101-113.
  • Boyle, Phelim P. and S. Turnbull 1989. Pricing and Hedging Capped Options. Journal of Futures Markets 9, 1, 41-54.
  • Boyle, Phelim P. 1988. A Lattice Framework for Option Pricing with Two State Variables. Journal of Financial and Quantitative Analysis 23, 1, 1-12.
  • Boyle, Phelim P. 1986. Option Valuation Using a Three Jump Process. International Options Journal 3, 7-12.
  • Boyle, Phelim P. and C. O’Grada 1986. Fertility Trends, Excess Mortality, and the Great Irish Famine. Demography 23, 4, 543-562.
  • Boyle, Phelim P. 1985. Prices Instead of Yields to Model the Term Structure. Finance 6, 2, 217-229.
  • Boyle, Phelim P. 1985. Accounting for Equity Investments of Life Insurance Companies. Contemporary Accounting Research 1, 2, 116-144.
  • Boyle, Phelim P. and E.F. Kirzner 1985. Pricing Complex Options: Echo Bay Ltd. Gold Purchase Warrants. Canadian Journal of Administrative Science 2, 2, 294-306.
  • Boyle, Phelim P. and R. Freedman 1985. Population Waves and Fertility Fluctuations: Social Security Implications. Insurance: Mathematics and Economics 4, 1, 65-74.
  • Boyle, Phelim P. and P. DeJong 1983. Monitoring Mortality - A State-Space Approach. Journal of Econometrics 23, 1, 131-146.
  • Boyle, Phelim P. and J. Mao 1983. An Exact Solution for the Optimal Stop Loss Limit. Journal of Risk and Insurance 50, 4, 719-726.
  • Boyle, Phelim P. and J. Mao 1982. Optimal Risk Retention Under Partial Insurance. Insurance: Mathematics and Economics 1, 1, 19-26.
  • Boyle, Phelim P. and J.D. Murray 1981. Assessment of Damages: Actuarial and Economic Aspects. Osgoode Hall Law Journal 19, 1, 1-27.
  • Boyle, Phelim P. and D. Emanuel 1980. Discretely Adjusted Option Hedges. Journal of Financial Economics 8, 3, 259-282.
  • Boyle, Phelim P. 1979. Reply to Remark by Thelander. Scandinavian Actuarial Journal 1, 55-56.
  • Boyle, Phelim P. and J.D. Murray 1979. Social Security Wealth in Canada and Private Saving. Canadian Journal of Economics 12, 3, 456-468.
  • Boyle, Phelim P. 1979. The Treatment of RRSP Proceeds on Maturity. Canadian Tax Journal 27, 1, 68-80.
  • Boyle, Phelim P. and A.L. Ananthanarayanan 1979. The Impact of Variance Estimation on Option Valuation Models. Journal of Financial Economics 6, 4, 375-388.
  • Boyle, Phelim P. 1979. The Poisson-Exponential Model and the Non-Central Chi-Squared Distribution. Scandinavian Actuarial Journal 2, 108-111.
  • Boyle, Phelim P. 1978. Immunization Under Stochastic Models of the Term Structure. Journal of the Institute of Actuaries 105, 2, 177-187.
  • Boyle, Phelim P. 1977. Financial Instruments for Retired Homeowners. Journal of Risk and Insurance 44, 3, 513-520.
  • Boyle, Phelim P. 1977. Options: A Monte Carlo Approach. Journal of Financial Economics 4, 4, 323-338.
  • Boyle, Phelim P. and E.S. Schwartz 1977. Equilibrium Prices of Guarantees Under Equity-Linked Contracts. The Journal of Risk and Insurance 44, 4, 639-660.
  • Boyle, Phelim P. 1976. Rates of Return as Random Variables. Journal of Risk and Insurance 43, 3, 693-713.
  • Boyle, Phelim P. 1975. Review of Economics and Insurance: Comment. Journal of Risk and Insurance 42, 1, 163-164.
  • Boyle, Phelim P. 1975. A Critique of the Interest-Adjusted Net Cost Index: Comment. Journal of Risk and Insurance 42, 3, 545-552.
  • Boyle, Phelim P. 1974. A Note on the Variance of a Widow's Pension. Journal of the Institute of Actuaries 42, 103-108.
  • Boyle, Phelim P. 1967. A Formula for the Length of the Hyperbola. The Mathematical Gazette 51, Note 3181, 146-148