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Author ID: boyle.phelim-p Recent zbMATH articles by "Boyle, Phelim P."
Published as: Boyle, Phelim P.; Boyle, Phelim; Boyle, P. P.
Documents Indexed: 41 Publications since 1978, including 1 Book
1 Further Contribution
Co-Authors: 31 Co-Authors with 34 Joint Publications
407 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

35 Publications have been cited 540 times in 474 Documents Cited by Year
Monte Carlo methods for security pricing. Zbl 0901.90007
Boyle, Phelim; Broadie, Mark; Glasserman, Paul
134
1997
Pricing exotic options under regime switching. Zbl 1141.91420
Boyle, Phelim; Draviam, Thangaraj
68
2007
Quasi-Monte Carlo methods in numerical finance. Zbl 0880.90006
Joy, Corwin; Boyle, Phelim P.; Tan, Ken Seng
50
1996
Reserving for maturity guarantees: Two approaches. Zbl 0894.90044
Boyle, Phelim P.; Hardy, Mary R.
39
1997
Guaranteed annuity options. Zbl 1098.91527
Boyle, Phelim; Hardy, Mary
33
2003
Portfolio management with constraints. Zbl 1186.91191
Boyle, Phelim; Tian, Weidong
28
2007
An explicit finite difference approach to the pricing of barrier options. Zbl 1009.91022
Boyle, Phelim P.; Tian, Yisong
25
1998
Prices and sensitivities of Asian options: A survey. Zbl 1141.91421
Boyle, Phelim; Potapchik, Alexander
24
2008
The design of equity-indexed annuities. Zbl 1152.91484
Boyle, Phelim; Tian, Weidong
21
2008
Dynamic fund protection. With a discussion by Hans U. Gerber and Elias S. W. Shiu. Zbl 1083.60513
Imai, Junichi; Boyle, Phelim P.
16
2001
Valuation of the reset options embedded in some equity-linked insurance products. Zbl 1083.91511
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
11
2001
Applications of randomized low discrepancy sequences to the valuation of complex securities. Zbl 0967.91059
Tan, K. S.; Boyle, P. P.
10
2000
Pricing options using lattice rules. Zbl 1141.91419
Boyle, Phelim P.; Lai, Yongzeng; Tan, Ken Seng
8
2005
The Riccati equation in mathematical finance. Zbl 1042.34019
Boyle, P. P.; Tian, W.; Guan, Fred
7
2002
Volatility estimation from observed option prices. Zbl 0988.91034
Boyle, Phelim P.; Thangaraj, Draviam
6
2000
Asset allocation with time variation in expected returns. Zbl 0914.90014
Boyle, Phelim P.; Yang, Hailiang
6
1997
Optimal portfolio selection with transaction costs. Zbl 1080.91516
Boyle, Phelim P.; Lin, Xiaodong
6
1997
Pricing Bermudan options using low-discrepancy mesh methods. Zbl 1281.91181
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
6
2013
Derivatives: the tools that changed finance. Zbl 1140.91379
Boyle, Phelim; Boyle, Feidhlim
5
2001
An improved simulation method for pricing high-dimensional American derivatives. Zbl 1036.91020
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
4
2003
The \(1/n\) pension investment puzzle. Zbl 1085.91535
Windcliff, Heath; Boyle, Phelim P.
4
2004
Positive weights on the efficient frontier. Zbl 1414.91437
Boyle, Phelim
3
2014
Pricing of new securities in an incomplete market: The catch 22 of no-arbitrage pricing. Zbl 0980.91018
Boyle, Phelim; Wang, Tan
3
2001
The Poisson-exponential model and the non-central chi-squared distribution. Zbl 0376.62074
Boyle, Phelim P.
3
1978
Monte Carlo methods for security pricing. Zbl 0991.91026
Boyle, Phelim; Broadie, Mark; Glasserman, Paul
3
2001
Application of high-precision computing for pricing arithmetic Asian options. Zbl 1356.91096
Boyle, Phelim; Potapchik, Alex
3
2006
Computation of optimal portfolios using simulation-based dimension reduction. Zbl 1284.91567
Boyle, Phelim; Imai, Junichi; Tan, Ken Seng
2
2008
Optimal design of equity-linked products with a probabilistic constraint. Zbl 1224.91047
Boyle, Phelim; Tian, Weidong
2
2009
Risk sharing, incentives and moral hazard. Zbl 0537.90010
Boyle, Phelim P.
2
1984
Calibrating the Black-Derman-Toy model: Some theoretical results. Zbl 1021.91025
Boyle, Phelim P.; Tan, Ken Seng; Tian, Weidong
2
2001
Pricing American derivatives using simulation: A biased low approach. Zbl 1008.91059
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
2
2002
Correlation matrices with the Perron Frobenius property. Zbl 1390.15026
Boyle, Phelim P.; N’Diaye, Thierno B.
1
2018
Short positions in the first principal component portfolio. Zbl 1393.91129
Boyle, Phelim; Feng, Shui; Melkuev, David; Yang, Shuai; Zhang, Johnew
1
2018
Risk-based capital for financial institutions. Zbl 0834.90016
Boyle, Phelim P.
1
1995
Portfolio selection with skewness. Zbl 1124.91029
Boyle, Phelim; Ding, Brian
1
2005
Correlation matrices with the Perron Frobenius property. Zbl 1390.15026
Boyle, Phelim P.; N’Diaye, Thierno B.
1
2018
Short positions in the first principal component portfolio. Zbl 1393.91129
Boyle, Phelim; Feng, Shui; Melkuev, David; Yang, Shuai; Zhang, Johnew
1
2018
Positive weights on the efficient frontier. Zbl 1414.91437
Boyle, Phelim
3
2014
Pricing Bermudan options using low-discrepancy mesh methods. Zbl 1281.91181
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
6
2013
Optimal design of equity-linked products with a probabilistic constraint. Zbl 1224.91047
Boyle, Phelim; Tian, Weidong
2
2009
Prices and sensitivities of Asian options: A survey. Zbl 1141.91421
Boyle, Phelim; Potapchik, Alexander
24
2008
The design of equity-indexed annuities. Zbl 1152.91484
Boyle, Phelim; Tian, Weidong
21
2008
Computation of optimal portfolios using simulation-based dimension reduction. Zbl 1284.91567
Boyle, Phelim; Imai, Junichi; Tan, Ken Seng
2
2008
Pricing exotic options under regime switching. Zbl 1141.91420
Boyle, Phelim; Draviam, Thangaraj
68
2007
Portfolio management with constraints. Zbl 1186.91191
Boyle, Phelim; Tian, Weidong
28
2007
Application of high-precision computing for pricing arithmetic Asian options. Zbl 1356.91096
Boyle, Phelim; Potapchik, Alex
3
2006
Pricing options using lattice rules. Zbl 1141.91419
Boyle, Phelim P.; Lai, Yongzeng; Tan, Ken Seng
8
2005
Portfolio selection with skewness. Zbl 1124.91029
Boyle, Phelim; Ding, Brian
1
2005
The \(1/n\) pension investment puzzle. Zbl 1085.91535
Windcliff, Heath; Boyle, Phelim P.
4
2004
Guaranteed annuity options. Zbl 1098.91527
Boyle, Phelim; Hardy, Mary
33
2003
An improved simulation method for pricing high-dimensional American derivatives. Zbl 1036.91020
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
4
2003
The Riccati equation in mathematical finance. Zbl 1042.34019
Boyle, P. P.; Tian, W.; Guan, Fred
7
2002
Pricing American derivatives using simulation: A biased low approach. Zbl 1008.91059
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
2
2002
Dynamic fund protection. With a discussion by Hans U. Gerber and Elias S. W. Shiu. Zbl 1083.60513
Imai, Junichi; Boyle, Phelim P.
16
2001
Valuation of the reset options embedded in some equity-linked insurance products. Zbl 1083.91511
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
11
2001
Derivatives: the tools that changed finance. Zbl 1140.91379
Boyle, Phelim; Boyle, Feidhlim
5
2001
Pricing of new securities in an incomplete market: The catch 22 of no-arbitrage pricing. Zbl 0980.91018
Boyle, Phelim; Wang, Tan
3
2001
Monte Carlo methods for security pricing. Zbl 0991.91026
Boyle, Phelim; Broadie, Mark; Glasserman, Paul
3
2001
Calibrating the Black-Derman-Toy model: Some theoretical results. Zbl 1021.91025
Boyle, Phelim P.; Tan, Ken Seng; Tian, Weidong
2
2001
Applications of randomized low discrepancy sequences to the valuation of complex securities. Zbl 0967.91059
Tan, K. S.; Boyle, P. P.
10
2000
Volatility estimation from observed option prices. Zbl 0988.91034
Boyle, Phelim P.; Thangaraj, Draviam
6
2000
An explicit finite difference approach to the pricing of barrier options. Zbl 1009.91022
Boyle, Phelim P.; Tian, Yisong
25
1998
Monte Carlo methods for security pricing. Zbl 0901.90007
Boyle, Phelim; Broadie, Mark; Glasserman, Paul
134
1997
Reserving for maturity guarantees: Two approaches. Zbl 0894.90044
Boyle, Phelim P.; Hardy, Mary R.
39
1997
Asset allocation with time variation in expected returns. Zbl 0914.90014
Boyle, Phelim P.; Yang, Hailiang
6
1997
Optimal portfolio selection with transaction costs. Zbl 1080.91516
Boyle, Phelim P.; Lin, Xiaodong
6
1997
Quasi-Monte Carlo methods in numerical finance. Zbl 0880.90006
Joy, Corwin; Boyle, Phelim P.; Tan, Ken Seng
50
1996
Risk-based capital for financial institutions. Zbl 0834.90016
Boyle, Phelim P.
1
1995
Risk sharing, incentives and moral hazard. Zbl 0537.90010
Boyle, Phelim P.
2
1984
The Poisson-exponential model and the non-central chi-squared distribution. Zbl 0376.62074
Boyle, Phelim P.
3
1978
all top 5

Cited by 754 Authors

14 Boyle, Phelim P.
12 Siu, Tak Kuen
10 Mamon, Rogemar S.
9 Lyuu, Yuh-Dauh
9 Tan, Ken Seng
8 Ma, Jingtang
8 Qian, Linyi
8 Yang, Hailiang
7 Hardy, Mary Rosalyn
7 Wang, Xiaoqun
6 Bernard, Carole L.
6 Kolkiewicz, Adam W.
6 Lai, Yongzeng
6 Liu, Xiaoming
6 Wang, Rongming
6 Wang, Wei
5 Broadie, Mark N.
5 Dai, Tian-Shyr
5 Forsyth, Peter A.
5 Hieber, Peter
5 Imai, Junichi
5 Lin, X. Sheldon
5 Shiu, Elias S. W.
5 Vanduffel, Steven
4 Ballotta, Laura
4 Ching, Wai-Ki
4 Deelstra, Griselda
4 Gan, Guojun
4 Gao, Huan
4 Gerber, Hans U.
4 Jin, Zhuo
4 Joshi, Mark S.
4 Khaliq, Abdul Q. M.
4 Mahayni, Antje
4 Melnikov, Aleksander Viktorovich
4 Ökten, Giray
4 Tian, Weidong
4 Vetzal, Kenneth R.
4 Yuen, Fei Lung
4 Zhou, Zhiqiang
3 Belomestny, Denis
3 Bouveret, Géraldine
3 Chen, An
3 Chen, Ping
3 Coleman, Thomas F.
3 Consiglio, Andrea
3 Cui, Zhenyu
3 Dong, Yinghui
3 Guillen, Montserrat
3 Kim, Junseok
3 Li, Xun
3 Løchte Jørgensen, Peter
3 Maj, Mateusz
3 Milevsky, Moshe Arye
3 Milstein, Grigori N.
3 Nielsen, Jens Perch
3 Pantelous, Athanasios A.
3 Pirjol, Dan
3 Putri, Endah R. M.
3 Rodrigo, Marianito R.
3 Saunders, David Claude
3 Song, Haiming
3 Stadje, Mitja
3 Tangman, Désiré Yannick
3 Thakoor, Nawdha
3 Windcliff, Heath
3 Yam, Sheung Chi Phillip
3 Yang, Sharon S.
3 Zhu, Xiaobai
2 Achdou, Yves
2 Aimi, Alessandra
2 Bhuruth, Muddun
2 Cen, Zhongdi
2 Choi, Yongho
2 Chu, Chi Chiu
2 Cvitanić, Jakša
2 de Melo, Eduardo Fraga L.
2 Deng, Guohe
2 Dias, José Carlos
2 Dingeç, Kemal Dinçer
2 Donnelly, Catherine
2 Elliott, Robert James
2 Erlwein, Christina
2 Escobar Anel, Marcos
2 Ewald, Christian-Oliver
2 Fabozzi, Frank J.
2 Fahringer, Thomas
2 Fusai, Gianluca
2 Glasserman, Paul
2 Goard, Joanna M.
2 Godin, Frédéric
2 Göncü, Ahmet
2 Grasselli, Martino
2 Guardasoni, Chiara
2 Haberman, Steven
2 Han, Chuan-Hsiang
2 Han, Hyunsoo
2 He, Zhijian
2 Hörfelt, Per
2 Hörmann, Wolfgang
...and 654 more Authors
all top 5

Cited in 116 Serials

70 Insurance Mathematics & Economics
32 North American Actuarial Journal
29 Journal of Computational and Applied Mathematics
24 Quantitative Finance
23 International Journal of Theoretical and Applied Finance
18 Journal of Economic Dynamics & Control
17 Applied Mathematics and Computation
12 European Journal of Operational Research
12 Applied Mathematical Finance
8 Annals of Operations Research
8 Scandinavian Actuarial Journal
7 Mathematics and Computers in Simulation
7 Journal of Complexity
7 Mathematical and Computer Modelling
7 ASTIN Bulletin
7 Review of Derivatives Research
6 Communications in Statistics. Theory and Methods
6 International Journal of Computer Mathematics
6 Mathematical Finance
5 Computers & Mathematics with Applications
5 Mathematical Methods of Operations Research
5 Methodology and Computing in Applied Probability
5 Decisions in Economics and Finance
5 SIAM Journal on Financial Mathematics
4 The ANZIAM Journal
4 Asia-Pacific Financial Markets
3 Physica A
3 Mathematics of Computation
3 Chaos, Solitons and Fractals
3 Automatica
3 Statistics & Probability Letters
3 Numerical Algorithms
3 Computational Statistics and Data Analysis
3 Finance and Stochastics
3 Discrete Dynamics in Nature and Society
3 Journal of Industrial and Management Optimization
3 European Actuarial Journal
2 Journal of Computational Physics
2 Journal of Econometrics
2 SIAM Journal on Control and Optimization
2 Stochastic Analysis and Applications
2 Acta Mathematicae Applicatae Sinica. English Series
2 Journal of Scientific Computing
2 Journal of Statistical Computation and Simulation
2 Monte Carlo Methods and Applications
2 Complexity
2 Abstract and Applied Analysis
2 Lobachevskii Journal of Mathematics
2 Applied Stochastic Models in Business and Industry
2 Concurrency and Computation: Practice & Experience
2 Journal of Systems Science and Complexity
2 Journal of Applied Mathematics
2 Comptes Rendus. Mathématique. Académie des Sciences, Paris
2 Stochastics
2 Mathematics and Financial Economics
2 Annals of Finance
2 Journal of the Korean Society for Industrial and Applied Mathematics
2 East Asian Journal on Applied Mathematics
2 Dependence Modeling
1 Acta Informatica
1 Applicable Analysis
1 The Annals of Probability
1 Applied Mathematics and Optimization
1 BIT
1 Information Sciences
1 Journal of Applied Probability
1 Journal of Optimization Theory and Applications
1 Operations Research
1 Scandinavian Actuarial Journal
1 Operations Research Letters
1 International Journal of Production Research
1 Applied Numerical Mathematics
1 Optimization
1 Probability Theory and Related Fields
1 Computers & Operations Research
1 Computational Mechanics
1 Numerical Methods for Partial Differential Equations
1 Applied Mathematics Letters
1 The Annals of Applied Probability
1 Applications of Mathematics
1 Discrete Event Dynamic Systems
1 Stochastic Processes and their Applications
1 Mathematical Programming. Series A. Series B
1 Computational Economics
1 SIAM Journal on Scientific Computing
1 Journal of Combinatorial Designs
1 Engineering Analysis with Boundary Elements
1 INFORMS Journal on Computing
1 ELA. The Electronic Journal of Linear Algebra
1 Mathematical Problems in Engineering
1 Differential Equations and Dynamical Systems
1 Communications in Nonlinear Science and Numerical Simulation
1 CEJOR. Central European Journal of Operations Research
1 Optimization and Engineering
1 Nonlinear Analysis. Real World Applications
1 Journal of Machine Learning Research (JMLR)
1 Sādhanā
1 Computational Management Science
1 Journal of Fixed Point Theory and Applications
1 Frontiers of Mathematics in China
...and 16 more Serials

Citations by Year