Edit Profile (opens in new tab) Boyle, Phelim P. Co-Author Distance Author ID: boyle.phelim-p Published as: Boyle, Phelim P.; Boyle, Phelim; Boyle, P. P. more...less Documents Indexed: 42 Publications since 1978, including 1 Book 1 Further Contribution Co-Authors: 32 Co-Authors with 35 Joint Publications 425 Co-Co-Authors all top 5 Co-Authors 7 single-authored 10 Tan, Ken Seng 5 Tian, Weidong 4 Kolkiewicz, Adam W. 2 Broadie, Mark N. 2 Glasserman, Paul 2 Hardy, Mary Rosalyn 2 Imai, Junichi 1 Beekman, John A. 1 Boyle, Feidhlim 1 Ding, Brian 1 Draviam, Thangaraj 1 Feng, Shui 1 Gerber, Hans U. 1 Guan, Fred 1 Hogg, Robert V. 1 Jiang, Ruihong 1 Joy, Corwin 1 Lai, Yongzeng 1 Li, Johnny Siu-Hang 1 Liew, Sun Siang 1 Lin, Xiaodong 1 Luckner, Warren 1 Mei, Yuchen 1 Melkuev, David 1 N’Diaye, Thierno B. 1 Potapchik, Alex 1 Potapchik, Alexander 1 Thangaraj, Draviam 1 Tian, Yisong 1 Wang, Tan 1 Wei, Pengyu 1 Windcliff, Heath 1 Yang, Hailiang 1 Yang, Shuai 1 Zhang, Johnew 1 Zhuang, Shengchao all top 5 Serials 10 North American Actuarial Journal 9 Insurance Mathematics & Economics 2 Journal of Economic Dynamics & Control 2 Applied Mathematical Finance 2 Mathematical Finance 1 Journal of Computational Physics 1 Management Science 1 Mathematics and Computers in Simulation 1 Scandinavian Actuarial Journal 1 Journal of Symbolic Computation 1 ELA. The Electronic Journal of Linear Algebra 1 Scandinavian Actuarial Journal 1 Quantitative Finance 1 Decisions in Economics and Finance 1 ASTIN Bulletin all top 5 Fields 39 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 8 Numerical analysis (65-XX) 4 Statistics (62-XX) 2 Probability theory and stochastic processes (60-XX) 2 Systems theory; control (93-XX) 1 History and biography (01-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Ordinary differential equations (34-XX) 1 Quantum theory (81-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 36 Publications have been cited 564 times in 494 Documents Cited by ▼ Year ▼ Monte Carlo methods for security pricing. Zbl 0901.90007Boyle, Phelim; Broadie, Mark; Glasserman, Paul 140 1997 Pricing exotic options under regime switching. Zbl 1141.91420Boyle, Phelim; Draviam, Thangaraj 72 2007 Quasi-Monte Carlo methods in numerical finance. Zbl 0880.90006Joy, Corwin; Boyle, Phelim P.; Tan, Ken Seng 51 1996 Reserving for maturity guarantees: Two approaches. Zbl 0894.90044Boyle, Phelim P.; Hardy, Mary R. 41 1997 Guaranteed annuity options. Zbl 1098.91527Boyle, Phelim; Hardy, Mary 34 2003 Portfolio management with constraints. Zbl 1186.91191Boyle, Phelim; Tian, Weidong 28 2007 An explicit finite difference approach to the pricing of barrier options. Zbl 1009.91022Boyle, Phelim P.; Tian, Yisong 25 1998 Prices and sensitivities of Asian options: A survey. Zbl 1141.91421Boyle, Phelim; Potapchik, Alexander 25 2008 The design of equity-indexed annuities. Zbl 1152.91484Boyle, Phelim; Tian, Weidong 23 2008 Dynamic fund protection. With a discussion by Hans U. Gerber and Elias S. W. Shiu. Zbl 1083.60513Imai, Junichi; Boyle, Phelim P. 18 2001 Applications of randomized low discrepancy sequences to the valuation of complex securities. Zbl 0967.91059Tan, K. S.; Boyle, P. P. 11 2000 Valuation of the reset options embedded in some equity-linked insurance products. Zbl 1083.91511Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng 11 2001 The Riccati equation in mathematical finance. Zbl 1042.34019Boyle, P. P.; Tian, W.; Guan, Fred 8 2002 Optimal portfolio selection with transaction costs. Zbl 1080.91516Boyle, Phelim P.; Lin, Xiaodong 8 1997 Pricing options using lattice rules. Zbl 1141.91419Boyle, Phelim P.; Lai, Yongzeng; Tan, Ken Seng 8 2005 Pricing Bermudan options using low-discrepancy mesh methods. Zbl 1281.91181Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng 6 2013 Volatility estimation from observed option prices. Zbl 0988.91034Boyle, Phelim P.; Thangaraj, Draviam 6 2000 Asset allocation with time variation in expected returns. Zbl 0914.90014Boyle, Phelim P.; Yang, Hailiang 6 1997 Derivatives: the tools that changed finance. Zbl 1140.91379Boyle, Phelim; Boyle, Feidhlim 5 2001 An improved simulation method for pricing high-dimensional American derivatives. Zbl 1036.91020Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng 4 2003 The \(1/n\) pension investment puzzle. Zbl 1085.91535Windcliff, Heath; Boyle, Phelim P. 4 2004 Positive weights on the efficient frontier. Zbl 1414.91437Boyle, Phelim 3 2014 The Poisson-exponential model and the non-central chi-squared distribution. Zbl 0376.62074Boyle, Phelim P. 3 1978 Pricing of new securities in an incomplete market: The catch 22 of no-arbitrage pricing. Zbl 0980.91018Boyle, Phelim; Wang, Tan 3 2001 Monte Carlo methods for security pricing. Zbl 0991.91026Boyle, Phelim; Broadie, Mark; Glasserman, Paul 3 2001 Application of high-precision computing for pricing arithmetic Asian options. Zbl 1356.91096Boyle, Phelim; Potapchik, Alex 3 2006 Risk sharing, incentives and moral hazard. Zbl 0537.90010Boyle, Phelim P. 2 1984 Calibrating the Black-Derman-Toy model: Some theoretical results. Zbl 1021.91025Boyle, Phelim P.; Tan, Ken Seng; Tian, Weidong 2 2001 Pricing American derivatives using simulation: A biased low approach. Zbl 1008.91059Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng 2 2002 Optimal design of equity-linked products with a probabilistic constraint. Zbl 1224.91047Boyle, Phelim; Tian, Weidong 2 2009 Computation of optimal portfolios using simulation-based dimension reduction. Zbl 1284.91567Boyle, Phelim; Imai, Junichi; Tan, Ken Seng 2 2008 Correlation matrices with the Perron Frobenius property. Zbl 1390.15026Boyle, Phelim P.; N’Diaye, Thierno B. 1 2018 Short positions in the first principal component portfolio. Zbl 1393.91129Boyle, Phelim; Feng, Shui; Melkuev, David; Yang, Shuai; Zhang, Johnew 1 2018 Portfolio selection with skewness. Zbl 1124.91029Boyle, Phelim; Ding, Brian 1 2005 Risk-based capital for financial institutions. Zbl 0834.90016Boyle, Phelim P. 1 1995 Annuity and insurance choice under habit formation. Zbl 1492.91273Boyle, Phelim; Tan, Ken Seng; Wei, Pengyu; Zhuang, Sheng Chao 1 2022 Annuity and insurance choice under habit formation. Zbl 1492.91273Boyle, Phelim; Tan, Ken Seng; Wei, Pengyu; Zhuang, Sheng Chao 1 2022 Correlation matrices with the Perron Frobenius property. Zbl 1390.15026Boyle, Phelim P.; N’Diaye, Thierno B. 1 2018 Short positions in the first principal component portfolio. Zbl 1393.91129Boyle, Phelim; Feng, Shui; Melkuev, David; Yang, Shuai; Zhang, Johnew 1 2018 Positive weights on the efficient frontier. Zbl 1414.91437Boyle, Phelim 3 2014 Pricing Bermudan options using low-discrepancy mesh methods. Zbl 1281.91181Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng 6 2013 Optimal design of equity-linked products with a probabilistic constraint. Zbl 1224.91047Boyle, Phelim; Tian, Weidong 2 2009 Prices and sensitivities of Asian options: A survey. Zbl 1141.91421Boyle, Phelim; Potapchik, Alexander 25 2008 The design of equity-indexed annuities. Zbl 1152.91484Boyle, Phelim; Tian, Weidong 23 2008 Computation of optimal portfolios using simulation-based dimension reduction. Zbl 1284.91567Boyle, Phelim; Imai, Junichi; Tan, Ken Seng 2 2008 Pricing exotic options under regime switching. Zbl 1141.91420Boyle, Phelim; Draviam, Thangaraj 72 2007 Portfolio management with constraints. Zbl 1186.91191Boyle, Phelim; Tian, Weidong 28 2007 Application of high-precision computing for pricing arithmetic Asian options. Zbl 1356.91096Boyle, Phelim; Potapchik, Alex 3 2006 Pricing options using lattice rules. Zbl 1141.91419Boyle, Phelim P.; Lai, Yongzeng; Tan, Ken Seng 8 2005 Portfolio selection with skewness. Zbl 1124.91029Boyle, Phelim; Ding, Brian 1 2005 The \(1/n\) pension investment puzzle. Zbl 1085.91535Windcliff, Heath; Boyle, Phelim P. 4 2004 Guaranteed annuity options. Zbl 1098.91527Boyle, Phelim; Hardy, Mary 34 2003 An improved simulation method for pricing high-dimensional American derivatives. Zbl 1036.91020Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng 4 2003 The Riccati equation in mathematical finance. Zbl 1042.34019Boyle, P. P.; Tian, W.; Guan, Fred 8 2002 Pricing American derivatives using simulation: A biased low approach. Zbl 1008.91059Boyle, 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 1083.60513Imai, Junichi; Boyle, Phelim P. 18 2001 Valuation of the reset options embedded in some equity-linked insurance products. Zbl 1083.91511Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng 11 2001 Derivatives: the tools that changed finance. Zbl 1140.91379Boyle, Phelim; Boyle, Feidhlim 5 2001 Pricing of new securities in an incomplete market: The catch 22 of no-arbitrage pricing. Zbl 0980.91018Boyle, Phelim; Wang, Tan 3 2001 Monte Carlo methods for security pricing. Zbl 0991.91026Boyle, Phelim; Broadie, Mark; Glasserman, Paul 3 2001 Calibrating the Black-Derman-Toy model: Some theoretical results. Zbl 1021.91025Boyle, Phelim P.; Tan, Ken Seng; Tian, Weidong 2 2001 Applications of randomized low discrepancy sequences to the valuation of complex securities. Zbl 0967.91059Tan, K. S.; Boyle, P. P. 11 2000 Volatility estimation from observed option prices. Zbl 0988.91034Boyle, Phelim P.; Thangaraj, Draviam 6 2000 An explicit finite difference approach to the pricing of barrier options. Zbl 1009.91022Boyle, Phelim P.; Tian, Yisong 25 1998 Monte Carlo methods for security pricing. Zbl 0901.90007Boyle, Phelim; Broadie, Mark; Glasserman, Paul 140 1997 Reserving for maturity guarantees: Two approaches. Zbl 0894.90044Boyle, Phelim P.; Hardy, Mary R. 41 1997 Optimal portfolio selection with transaction costs. Zbl 1080.91516Boyle, Phelim P.; Lin, Xiaodong 8 1997 Asset allocation with time variation in expected returns. Zbl 0914.90014Boyle, Phelim P.; Yang, Hailiang 6 1997 Quasi-Monte Carlo methods in numerical finance. Zbl 0880.90006Joy, Corwin; Boyle, Phelim P.; Tan, Ken Seng 51 1996 Risk-based capital for financial institutions. Zbl 0834.90016Boyle, Phelim P. 1 1995 Risk sharing, incentives and moral hazard. Zbl 0537.90010Boyle, Phelim P. 2 1984 The Poisson-exponential model and the non-central chi-squared distribution. Zbl 0376.62074Boyle, Phelim P. 3 1978 all cited Publications top 5 cited Publications all top 5 Cited by 794 Authors 14 Boyle, Phelim P. 13 Siu, Tak Kuen 10 Mamon, Rogemar S. 9 Lyuu, Yuh-Dauh 9 Tan, Ken Seng 9 Yang, Hailiang 8 Ma, Jingtang 8 Qian, Linyi 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 Gan, Guojun 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 Gao, Huan 4 Gerber, Hans U. 4 Jin, Zhuo 4 Joshi, Mark S. 4 Khaliq, Abdul Q. M. 4 Li, Xun 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 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 Wang, Ning 3 Windcliff, Heath 3 Yam, Sheung Chi Phillip 3 Yang, Sharon S. 3 Zhu, Songping 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 ...and 694 more Authors all top 5 Cited in 118 Serials 71 Insurance Mathematics & Economics 34 North American Actuarial Journal 30 Journal of Computational and Applied Mathematics 25 Quantitative Finance 23 International Journal of Theoretical and Applied Finance 19 Journal of Economic Dynamics & Control 17 Applied Mathematics and Computation 13 Applied Mathematical Finance 12 European Journal of Operational Research 9 Scandinavian Actuarial Journal 8 Mathematics and Computers in Simulation 8 Annals of Operations Research 8 International Journal of Computer Mathematics 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 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 Journal of Industrial and Management Optimization 5 SIAM Journal on Financial Mathematics 4 Physica A 4 The ANZIAM Journal 4 Asia-Pacific Financial Markets 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 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 Applications of Mathematics 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 S\(\vec{\text{e}}\)MA Journal 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 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 Mathematical Sciences (New York) 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 ...and 18 more Serials all top 5 Cited in 32 Fields 442 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 145 Numerical analysis (65-XX) 134 Probability theory and stochastic processes (60-XX) 60 Statistics (62-XX) 34 Partial differential equations (35-XX) 30 Operations research, mathematical programming (90-XX) 19 Systems theory; control (93-XX) 8 Calculus of variations and optimal control; optimization (49-XX) 7 Integral equations (45-XX) 7 Computer science (68-XX) 6 Number theory (11-XX) 4 Special functions (33-XX) 4 Ordinary differential equations (34-XX) 4 Approximations and expansions (41-XX) 4 Harmonic analysis on Euclidean spaces (42-XX) 3 Statistical mechanics, structure of matter (82-XX) 2 Integral transforms, operational calculus (44-XX) 2 Fluid mechanics (76-XX) 1 Combinatorics (05-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Real functions (26-XX) 1 Functions of a complex variable (30-XX) 1 Several complex variables and analytic spaces (32-XX) 1 Abstract harmonic analysis (43-XX) 1 Functional analysis (46-XX) 1 Operator theory (47-XX) 1 Mechanics of deformable solids (74-XX) 1 Quantum theory (81-XX) 1 Geophysics (86-XX) 1 Biology and other natural sciences (92-XX) 1 Information and communication theory, circuits (94-XX) 1 Mathematics education (97-XX) Citations by Year