CURRICULUM VITAE
Phelim P. Boyle

Centre for Advanced Studies in Finance
School of Accountancy
University of Waterloo
Waterloo, Ontario
Canada N2L 3G1

April 2001

Work Phone: (519) 888-4567 (ext. 6513)
Fax: (519) 888-7562
E-mail: pboyle@uwaterloo.ca
http://www.arts.uwaterloo.ca/finance/casf.htm

The University of Illinois at Urbana-Champaign, The University of California at Berkeley, Erasmus University, Rotterdam, University of Tokyo, Universita degli Studii di Perugia (Italy), The Australian Graduate School of Management at the University of New South Wales, Dublin City University, Trinity College Dublin, The University of Florida at Gainesville, Heriot Watt University Edinburgh, The University of Strasbourg.

Redington Award, Awarded every three years by Society of Actuaries. In 1999 award was given for the paper by Phelim P., Boyle, Corwin Joy and Ken Seng Tan entitled "Quasi Monte Carlo Methods in Numerical Finance." This paper was also judged to be one of the ten classic papers in investment (published in the last 50 years) by the Society of Actuaries. It was reprinted in a special monograph along with the other nine classic contributions.

Highly Commended Paper Award from the Institute of Actuaries UK for paper by Phelim P. Boyle and Ken Seng Tan, "Scrambled Low Discrepancy sequences with Applications to Exotic Options." Forthcoming in Journal of Economics Dynamics and Control.

First prize for best paper (out of 23) at Canadian Institute of Actuaries Symposium on Segregated Funds. Joint paper entitled "Valuation of Reset Option in Seg. Fund Contracts using Quasi-Monte Carlo Methods."

American Finance Association

Western Finance Association

Institute of Actuaries - London, England

Canadian Institute of Actuaries

International Actuarial Association

Department Editor: Management Science

Co-Editor: Advances in Futures and Options Research

Associate Editor:

Mathematical Finance

Financial Engineering and the Japanese Markets

Journal of Derivatives

Journal of Economic Dynamics and Control

Journal of Financial Engineering Journal of Risk and Insurance

Insurance Mathematics and Economics

Heubner International Series on Risk, Insurance and Economic Security

North American Actuarial Journal

Operations Research

Decisions in Economics and Finance

Boyle Phelim P., Kolkiewicz Adam and Tan, Ken Seng,. (2000), "Pricing American Style Derivatives using Low Discrepancy Mesh Methods. "

Boyle Phelim P., Kolkiewicz Adam and Tan, Ken Seng,. (2000), "Using Quasi Monte Carlo Methods to Value Segregated Fund. Guarantees "

Boyle Phelim P., Tan, Ken Seng and Tian Weidong. (2000), "Calibrating the Black Derman Toy Model; Some Theoretical Results. "

Boyle Phelim P., Tian Weidong. and Guan Fred (2000), " New Closed Form Solutions to the CIR. Model "

Boyle Phelim P., Tian Weidong. and Guan Fred (2000), " The Riccati Eqaution in Mathematical Finance "

Boyle, Phelim P., Ken Seng Tan and Junichi Imai (2001), "Dynamic Fund Protection." forthcoming in July 2001 North American Actuarial Journal

Boyle, Phelim P. and Tan Wang (2001), "Valuation in Incomplete Markets; The Catch 22 of Derivative Pricing." forthcoming in Mathematical Finance

Boyle, Phelim P., Adam W. Kolkiewicz and Ken Seng Tan (2001), "Valuation of the Reset Options Embedded in Some Equity-Linked Insurance." Forthcoming in North American Actuarial Journal.

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.

Andersen, Leif and Phelim P. Boyle (2000), "Monte Carlo Methods and The Evaluation of Interest Rate Securities" published in Advanced Fixed Income Models, 367-402. Editors Narasimhan Jegadeesh and Bruce Tuckman, John Wiley & Sons Inc

Boyle, Phelim P., 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., 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., 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., 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., X. Sheldon Lin (1997). "Bounds on Contingent Claims Based on Several Assets." Journal of Financial Engineering 46, 3, 383-400.

Boyle, Phelim P., Mary R. Hardy (1997). "Reserving for Maturity Guarantees: Two Approaches." Insurance, Mathematics and Economics 21, 2, 113-127.

Boyle, Phelim P., 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., 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., 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., 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., 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., Y. Tse (1990). "An Algorithm for Computing Values of Options on the Maximum and Minimum of Several Assets." Journal of Financial 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, Phelim P., 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., 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., 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., 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., R. Freedman (1985). "Population Waves and Fertility Fluctuations: Social Security Implications." Insurance: Mathematics and Economics 4, 1, 65-74.

Boyle, Phelim P., P. DeJong (1983). "Monitoring Mortality - A State-Space Approach." Journal of Econometrics 23, 1, 131-146.

Boyle, Phelim P., J. Mao (1983). "An Exact Solution for the Optimal Stop Loss Limit." Journal of Risk and Insurance 50, 4, 719-726.

Boyle, Phelim P., J. Mao (1982). "Optimal Risk Retention Under Partial Insurance." Insurance: Mathematics and Economics 1, 1, 19-26.

Boyle, Phelim P., J.D. Murray (1981). "Assessment of Damages: Actuarial and Economic Aspects." Osgoode Hall Law Journal 19, 1, 1-27.

Boyle, Phelim P., 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., 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., 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., 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.

 

Boyle, Phelim P. Options and the Management of Financial Risk (1995). Published by Society of Actuaries, 475 North Martingale Road, Suite 800, Schaumburg, IL 60173-2226.

Financial Economics with Applications to Investments, Insurance and Pensions (1998). Published by the Actuarial Foundation. I am one of the senior authors.

 

Derivatives: A PowerPlus Picture Book. (1999) Author: Mark Rubinbstein. Reviewer: Phelim P Boyle, Eight pages in Journal of Finance, December 1999.

 

Boyle Phelim P. and Leif Andersen. (1999) "Monte Carlo Methods for Interest Rate Derivatives." forthcoming in 2000. Book entitled Interest Rate Models

Boyle Phelim P., "Options: A Monte Carlo Approach." reprinted as Chapter One in Monte Carlo, Methodologies and Applications for Pricing and Risk Management Published by RISK, 1998.

Boyle Phelim P., Mark Broadie and Paul Glasserman. "Monte Carlo Methods for Security Pricing." reprinted as Chapter Two in Monte Carlo, Methodologies and Applications for Pricing and Risk Management. Published by RISK, 1998.

Boyle Phelim P., Corwin Joy and Ken Seng Tan. "Quasi Monte Carlo Methods in Numerical Finance." reprinted as Chapter 24 in Monte Carlo, Methodologies and Applications for Pricing and Risk Management Published by RISK, 1998.

Boyle, P., M. Broadie and P. Glasserman (1995). "Recent Advances in Simulation for Security Pricing," Proceedings of the 1995 Winter Simulation Conference eds. Alexopoulos, King, Lilegdon and Goldsman, The Society for Computer Simulation, San Diego, CA, 229-235.

Boyle, Phelim P. Financial Economics: With Applications to Investments, Insurance and Pensions Harry H. Panjer, Editor. The Actuarial Foundation 1998.

Boyle, Phelim P. (1995). "Risk Based Capital for Financial Institutions" in G. Ottaviani (Ed) Financial Risk in Insurance Springer Verlag.

Boyle, Phelim P. (1991). "Riflessioni su alcuni Moderni Paradigmi in Economia Finanziaria." Assicurazioni Anno LVIII- Luglio-Ottobre, Fasc 4-5.

Boyle, Phelim P. and W. Taylor (1989), "January Skewness, Another Enigma?" in A Reappraisal of the Efficiency of Financial Markets edited by R.M.C. Guimaraes, B.G. Kingsman and S.J. Taylor, 285-304, published by Springer-Verlag, Berlin.

Boyle, Phelim P. (1988). "The Quality Option in Futures Contracts." Third Canadian International Futures Conference, 19-58, published by Canadian Securities Institute.

Boyle, Phelim P. (1987). "Perspectives on Mortgage Default Insurance." in Actuarial Science; Proceedings of Joshi Festschrift edited by I.B. MacNeill and G.J. Umphrey, 185-199, published by D. Reidel Publishing Company, Dordrecht, Holland.

Boyle, Phelim P. and J.E. Butterworth (1987). "The Principal Agent Problem: Numerical Solutions." Economic Analysis of Information and Contracts: Essay in Honour of John E. Butterworth edited by G. Feltham, A. Amershi and W.T. Ziemba, 169-196, published by Kluwer Academic Publishers, Boston.

Boyle, Phelim P. (1986). "Recent Research on the Risk Return Relationship in Financial Economics." in Insurance and Risk Theory edited by M. Goovaerts, F. de Vylder and J. Haezendonck, 145-164, published by D. Reidel Publishing Company, Dordrecht, Holland.

Boyle, Phelim P. (1984). "Risk Sharing, Incentives and Moral Hazard." in Premium Calculation in Insurance edited by F. de Vylder, M. Goovaerts and J. Haezendonck, 31-75, published by D. Riedel Publishing Company, Dordrecht, Holland.

Boyle, Phelim P., P. DeJong and J.E. Butterworth (1984). "Models of Moral Hazard in Insurance and Finance." Transactions of the 22nd International Congress of Actuaries 1, 195-207.

Boyle, Phelim P. (1980). "Recent Models of the Term Structure of Interest Rates with Actuarial Applications." Transactions of the 21st International Congress of Actuaries 95-103.

Boyle, Phelim P. (1980). "An Approximation Method to Calculate the Value of a Maturity Guarantee Under a Level-Premium-Equity-Based Contract." published in Computational Probability by P.M. Kahn, Academic Press, 91-100.

Boyle, Phelim P. (1979). "The Comparison of Group Life Benefit Schedules." in Actuarial Research Clearing House edited by A.F. Shapiro and C.C. Smith, 12, 65-78, published by Society of Actuaries, Chicago.

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