Silvia Mayoral

Peña, J.I , Mayoral, S. and Rodríguez, R. “Cannibalization, depredation, and market
remuneration of power plants”, Energy Policy, vol. 167, 2022.

Mayoral, S. & Moreno D. and Zareei A. Using a Hedging Network to Minimize Portfolio Risk”. With 2022. Finance Research Letters, 44, 102044.

Mayoral, S. & Gzyl, H. Numerical approach to the risk capital allocation problem. With Henry Gzyl. Journal of Risk, 23, 1-24 (2021).

Peña, J.I , Mayoral, S. and Rodríguez, R. “Tail Risk of Electricity Futures” , Energy Economics, vol. 91,
2020.

Mayoral, S., Gzyl, H. & Gomes-Gonçalves, E.: “Sample dependence of risk premia”, The Journal of Operational Risk vol. 14 (2), 2019, 21-37.

Mayoral, S., Gzyl, H. & Gomes-Gonçalves, E.: “GA review of maximum entropy methods for loss data aggregation and disaggregation problems”, Entropy vol. 21, 2019, 762.

Mayoral, S., Gzyl, H. & Gomes-Gonçalves, E.: “Calibration of short rate term structure models from bid-ask coupon bond prices”, Physica A: Statistical Mechanics and its Applications vol. 492, 2018, 1456-1472.

Mayoral, S.: “Loss data analysis with maximum entropy” en Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2018, Springer.

Mayoral, S. & Gzyl, H.: “Maxentropic Solutions to a Convex Interpolation Problem Motivated by Utility Theory”, Entropy vol. 19 (4), 2017, 153-171.

Mayoral, S., Gzyl, H. & Gomes-Gonçalves, E.: “Maximum entropy approach to the loss data aggregation problem”, Journal of Operational Risk vol. 11 (1), 2016, 49-70.

Mayoral, S. & Gzyl, H.: “Determination of zero-coupon and spot rates from treasury data by maximum entropy methods”, Physica A: Statistical Mechanics and its Applications vol. 456 (C), 2016, 38-50.

Mayoral, S., Gzyl, H. & Gomes-Gonçalves, E.: “Loss data analysis: Analysis of the sample dependence in density reconstruction by maxentropic methods”, Insurance, Mathematics and Economics vol. 71, 2016, 145-153.

Mayoral, S., Gzyl, H. & Gomes-Gonçalves, E.: “Maximum entropy approach to the loss data aggregation problem”, Journal of Operational Risk vol. 11 (1), 2016, 49-70.

Mayoral, S. & Longarela, I.R.: “Quote Inefficiency in Options Markets”, Journal of Banking and Finance, vol. 55, 2015, 23-36.

Mayoral, S., Gzyl, H. & Gomes-Gonçalves, E.: “Two maxentropic approaches to determine the probability density of compound risk losses”, Insurance, Mathematics and Economics, vol. 62, 2015, 42-53.

Mayoral, S., Gzyl, H. & Gomes-Gonçalves, E.: “Maxentropic approach to decompound aggregate risk losses”, Insurance, Mathematics and Economics, vol. 64, 2015, 326-336.

Mayoral, S., Gzyl, H. & Gomes-Gonçalves, E.: “Density reconstructions with Errors in the Data”, Entropy, vol. 16, 2014, 3257-3272.

Mayoral, S. & Gzyl, H.: “Determination of the probability distribution measures form market option prices using the method of maximum entropy in the mean”, Applied Mathematical Finance, vol. 19 (4), 2012, 299-312

Mayoral, S., Godin, F. & Morales, M.: “Contingent Claim Pricing Using a Normal Inverse Gaussian Probability Distortion Operator”, Journal of Risk and Insurance, vol. 79 (3), 2012, 841-866

Mayoral, S. & Gzyl, H.: “A general method for determining risk aversion functions from market prices of risk”, Insurance: Mathematics and Economics, vol 47, 2010, 84-89.

Mayoral, S. & Escanciano, J.C.: “Asymptotic Distribution-free Tests for the Martingale Difference Hypothesis”, Computational Statistics and Data Analysis, vol 54 (8), 2010, 1983-1998.

Mayoral, S., Balbás, A. & Garrido, J. “Properties of Distortion Risk Measures”, Methodology and Computing in Applied Probability, vol 11 (3), 2009, 385

Mayoral, S., Calderón, R. & Álvarez-Arce, J.L.: “Corporation as Crucial Ally Against Corruption”, Journal of Business Ethics, vol. 87, 2009, 319-332.

Mayoral, S., Balbás, A. & Balbás, R.: “Optimizing measures of risk: A simplex-like algorithm”, European Journal of Operational Research, vol. 192 (2), 2009, 603-620

Mayoral, S. & Gzyl, H.: “Determination of risk pricing measures from market prices of risk”, Insurance: Mathematics and Economics, vol. 43 (3) , 2008, 437-443.

Mayoral, S. & Escanciano, J.C.: “A Simple Estimator for Conditional Expected Shortfall Risk Measures”, International Journal of Monetary Economics and Finance, vol 1 (2), 2008, 106-120.

Mayoral, S. & Gzyl, H.: “On a relationship between distorted and spectral risk measures”, Revista de Economía Financiera, vol. 43 (3), 2008, 437-443

Mayoral, S., Bahsoun, W., Góra, P. & Morales, M.: “Random Dynamics and Finance: Constructing Binomial models from data” Applied Stochastics models in Business and Industry, vol. 23 (3), 2007, 181-212

Mayoral, S., Balbás, A. & Balbás, R.: “Risk-neutral valuation with infinitely many trading dates”, Mathematical and Computer Modelling vol. 45, 2007, 1308–1318.

Mayoral, S. & Balbás, A.: “Non-convex Optimization for Pricing and Hedging in Imperfect Markets” Computers & Mathematics with Applications, vol. 52, 2006, 121-136

Mayoral, S. & Balbás, A.: “Vector Optimization Approach for Pricing and Hedging in Imperfect Markets”, Information Systems and Operational Research Journal, vol. 42 (3), 2004, 217-233.