UC3M Indem - Professor SILVIA MAYORAL

email:
silvia.mayoral@uc3m.es

address / office:
C/ Madrid, 126 - 28903 Getafe (Madrid) Spain / 6.0.44

phone / fax:
(34) 91 624 89 64 / (34) 91 624 96 07

BUSINESS UC3M

@UC3M_BUSINESS

SILVIA MAYORAL

Associate Professor of Finance

Selected publications

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

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

+ BIO

Silvia Mayoral is an Associate Professor of Finance in the Business Department at Carlos III University, and currently Vice-dean of Business Administration. She holds a Ph. D. in Economics from the Carlos III University and a Bachelor degree in Mathematics from the Autónoma University (Madrid - Spain). She teaches financial management, asset pricing and risk management to undergraduates and graduates.

Her research interests center on asset pricing, risk management and artibrage. Silvia’s work has been published in refereed journals such as European Journal of Operational Research, Insurance: Mathematics and Economics o Journal of Business Ethics, and also in Spanish journals, such as the Revista de Economía Financiera. In addition to her teaching and research, Silvia has served as ad hoc reviewer of Revista de Economía Financiera, IMA Journal of Management Mathematics and Statistics and Probability Letters.

+ Publications

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" in 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.