Silvia Mayoral

Silvia Mayoral is a Senior Lecturer in the Department of Business Economics at the Universidad Carlos III, and currently Vice-Dean in Business Administration and Management. She holds a Doctorate in Economics from the Universidad Carlos III de Madrid and a degree in Mathematics from the Universidad Autónoma de Madrid. She teaches Financial Management in several degrees and Asset Valuation in different masters.

Her research areas focus on Risk Management, valuation of financial assets and arbitration. She has published in international journals such as European Journal of Operational Research., Insurance: Mathematics and Economics or Journal of Business Ethics, as well as in national journals such as Revista de Economía Financiera. In addition to her teaching and research, she is an anonymous reviewer in both national and international journals: Revista de Economía Financiera, IMA Journal of Management Mathematics or Statistics and Probability Letters.

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.