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\t\t\t\t\t\t\t\t\t\tEmail: silvia.mayoral@uc3m.es
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\t\t\t\t\t\t\t\t\t\tAddress \/ Office: C\/ Madrid, 126 – 28903 Getafe (Madrid) Spain \/ 6.0.44\n\t\t\t\t\t\t\t\t\t<\/li>\n
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\t\t\t\t \n\t\t\t\t\t\t@UC3M_BUSINESS\t\t\t\t\t<\/p>\n Pe\u00f1a, J.I , Mayoral, S. and Rodr\u00edguez, R. \u201cCannibalization, depredation, and market \n Pe\u00f1a, J.I , Mayoral, S. and Rodr\u00edguez, R. \u201cTail Risk of Electricity Futures\u201d , Energy Economics, <\/em><\/strong><\/b>vol. 91, Mayoral, S. & Longarela, I.R.: \u201cQuote Inefficiency in Options Markets<\/a>\u201d, Journal of Banking and Finance<\/i><\/b>, vol. 55, 2015, 23-36.<\/p>\n Mayoral, S., Godin, F. & Morales, M.: \u201cContingent Claim Pricing Using a Normal Inverse Gaussian Probability Distortion Operator<\/a>\u201d, Journal of Risk and Insurance<\/i><\/b>, vol. 79 (3), 2012, 841-866<\/p>\n Mayoral, S., Balb\u00e1s, A. & Balb\u00e1s, R.: \u201cOptimizing measures of risk: A simplex-like algorithm<\/a>\u201d, European Journal of Operational Research, <\/i><\/b>vol. 192 (2), 2009, 603-620<\/p>\n \t\t\t\t\t\t\t\t\tBiograf\u00eda<\/p>\n 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 Aut\u00f3noma de Madrid. She teaches Financial Management in several degrees and Asset Valuation in different masters. <\/p>\n 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 Econom\u00eda Financiera. In addition to her teaching and research, she is an anonymous reviewer in both national and international journals: Revista de Econom\u00eda Financiera, IMA Journal of Management Mathematics or Statistics and Probability Letters.<\/p>\n \t\t\t\t\t\t\t\t\tPublications<\/p>\n Pe\u00f1a, J.I , Mayoral, S. and Rodr\u00edguez, R. \u201cCannibalization, depredation, and market Mayoral, S. & Moreno D. and Zareei A. Using a Hedging Network to Minimize Portfolio Risk\u201d. With 2022. Finance Research Letters,<\/b> 44, 102044. <\/p>\n Mayoral, S. & Gzyl, H. Numerical approach to the risk capital allocation problem. With Henry Gzyl. Journal of Risk<\/b>, 23, 1-24 (2021). <\/p>\n Pe\u00f1a, J.I , Mayoral, S. and Rodr\u00edguez, R. \u201cTail Risk of Electricity Futures\u201d , Energy Economics<\/b>, vol. 91, Mayoral, S., Gzyl, H. & Gomes-Gon\u00e7alves, E.: \u201cSample dependence of risk premia\u201d, The Journal of Operational Risk<\/i><\/b> vol. 14 (2), 2019, 21-37.<\/p>\n Mayoral, S., Gzyl, H. & Gomes-Gon\u00e7alves, E.: \u201cGA review of maximum entropy methods for loss data aggregation and disaggregation problems\u201d, Entropy<\/i><\/b> vol. 21, 2019, 762.<\/p>\n Mayoral, S., Gzyl, H. & Gomes-Gon\u00e7alves, E.: \u201cCalibration of short rate term structure models from bid-ask coupon bond prices\u201d, Physica A: Statistical Mechanics and its Applications<\/i><\/b> vol. 492, 2018, 1456-1472.<\/p>\n Mayoral, S.: \u201cLoss data analysis with maximum entropy\u201d en Mathematical and Statistical Methods for Actuarial Sciences and Finance,<\/i><\/b> 2018, Springer.<\/p>\n Mayoral, S. & Gzyl, H.: \u201cMaxentropic Solutions to a Convex Interpolation Problem Motivated by Utility Theory\u201d, Entropy<\/i><\/b> vol. 19 (4), 2017, 153-171.<\/p>\n Mayoral, S., Gzyl, H. & Gomes-Gon\u00e7alves, E.: \u201cMaximum entropy approach to the loss data aggregation problem\u201d, Journal of Operational Risk<\/i><\/b> vol. 11 (1), 2016, 49-70.<\/p>\n Mayoral, S. & Gzyl, H.: \u201cDetermination of zero-coupon and spot rates from treasury data by maximum entropy methods\u201d, Physica A: Statistical Mechanics and its Applications<\/i><\/b> vol. 456 (C), 2016, 38-50.<\/p>\n Mayoral, S., Gzyl, H. & Gomes-Gon\u00e7alves, E.: \u201cLoss data analysis: Analysis of the sample dependence in density reconstruction by maxentropic methods\u201d, Insurance, Mathematics and Economics<\/i><\/b> vol. 71, 2016, 145-153.<\/p>\n Mayoral, S., Gzyl, H. & Gomes-Gon\u00e7alves, E.: \u201cMaximum entropy approach to the loss data aggregation problem\u201d, Journal of Operational Risk <\/i><\/b>vol. 11 (1), 2016, 49-70.<\/p>\n Mayoral, S. & Longarela, I.R.: \u201cQuote Inefficiency in Options Markets\u201d, Journal of Banking and Finance<\/i><\/b>, vol. 55, 2015, 23-36.<\/p>\n Mayoral, S., Gzyl, H. & Gomes-Gon\u00e7alves, E.: \u201cTwo maxentropic approaches to determine the probability density of compound risk losses\u201d, Insurance, Mathematics and Economics,<\/i><\/b> vol. 62, 2015, 42-53.<\/p>\n Mayoral, S., Gzyl, H. & Gomes-Gon\u00e7alves, E.: \u201cMaxentropic approach to decompound aggregate risk losses\u201d, Insurance, Mathematics and Economics,<\/i><\/b> vol. 64, 2015, 326-336.<\/p>\n Mayoral, S., Gzyl, H. & Gomes-Gon\u00e7alves, E.: \u201cDensity reconstructions with Errors in the Data\u201d, Entropy<\/i><\/b>, vol. 16, 2014, 3257-3272.<\/p>\n Mayoral, S. & Gzyl, H.: \u201cDetermination of the probability distribution measures form market option prices using the method of maximum entropy in the mean\u201d, Applied Mathematical Finance, <\/i><\/b>vol. 19 (4), 2012, 299-312 <\/p>\n Mayoral, S., Godin, F. & Morales, M.: \u201cContingent Claim Pricing Using a Normal Inverse Gaussian Probability Distortion Operator\u201d, Journal of Risk and Insurance<\/i><\/b>, vol. 79 (3), 2012, 841-866<\/p>\n Mayoral, S. & Gzyl, H.: \u201cA general method for determining risk aversion functions from market prices of risk\u201d, Insurance: Mathematics and Economics, <\/i><\/b>vol 47, 2010, 84-89.<\/p>\n Mayoral, S. & Escanciano, J.C.: \u201cAsymptotic Distribution-free Tests for the Martingale Difference Hypothesis\u201d, Computational Statistics and Data Analysis, <\/i><\/b>vol 54 (8), 2010, 1983-1998.<\/p>\n Mayoral, S., Balb\u00e1s, A. & Garrido, J. \u201cProperties of Distortion Risk Measures\u201d, Methodology and Computing in Applied Probability,<\/i><\/b> vol 11 (3), 2009, 385<\/p>\n Mayoral, S., Calder\u00f3n, R. & \u00c1lvarez-Arce, J.L.: \u201cCorporation as Crucial Ally Against Corruption\u201d, Journal of Business Ethics, <\/i><\/b>vol. 87, 2009, 319-332. <\/p>\n Mayoral, S., Balb\u00e1s, A. & Balb\u00e1s, R.: \u201cOptimizing measures of risk: A simplex-like algorithm\u201d, European Journal of Operational Research, <\/i><\/b>vol. 192 (2), 2009, 603-620<\/p>\n Mayoral, S. & Gzyl, H.: \u201cDetermination of risk pricing measures from market prices of risk\u201d, Insurance: Mathematics and Economics, <\/i><\/b>vol. 43 (3) , 2008, 437-443.<\/p>\n Mayoral, S. & Escanciano, J.C.: \u201cA Simple Estimator for Conditional Expected Shortfall Risk Measures\u201d, International Journal of Monetary Economics and Finance,<\/i><\/b> vol 1 (2), 2008, 106-120.<\/p>\n Mayoral, S. & Gzyl, H.: \u201cOn a relationship between distorted and spectral risk measures\u201d, Revista de Econom\u00eda Financiera, <\/i><\/b>vol. 43 (3), 2008, 437-443<\/p>\n Mayoral, S., Bahsoun, W., G\u00f3ra, P. & Morales, M.: \u201cRandom Dynamics and Finance: Constructing Binomial models from data\u201d Applied Stochastics models in Business and Industry<\/i><\/b>, vol. 23 (3), 2007, 181-212<\/p>\n Mayoral, S., Balb\u00e1s, A. & Balb\u00e1s, R.: \u201cRisk-neutral valuation with infinitely many trading dates\u201d, Mathematical and Computer Modelling<\/i><\/b> vol. 45, 2007, 1308\u20131318.<\/p>\n Mayoral, S. & Balb\u00e1s, A.: \u201cNon-convex Optimization for Pricing and Hedging in Imperfect Markets\u201d Computers & Mathematics with Applications,<\/i><\/b> vol. 52, 2006, 121-136<\/p>\n Mayoral, S. & Balb\u00e1s, A.: \u201cVector Optimization Approach for Pricing and Hedging in Imperfect Markets\u201d, Information Systems and Operational Research Journal<\/i><\/b>, vol. 42 (3), 2004, 217-233.<\/p>\n \t\t\t\t\t\t\t\t\t\tEmail: silvia.mayoral@uc3m.es \t\t\t\t\t\t\t\t\t\tAddress \/ Office: C\/ Madrid, 126 – 28903 Getafe (Madrid) Spain \/ 6.0.44\n\t\t\t\t\t\t\t\t\t<\/li>\n \t\t\t\t\t\t\t\t\t\tPhone \/ fax: (34) 91 624 89 64\n\t\t\t\t\t\t\t\t\t<\/li>\n<\/ul>\n \t\t\t\t \n\t\t\t\t\t\t@UC3M_BUSINESS\t\t\t\t\t<\/p>\n","protected":false},"author":4,"template":"","meta":{"site-sidebar-layout":"no-sidebar","site-content-layout":"page-builder","ast-site-content-layout":"full-width-container","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"disabled","footer-sml-layout":"","ast-disable-related-posts":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"set","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center 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\n\t\t\t\t\t\t\tBUSINESS UC3M\t\t\t\t\t\t<\/a>
\n\t\t\t\t\t<\/h3>\nSelected Publications<\/h2>\n
remuneration of power plants\u201d, Energy Policy, <\/em><\/strong><\/b>vol. 167, 2022.<\/p>\n
2020.<\/p>\n
remuneration of power plants\u201d, Energy Policy,<\/b> vol. 167, 2022.<\/p>\n
2020.<\/p>\n\n
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