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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\tDirecci\u00f3n \/ oficina: 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\tTel\u00e9fono \/ 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 Pe\u00f1a, J.I , Mayoral, S. and Rodr\u00edguez, R.\u00a0\u00abCannibalization, depredation, and market \n Pe\u00f1a, J.I , Mayoral, S. and Rodr\u00edguez, R.\u00a0\u00abTail Risk of Electricity Futures\u00bb ,\u00a0Energy Economics,\u00a0<\/em><\/strong><\/b>vol. 91, Mayoral, S. & Longarela, I.R.: \u00abQuote Inefficiency in Options Markets<\/a>\u00ab,\u00a0Journal of Banking and Finance<\/i><\/b>, vol. 55, 2015, 23-36.<\/p>\n Mayoral, S., Godin, F. & Morales, M.: \u00abContingent Claim Pricing Using a Normal Inverse Gaussian Probability Distortion Operator<\/a>\u00ab,\u00a0Journal of Risk and Insurance<\/i><\/b>, vol.\u00a079 (3), 2012, 841-866<\/p>\n Mayoral, S., Balb\u00e1s, A. & Balb\u00e1s, R.: \u00abOptimizing measures of risk: A simplex-like algorithm<\/a>\u00ab,\u00a0European Journal of Operational Research,\u00a0<\/i><\/b>vol. 192 (2), 2009, 603-620<\/p>\n \t\t\t\t\t\t\t\t\tBio<\/p>\n Silvia Mayoral es Profesora Titular en el Departamento de Econom\u00eda de la Empresa de la Universidad Carlos III, y actualmente Vicedecana en Administraci\u00f3n y Direcci\u00f3n de Empresas. Posee el grado de Doctora en Econom\u00eda por la Universidad Carlos III de Madrid y es Licenciada en Matem\u00e1ticas por la Universidad Aut\u00f3noma de Madrid. Imparte clases de Gesti\u00f3n Financiera en varias licenciaturas y de Valoraci\u00f3n de activos en diferentes master.<\/p>\n Sus \u00e1reas de investigaci\u00f3n se centran en Gesti\u00f3n del riesgo, valoraci\u00f3n de activos financieros y arbitraje. Ha publicado en revistas internacionales como European Journal of Operational Research., Insurance: Mathematics and Economics o Journal of Business Ethics , as\u00ed como en revistas Nacionales como Revista de Econom\u00eda Financiera. Adem\u00e1s de su docencia e investigaci\u00f3n es revisora an\u00f3nima en revistas tanto nacionales como internacionales: Revista de Econom\u00eda Financiera, IMA Journal of Management Mathematics o Statistics and Probability Letters.<\/p>\n \t\t\t\t\t\t\t\t\tPublicaciones<\/p>\n Pe\u00f1a, J.I , Mayoral, S. and Rodr\u00edguez, R.\u00a0\u00abCannibalization, depredation, and market Mayoral, S. &\u00a0Moreno\u00a0D.\u00a0\u00a0and\u00a0 Zareei\u00a0A.\u00a0Using a Hedging Network to Minimize Portfolio Risk\u201d. With\u00a0 2022.\u00a0Finance Research Letters,<\/b>\u00a044, 102044.\u00a0<\/p>\n Mayoral, S. & Gzyl, H.\u00a0Numerical approach to the risk capital allocation problem. With Henry Gzyl.\u00a0Journal of Risk<\/b>, 23, 1-24 (2021).<\/p>\n Pe\u00f1a, J.I , Mayoral, S. and Rodr\u00edguez, R.\u00a0\u00abTail Risk of Electricity Futures\u00bb ,\u00a0Energy Economics<\/b>,\u00a0vol. 91, Mayoral, S., Gzyl, H. & Gomes-Gon\u00e7alves, E.: \u00abSample dependence of risk premia\u00bb,\u00a0The Journal of Operational Risk<\/i><\/b>\u00a0vol. 14 (2), 2019, 21-37.<\/p>\n Mayoral, S., Gzyl, H. & Gomes-Gon\u00e7alves, E.: \u00abGA review of maximum entropy methods for loss data aggregation and disaggregation problems\u00bb,\u00a0Entropy<\/i><\/b>\u00a0vol. 21, 2019, 762.<\/p>\n Mayoral, S., Gzyl, H. & Gomes-Gon\u00e7alves, E.: \u00abCalibration of short rate term structure models from bid-ask coupon bond prices\u00bb,\u00a0Physica A: Statistical Mechanics and its Applications<\/i><\/b>\u00a0vol. 492, 2018, 1456-1472.<\/p>\n Mayoral, S.: \u00abLoss data analysis with maximum entropy\u00bb en\u00a0Mathematical and Statistical Methods for Actuarial Sciences and Finance,<\/i><\/b>\u00a02018, Springer.<\/p>\n Mayoral, S. & Gzyl, H.: \u00abMaxentropic Solutions to a Convex Interpolation Problem Motivated by Utility Theory\u00bb,\u00a0Entropy<\/i><\/b>\u00a0vol. 19 (4), 2017, 153-171.<\/p>\n Mayoral, S., Gzyl, H. & Gomes-Gon\u00e7alves, E.: \u00abMaximum entropy approach to the loss data aggregation problem\u00bb,\u00a0Journal of Operational Risk<\/i><\/b>\u00a0vol. 11 (1), 2016, 49-70.<\/p>\n Mayoral, S. & Gzyl, H.: \u00abDetermination of zero-coupon and spot rates from treasury data by maximum entropy methods\u00bb,\u00a0Physica A: Statistical Mechanics and its Applications<\/i><\/b>\u00a0vol. 456 (C), 2016, 38-50.<\/p>\n Mayoral, S., Gzyl, H. & Gomes-Gon\u00e7alves, E.: \u00abLoss data analysis: Analysis of the sample dependence in density reconstruction by maxentropic methods\u00bb,\u00a0Insurance, Mathematics and Economics<\/i><\/b>\u00a0vol. 71, 2016, 145-153.<\/p>\n Mayoral, S., Gzyl, H. & Gomes-Gon\u00e7alves, E.: \u00abMaximum entropy approach to the loss data aggregation problem\u00bb,\u00a0Journal of Operational Risk\u00a0<\/i><\/b>vol. 11 (1), 2016, 49-70.<\/p>\n Mayoral, S. & Longarela, I.R.: \u00abQuote Inefficiency in Options Markets\u00bb,\u00a0Journal of Banking and Finance<\/i><\/b>, vol. 55, 2015, 23-36.<\/p>\n Mayoral, S., Gzyl, H. & Gomes-Gon\u00e7alves, E.: \u00abTwo maxentropic approaches to determine the probability density of compound risk losses\u00bb,\u00a0Insurance, Mathematics and Economics,<\/i><\/b>\u00a0vol. 62,\u00a02015, 42-53.<\/p>\n Mayoral, S., Gzyl, H. & Gomes-Gon\u00e7alves, E.:\u00a0\u00abMaxentropic approach to decompound\u00a0 aggregate risk losses\u00bb,\u00a0Insurance, Mathematics and Economics,<\/i><\/b>\u00a0vol. 64,\u00a02015,\u00a0326-336.<\/p>\n Mayoral, S., Gzyl, H. & Gomes-Gon\u00e7alves, E.:\u00a0\u00abDensity reconstructions with Errors in the Data\u00bb,\u00a0Entropy<\/i><\/b>, vol. 16, 2014, 3257-3272.<\/p>\n Mayoral, S. & Gzyl, H.: \u00abDetermination of the probability distribution measures form market option prices using the method of maximum entropy in the mean\u00bb,\u00a0Applied Mathematical Finance,\u00a0<\/i><\/b>vol. 19 (4), 2012, 299-312\u00a0<\/p>\n Mayoral, S., Godin, F. & Morales, M.: \u00abContingent Claim Pricing Using a Normal Inverse Gaussian Probability Distortion Operator\u00bb,\u00a0Journal of Risk and Insurance<\/i><\/b>, vol.\u00a079 (3), 2012, 841-866<\/p>\n Mayoral, S. & Gzyl, H.: \u00abA general method for determining risk aversion functions from market prices of risk\u00bb,\u00a0Insurance: Mathematics and Economics,\u00a0<\/i><\/b>vol 47, 2010, 84-89.<\/p>\n Mayoral, S. & Escanciano, J.C.: \u00abAsymptotic Distribution-free Tests for the Martingale Difference Hypothesis\u00bb,\u00a0Computational Statistics and Data Analysis,\u00a0<\/i><\/b>vol 54 (8), 2010, 1983-1998.<\/p>\n Mayoral, S., Balb\u00e1s, A. & Garrido, J. \u00abProperties of Distortion Risk Measures\u00bb,\u00a0Methodology and Computing in Applied Probability,<\/i><\/b>\u00a0vol 11 (3), 2009, 385<\/p>\n Mayoral, S., Calder\u00f3n, R. & \u00c1lvarez-Arce, J.L.: \u00abCorporation as Crucial Ally Against Corruption\u00bb,\u00a0Journal of Business Ethics,\u00a0<\/i><\/b>vol. 87, 2009, 319-332.\u00a0<\/p>\n Mayoral, S., Balb\u00e1s, A. & Balb\u00e1s, R.: \u00abOptimizing measures of risk: A simplex-like algorithm\u00bb,\u00a0European Journal of Operational Research,\u00a0<\/i><\/b>vol. 192 (2), 2009, 603-620<\/p>\n Mayoral, S. & Gzyl, H.: \u00abDetermination of risk pricing measures from market prices of risk\u00bb,\u00a0Insurance: Mathematics and Economics,\u00a0<\/i><\/b>vol.\u00a043 (3) , 2008, 437-443.<\/p>\n Mayoral, S. & Escanciano, J.C.:\u00a0\u00abA Simple Estimator for Conditional Expected Shortfall Risk Measures\u00bb,\u00a0International Journal of Monetary Economics and Finance,<\/i><\/b>\u00a0vol 1 (2), 2008, 106-120.<\/p>\n Mayoral, S. & Gzyl, H.: \u00abOn a relationship between distorted and spectral risk measures\u00bb,\u00a0Revista de Econom\u00eda Financiera,\u00a0<\/i><\/b>vol. 43 (3), 2008, 437-443<\/p>\n Mayoral, S., Bahsoun, W., G\u00f3ra, P. & Morales, M.: \u00abRandom Dynamics and Finance: Constructing Binomial models from data\u00bb\u00a0Applied Stochastics models in Business and Industry<\/i><\/b>, vol. 23 (3), 2007, 181-212<\/p>\n Mayoral, S., Balb\u00e1s, A. & Balb\u00e1s, R.: \u00abRisk-neutral valuation with infinitely many trading dates\u00bb,\u00a0Mathematical and Computer Modelling<\/i><\/b>\u00a0vol. 45, 2007, 1308\u20131318.<\/p>\n Mayoral, S. & Balb\u00e1s, A.:\u00a0\u00abNon-convex Optimization for Pricing and Hedging in Imperfect Markets\u00bb\u00a0Computers & Mathematics with Applications,<\/i><\/b>\u00a0vol. 52, 2006, 121-136<\/p>\n Mayoral, S. & Balb\u00e1s, A.: \u00abVector Optimization Approach for Pricing and Hedging in Imperfect Markets\u00bb,\u00a0Information 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\tDirecci\u00f3n \/ oficina: 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\tTel\u00e9fono \/ fax: (34) 91 624 89 64\n\t\t\t\t\t\t\t\t\t<\/li>\n<\/ul>\n \t\t\t\t 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\n\t\t\t\t\t<\/h3>\nPublicaciones seleccionadas<\/h2>\n
remuneration of power plants\u00bb,\u00a0Energy Policy,\u00a0<\/em><\/strong><\/b>vol. 167, 2022.<\/p>\n
2020.<\/p>\n
remuneration of power plants\u00bb,\u00a0Energy Policy,<\/b>\u00a0vol. 167, 2022.<\/p>\n
2020.<\/p>\n\n
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