SILVIA MAYORAL
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email:
silvia.mayoral@uc3m.es
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address / office:
C/ Madrid, 126 - 28903 Getafe (Madrid) Spain / 6.0.44
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phone / fax:
(34) 91 624 89 64 / (34) 91 624 96 07
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BUSINESS UC3M
@UC3M_BUSINESS

SILVIA MAYORAL

Associate Professor of Finance

Selected publications

Quotes inefficiency in options markets. With Iñaki R. Longarela. 2015. Journal of Banking and Finance, 55, 23-36.
Two maxentropic approaches to determine the probability density of compound risk losses. With Henryk Gzyl y Erika Gomes-Gonçalves. 2015. Insurance, Mathematics and Economics, 62, 42-53.
Maxentropic approach to decompound  aggregate risk losses. With Henryk Gzyl y Erika Gomes-Gonçalves. 2015. Insurance, Mathematics and Economics, 64, 326-336.
Density reconstructions with Errors in the Data. With Henryk Gzyl y Erika Gomes-Gonçalves. 2014. Entropy, 16, 3257-3272.
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.

Quotes inefficiency in options markets. With Iñaki R. Longarela. 2015. Journal of Banking and Finance, 55, 23-36.
Two maxentropic approaches to determine the probability density of compound risk losses. With Henryk Gzyl y Erika Gomes-Gonçalves. 2015. Insurance, Mathematics and Economics, 62, 42-53.
Maxentropic approach to decompound  aggregate risk losses. With Henryk Gzyl y Erika Gomes-Gonçalves. 2015. Insurance, Mathematics and Economics, 64, 326-336.
Density reconstructions with Errors in the Data. With Henryk Gzyl y Erika Gomes-Gonçalves. 2014. Entropy, 16, 3257-3272.
Determination of the probability distribution measures form market option prices using the method of maximum entropy in the mean. With Henryk Gzyl. Applied Mathematical Finance. 2012. Vol 19 (4), 299-312.
Contingent Claim Pricing Using a Normal Inverse Gaussian Probability Distortion Operator. With Manuel Morales, Silvia Mayoral and Frederic Godin. Journal of Risk and Insurance. 2012. 79 (3), 841-866.
A general method for determining risk aversion functions from market prices of risk. Con Henryk Gzyl. Insurance: Mathematics and Economics. 2010. Vol 47. Page 84-89.
Asymptotic Distribution-free Tests for the Martingale Difference Hypothesis. Con Juan Carlos Escanciano. Computational Statistics and Data Analysis. 2010. Vol 54 (8), Pages 1983-1998.
Properties of Distortion Risk Measures. With Alejandro Balbás and José Garrido. 2009. Methodology and Computing in Applied Probability. Vol 11(3), Page 385
Corporation as Crucial Ally Against Corruption. With Reyes Calderon and José Luis Álvarez Arce. 2009. Journal of Business Ethics. Vol 87
Optimizing measures of risk: A simplex-like algorithm. With Alejandro Balbás and Raquel Balbás. 2009. European Journal of Operational Research. Vol 192 (2), 603-620
Determination of risk pricing measures from market prices of risk. With Henryk Gzyl. Insurance: Mathematics and Economics. 2008, 43 ( 3) , 437-443.
A Simple Estimator for Conditional Expected Shortfall Risk Measures. With Juan Carlos Escanciano. 2008, International Journal of Monetary Economics and Finance. Vol 1(2). 106 –120.
On a relationship between distorted and spectral risk measures. With Henryk Gzyl. Revista de Economía Financiera. 2008. Vol 43 (3). 437-443
Random Dynamics and Finance: Constructing Binomial models from data. With Wael Bahsoun, Pawe Góra, and Manuel Morales, Applied Stochastics models in Business and Industry, 2007, 23-3, 181-212
Risk-neutral valuation with infinitely many trading dates. With Alejandro Balbás and Raquel Balbás. Mathematical and Computer Modelling, 2007, vol 45, 1308–1318.
Non-convex Optimization for Pricing and Hedging in Imperfect Markets. With Alejandro Balbás. Computers & Mathematics with Applications. 2006, Vol 52, 121-136
Vector Optimization Approach for Pricing and Hedging in Imperfect Markets. With Alejandro Balbás. Information Systems and Operational Research Journal, 2004, vol 42, no. 3, 217-233.