SILVIA MAYORAL
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silvia.mayoral@uc3m.es
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C/ Madrid, 126 - 28903 Getafe (Madrid) Spain / 6.0.44
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BUSINESS UC3M
@UC3M_BUSINESS

SILVIA MAYORAL

Profesor de Economía Financiera

Publicaciones seleccionadas

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

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

Silvia Mayoral es Profesora Titular en el Departamento de Economía de la Empresa de la Universidad Carlos III, y actualmente Vicedecana en Administración y Dirección de Empresas. Posee el grado de Doctora en Economía por la Universidad Carlos III de Madrid y es Licenciada en Matemáticas por la Universidad Autónoma de Madrid. Imparte clases de Gestión Financiera en varias licenciaturas y de Valoración de activos en diferentes master.

Sus áreas de investigación se centran en Gestión del riesgo, valoración 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 , así como en revistas Nacionales como Revista de Economía Financiera. Además de su docencia e investigación es revisora anónima en revistas tanto nacionales como internacionales: Revista de Economía Financiera, IMA Journal of Management Mathematics o Statistics and Probability Letters.

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.