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Employment (5)

Universidad Carlos III de Madrid: Madrid, Madrid, ES

2012 to present | Associate Professor of Finance
Employment
Source: Self-asserted source
SILVIA MAYORAL

Universidad Carlos III de Madrid: Madrid, Madrid, ES

2008 to 2012 | Assistant Professor
Employment
Source: Self-asserted source
SILVIA MAYORAL

Universidad de Navarra: Pamplona, Navarra, ES

2006 to 2008 | Assistant Professor
Employment
Source: Self-asserted source
SILVIA MAYORAL

Banco de España: Madrid, Madrid, ES

2005 to 2006 | Post-doctoral researcher
Employment
Source: Self-asserted source
SILVIA MAYORAL

Universidad Carlos III de Madrid: Madrid, Madrid, ES

1999 to 2005 | Teaching Assistant
Employment
Source: Self-asserted source
SILVIA MAYORAL

Education and qualifications (2)

Universidad Carlos III de Madrid: Madrid, Madrid, ES

2005 | PhD in Economics
Education
Source: Self-asserted source
SILVIA MAYORAL

Universidad Autónoma de Madrid: Madrid, Madrid, ES

1999 | BSc in Mathematics
Education
Source: Self-asserted source
SILVIA MAYORAL

Works (42)

Tracking a Well Diversified Portfolio with Maximum Entropy in the Mean

Mathematics
2022-02 | Journal article | Author
Contributors: Argimiro Arratia; Henryk Gzyl; SILVIA MAYORAL
Source: check_circle
Multidisciplinary Digital Publishing Institute

Maximum entropy methods for loss data analysis: Aggregation and disaggregation problems

Entropy
2019 | Journal article
EID:

2-s2.0-85070463732

Contributors: Gomes-Gonçalves, E.; Gzyl, H.; Mayoral, S.
Source: Self-asserted source
SILVIA MAYORAL via Scopus - Elsevier

Sample dependence of risk premiums

Journal of Operational Risk
2019 | Journal article
EID:

2-s2.0-85073680895

Contributors: Gomes-Gonçalves, E.; Gzyl, H.; Mayoral, S.
Source: Self-asserted source
SILVIA MAYORAL via Scopus - Elsevier

Calibration of short rate term structure models from bid–ask coupon bond prices

Physica A: Statistical Mechanics and its Applications
2018 | Journal article
EID:

2-s2.0-85037042937

Contributors: Gomes-Gonçalves, E.; Gzyl, H.; Mayoral, S.
Source: Self-asserted source
SILVIA MAYORAL via Scopus - Elsevier

Computations using the maxentropic density

Loss Data Analysis: the Maximum Entropy Approach
2018 | Journal article
Contributors: Gomes-Goncalves, Erika; Mayoral, Silvia; Gzyl, Henryk
Source: check_circle
Web of Science Researcher Profile Sync

Disentangling frequencies and decompounding losses

Loss Data Analysis: the Maximum Entropy Approach
2018 | Journal article
Contributors: Gomes-Goncalves, Erika; Mayoral, Silvia; Gzyl, Henryk
Source: check_circle
Web of Science Researcher Profile Sync

Extensions of the method of maximum entropy

Loss Data Analysis: the Maximum Entropy Approach
2018 | Journal article
Contributors: Gomes-Goncalves, Erika; Mayoral, Silvia; Gzyl, Henryk
Source: check_circle
Web of Science Researcher Profile Sync

Frequency models

Loss Data Analysis: the Maximum Entropy Approach
2018 | Journal article
Contributors: Gomes-Goncalves, Erika; Mayoral, Silvia; Gzyl, Henryk
Source: check_circle
Web of Science Researcher Profile Sync

Individual severity models

Loss Data Analysis: the Maximum Entropy Approach
2018 | Journal article
Contributors: Gomes-Goncalves, Erika; Mayoral, Silvia; Gzyl, Henryk
Source: check_circle
Web of Science Researcher Profile Sync

Laplace transforms and fractional moment problems

Loss Data Analysis: the Maximum Entropy Approach
2018 | Journal article
Contributors: Gomes-Goncalves, Erika; Mayoral, Silvia; Gzyl, Henryk
Source: check_circle
Web of Science Researcher Profile Sync

Loss Data Analysis Introduction

Loss Data Analysis: the Maximum Entropy Approach
2018 | Journal article
Contributors: Gomes-Goncalves, Erika; Mayoral, Silvia; Gzyl, Henryk
Source: check_circle
Web of Science Researcher Profile Sync

Loss Data Analysis Preface

Loss Data Analysis: the Maximum Entropy Approach
2018 | Journal article
Contributors: Gomes-Goncalves, Erika; Mayoral, Silvia; Gzyl, Henryk
Source: check_circle
Web of Science Researcher Profile Sync

Loss Data Analysis: The Maximum Entropy Approach

Loss Data Analysis: the Maximum Entropy Approach
2018 | Journal article
Contributors: Gzyl, H; Mayoral, S; GomesGoncalves, E
Source: check_circle
Web of Science Researcher Profile Sync

Review of statistical procedures

Loss Data Analysis: the Maximum Entropy Approach
2018 | Journal article
Contributors: Gomes-Goncalves, Erika; Mayoral, Silvia; Gzyl, Henryk
Source: check_circle
Web of Science Researcher Profile Sync

Sample data dependence

Loss Data Analysis: the Maximum Entropy Approach
2018 | Journal article
Contributors: Gomes-Goncalves, Erika; Mayoral, Silvia; Gzyl, Henryk
Source: check_circle
Web of Science Researcher Profile Sync

Some detailed examples

Loss Data Analysis: the Maximum Entropy Approach
2018 | Journal article
Contributors: Gomes-Goncalves, Erika; Mayoral, Silvia; Gzyl, Henryk
Source: check_circle
Web of Science Researcher Profile Sync

Some traditional approaches to the aggregation problem

Loss Data Analysis: the Maximum Entropy Approach
2018 | Journal article
Contributors: Gomes-Goncalves, Erika; Mayoral, Silvia; Gzyl, Henryk
Source: check_circle
Web of Science Researcher Profile Sync

Superresolution in maxentropic Laplace transform inversion

Loss Data Analysis: the Maximum Entropy Approach
2018 | Journal article
Contributors: Gomes-Goncalves, Erika; Mayoral, Silvia; Gzyl, Henryk
Source: check_circle
Web of Science Researcher Profile Sync

The standard maximum entropy method

Loss Data Analysis: the Maximum Entropy Approach
2018 | Journal article
Contributors: Gomes-Goncalves, Erika; Mayoral, Silvia; Gzyl, Henryk
Source: check_circle
Web of Science Researcher Profile Sync

Maxentropic solutions to a convex interpolation problem motivated by utility theory

Entropy
2017 | Journal article
EID:

2-s2.0-85016733558

Contributors: Gzyl, H.; Mayoral, S.
Source: Self-asserted source
SILVIA MAYORAL via Scopus - Elsevier

A maximum entropy approach to the loss data aggregation problem

Journal of Operational Risk
2016 | Journal article
EID:

2-s2.0-84973904222

Contributors: Gomes-Gonçalves, E.; Gzyl, H.; Mayoral, S.
Source: Self-asserted source
SILVIA MAYORAL via Scopus - Elsevier

Determination of zero-coupon and spot rates from treasury data by maximum entropy methods

Physica A: Statistical Mechanics and its Applications
2016 | Journal article
EID:

2-s2.0-84962688595

Contributors: Gzyl, H.; Mayoral, S.
Source: Self-asserted source
SILVIA MAYORAL via Scopus - Elsevier

Loss data analysis: Analysis of the sample dependence in density reconstruction by maxentropic methods

Insurance: Mathematics and Economics
2016 | Journal article
EID:

2-s2.0-84991235750

Contributors: Gomes-Gonçalves, E.; Gzyl, H.; Mayoral, S.
Source: Self-asserted source
SILVIA MAYORAL via Scopus - Elsevier

Maxentropic approach to decompound aggregate risk losses

Insurance: Mathematics and Economics
2015 | Journal article
EID:

2-s2.0-84938068753

Contributors: Gomes-Gonçalves, E.; Gzyl, H.; Mayoral, S.
Source: Self-asserted source
SILVIA MAYORAL via Scopus - Elsevier

Quote inefficiency in options markets

Journal of Banking and Finance
2015 | Journal article
EID:

2-s2.0-84924280713

Contributors: Longarela, I.R.; Mayoral, S.
Source: Self-asserted source
SILVIA MAYORAL via Scopus - Elsevier

Two maxentropic approaches to determine the probability density of compound risk losses

Insurance: Mathematics and Economics
2015 | Journal article
EID:

2-s2.0-84925449700

Contributors: Gomes-Gonçalves, E.; Gzyl, H.; Mayoral, S.
Source: Self-asserted source
SILVIA MAYORAL via Scopus - Elsevier

Density reconstructions with errors in the data

Entropy
2014 | Journal article
EID:

2-s2.0-84909979009

Contributors: Gomes-Gonçalves, E.; Gzyl, H.; Mayoral, S.
Source: Self-asserted source
SILVIA MAYORAL via Scopus - Elsevier

Contingent Claim Pricing Using a Normal Inverse Gaussian Probability Distortion Operator

Journal of Risk and Insurance
2012 | Journal article
EID:

2-s2.0-84865388701

Contributors: Godin, F.; Mayoral, S.; Morales, M.
Source: Self-asserted source
SILVIA MAYORAL via Scopus - Elsevier

Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean

Applied Mathematical Finance
2012 | Journal article
EID:

2-s2.0-84864648170

Contributors: Gzyl, H.; Mayoral, S.
Source: Self-asserted source
SILVIA MAYORAL via Scopus - Elsevier

A method for determining risk aversion functions from uncertain market prices of risk

Insurance: Mathematics and Economics
2010 | Journal article
EID:

2-s2.0-77953288214

Contributors: Gzyl, H.; Mayoral, S.
Source: Self-asserted source
SILVIA MAYORAL via Scopus - Elsevier

Data-driven smooth tests for the martingale difference hypothesis

Computational Statistics and Data Analysis
2010 | Journal article
EID:

2-s2.0-77950926401

Contributors: Escanciano, J.C.; Mayoral, S.
Source: Self-asserted source
SILVIA MAYORAL via Scopus - Elsevier

Corporation as a crucial ally against corruption

Journal of Business Ethics
2009 | Journal article
EID:

2-s2.0-67349257466

Contributors: Calderón, R.; Álvarez-Arce, J.L.; Mayoral, S.
Source: Self-asserted source
SILVIA MAYORAL via Scopus - Elsevier

Portfolio choice and optimal hedging with general risk functions: A simplex-like algorithm

European Journal of Operational Research
2009 | Journal article
EID:

2-s2.0-51249099999

Contributors: Balbás, A.; Balbás, R.; Mayoral, S.
Source: Self-asserted source
SILVIA MAYORAL via Scopus - Elsevier

Properties of distortion risk measures

Methodology and Computing in Applied Probability
2009 | Journal article
EID:

2-s2.0-67749147572

Contributors: Balbás, A.; Garrido, J.; Mayoral, S.
Source: Self-asserted source
SILVIA MAYORAL via Scopus - Elsevier

Determination of risk pricing measures from market prices of risk

Insurance: Mathematics and Economics
2008 | Journal article
EID:

2-s2.0-56549097034

Contributors: Gzyl, H.; Mayoral, S.
Source: Self-asserted source
SILVIA MAYORAL via Scopus - Elsevier

On a relationship between distorted and spectral risk measures

Revista de economía financiera
2008 | Journal article
Source: Self-asserted source
SILVIA MAYORAL

Semiparametric estimation of dynamic conditional expected shortfall models

International Journal of Monetary Economics and Finance
2008 | Journal article
EID:

2-s2.0-77956552080

Contributors: Carlos Escanciano, J.; Mayoral, S.
Source: Self-asserted source
SILVIA MAYORAL via Scopus - Elsevier

Random dynamics and finance: Constructing implied binomial trees from a predetermined stationary density

Applied Stochastic Models in Business and Industry
2007 | Journal article
EID:

2-s2.0-34250681838

Contributors: Bahsoun, W.; Gora, P.; Mayoral, S.; Morales, M.
Source: Self-asserted source
SILVIA MAYORAL via Scopus - Elsevier

Risk-neutral valuation with infinitely many trading dates

Mathematical and Computer Modelling
2007 | Journal article
EID:

2-s2.0-33947181022

Contributors: Balbás, A.; Balbás, R.; Mayoral, S.
Source: Self-asserted source
SILVIA MAYORAL via Scopus - Elsevier

Nonconvex optimization for pricing and hedging in imperfect markets

Computers and Mathematics with Applications
2006 | Journal article
EID:

2-s2.0-33750465831

Contributors: Balbas, A.; Mayoral, S.
Source: Self-asserted source
SILVIA MAYORAL via Scopus - Elsevier

Vector optimization approach for pricing and hedging in imperfect markets

INFOR
2004 | Journal article
EID:

2-s2.0-16244386840

Contributors: Balbás, A.; Mayoral, S.
Source: Self-asserted source
SILVIA MAYORAL via Scopus - Elsevier

Coherent risk measures in a dynamic framework

Insurance: Mathematics and Economics
2003 | Journal article
Contributors: Balbas, A; Garrido, J; Mayoral, S
Source: check_circle
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