Details about Silvia Mayoral

Access statistics for papers by Silvia Mayoral.

Last updated 2010-09-14. Update your information in the RePEc Author Service.

Short-id: pma640

Working Papers

2009

1. Portfolio choice and optimal hedging with general risk functions: a simplex-like algorithm
   Open Access publications from Universidad Carlos III de Madrid, Universidad Carlos III de Madrid View citations (1)
   See also Journal Article in European Journal of Operational Research (2009)
2. Properties of Distortion Risk Measures
   Open Access publications from Universidad Carlos III de Madrid, Universidad Carlos III de Madrid View citations (5)

2007

3. Risk-neutral valuation with infinitely many trading dates
   Open Access publications from Universidad Carlos III de Madrid, Universidad Carlos III de Madrid View citations (1)

2006

4. Nonconvex optimization for pricing and hedging in imperfect markets
   Open Access publications from Universidad Carlos III de Madrid, Universidad Carlos III de Madrid
5. On a relationship between distorted and spectral risk measures
   MPRA Paper, University Library of Munich, Germany View citations (2)

Undated

6. Data-Driven Smooth Tests for the Martingale Difference Hypothesis
   Faculty Working Papers, School of Economics and Business Administration, University of Navarra
   See also Journal Article in Computational Statistics & Data Analysis (2010)
7. Determination of Risk Pricing Measures from Market Prices of Risk
   Faculty Working Papers, School of Economics and Business Administration, University of Navarra
   See also Journal Article in Insurance: Mathematics and Economics (2008)
8. Optimizing Measures of Risk: A Simplex-like Algorithm
   Faculty Working Papers, School of Economics and Business Administration, University of Navarra
9. Random Dynamics and Finance: Constructing Implied Binomial Trees from a Predetermined Stationary Den
   Faculty Working Papers, School of Economics and Business Administration, University of Navarra

Journal Articles

2010

1. A method for determining risk aversion functions from uncertain market prices of risk
   Insurance: Mathematics and Economics, 2010, 47, (1), 84-89
2. Data-driven smooth tests for the martingale difference hypothesis
   Computational Statistics & Data Analysis, 2010, 54, (8), 1983-1998
   See also Working Paper

2009

3. Corporation as a Crucial Ally Against Corruption
   Journal of Business Ethics, 2009, 87, (1), 319-332 View citations (1)
4. Portfolio choice and optimal hedging with general risk functions: A simplex-like algorithm
   European Journal of Operational Research, 2009, 192, (2), 603-620 View citations (3)
   See also Working Paper (2009)

2008

5. Determination of risk pricing measures from market prices of risk
   Insurance: Mathematics and Economics, 2008, 43, (3), 437-443 View citations (1)
   See also Working Paper
6. Semiparametric estimation of dynamic conditional expected shortfall models
   International Journal of Monetary Economics and Finance, 2008, 1, (2), 106-120 View citations (3)