Details about Henryk Gzyl

Access statistics for papers by Henryk Gzyl.

Last updated 2024-12-07. Update your information in the RePEc Author Service.

Short-id: pgz3

Working Papers

2022

1. Which portfolio is better? A discussion of several possible comparison criteria
   Papers, arXiv.org

2020

2. How dark is the dark side of diversification?
   Papers, arXiv.org View citations (1)
   See also Journal Article How dark is the dark side of diversification?, Journal of Risk Finance, Emerald Group Publishing Limited (2021) View citations (1) (2021)

2014

3. Two maxentropic approaches to determine the probability density of compound risk losses
   Papers, arXiv.org View citations (1)
   See also Journal Article Two maxentropic approaches to determine the probability density of compound risk losses, Insurance: Mathematics and Economics, Elsevier (2015) View citations (3) (2015)

2009

4. Stochastic Volatility Models Including Open, Close, High and Low Prices
   Papers, arXiv.org
   See also Journal Article Stochastic volatility models including open, close, high and low prices, Quantitative Finance, Taylor & Francis Journals (2012) View citations (18) (2012)

2007

5. 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 Determination of risk pricing measures from market prices of risk, Insurance: Mathematics and Economics, Elsevier (2008) View citations (3) (2008)

2006

6. On a relationship between distorted and spectral risk measures
   MPRA Paper, University Library of Munich, Germany View citations (2)
   Also in Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2006) View citations (1)
7. Towards a Bayesian framework for option pricing
   Papers, arXiv.org

Journal Articles

2024

1. How to Keep Your Portfolio Close in Risk and Diversification to a Desired Benchmark
   Computational Economics, 2024, 64, (3), 1489-1505
2. Joint probabilities under expected value constraints, transportation problems, maximum entropy in the mean
   Statistica Neerlandica, 2024, 78, (1), 228-243

2022

3. Prediction in Riemannian metrics derived from divergence functions
   Communications in Statistics - Theory and Methods, 2022, 51, (2), 552-568
4. The Effects of Securitization for Managing Banking Risk Using Alternative Tranching Schemes
   JRFM, 2022, 15, (10), 1-25
5. Tracking a Well Diversified Portfolio with Maximum Entropy in the Mean
   Mathematics, 2022, 10, (4), 1-14 View citations (1)

2021

6. Construction of contingency tables by maximum entropy in the mean
   Communications in Statistics - Theory and Methods, 2021, 50, (20), 4778-4786
7. Diversification Can Control Probability of Default or Risk, but Not Both
   JRFM, 2021, 14, (2), 1-10
8. Extracting pricing densities for weather derivatives using the maximum entropy method
   Journal of the Operational Research Society, 2021, 72, (11), 2412-2428
9. Forced harmonic oscillators, waves on a forced string and changes of measure
   Statistics & Probability Letters, 2021, 179, (C)
10. Harmonic oscillators, waves and Gaussian processes
    Statistics & Probability Letters, 2021, 172, (C) View citations (1)
11. How dark is the dark side of diversification?
    Journal of Risk Finance, 2021, 22, (1), 44-55 View citations (1)
    See also Working Paper How dark is the dark side of diversification?, Papers (2020) View citations (1) (2020)

2020

12. Portfolio Optimization in Incomplete Markets and Price Constraints Determined by Maximum Entropy in the Mean
    Computational Economics, 2020, 56, (4), 929-952

2019

13. A model-free, non-parametric method for density determination, with application to asset returns
    Physica A: Statistical Mechanics and its Applications, 2019, 517, (C), 210-221
14. Hitting spheres with Brownian motion revisited
    Statistics & Probability Letters, 2019, 155, (C), -
15. Maximum entropy in the mean methods in propensity score matching for interval and noisy data
    Communications in Statistics - Theory and Methods, 2019, 48, (18), 4581-4597

2018

16. Calibration of short rate term structure models from bid–ask coupon bond prices
    Physica A: Statistical Mechanics and its Applications, 2018, 492, (C), 1456-1472

2017

17. Discontinuous payoff option pricing by Mellin transform: A probabilistic approach
    Finance Research Letters, 2017, 20, (C), 281-288 View citations (2)

2016

18. Determination of zero-coupon and spot rates from treasury data by maximum entropy methods
    Physica A: Statistical Mechanics and its Applications, 2016, 456, (C), 38-50 View citations (1)
19. Loss data analysis: Analysis of the sample dependence in density reconstruction by maxentropic methods
    Insurance: Mathematics and Economics, 2016, 71, (C), 145-153
20. Recovering a distribution from its translated fractional moments
    Statistics & Probability Letters, 2016, 118, (C), 171-176
21. Sample Dependence in the Maximum Entropy Solution to the Generalized Moment Problem
    Journal of Probability and Statistics, 2016, 2016, 1-5

2015

22. A spectral measure estimation problem in rheology
    Physica A: Statistical Mechanics and its Applications, 2015, 434, (C), 129-133 View citations (1)
23. Application of the method of maximum entropy in the mean to classification problems
    Physica A: Statistical Mechanics and its Applications, 2015, 437, (C), 101-108
24. Entropy and density approximation from Laplace transforms
    Applied Mathematics and Computation, 2015, 265, (C), 225-236 View citations (3)
25. Maxentropic approach to decompound aggregate risk losses
    Insurance: Mathematics and Economics, 2015, 64, (C), 326-336 View citations (1)
26. Numerical determination of hitting time distributions from their Laplace transforms: One dimensional diffusions
    Physica A: Statistical Mechanics and its Applications, 2015, 419, (C), 594-602
27. Two maxentropic approaches to determine the probability density of compound risk losses
    Insurance: Mathematics and Economics, 2015, 62, (C), 42-53 View citations (3)
    See also Working Paper Two maxentropic approaches to determine the probability density of compound risk losses, Papers (2014) View citations (1) (2014)

2014

28. Fractional Moments and Maximum Entropy: Geometric Meaning
    Communications in Statistics - Theory and Methods, 2014, 43, (17), 3596-3601 View citations (1)

2013

29. Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments
    Insurance: Mathematics and Economics, 2013, 53, (2), 457-463 View citations (3)

2012

30. Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean
    Applied Mathematical Finance, 2012, 19, (4), 299-312 View citations (1)
31. Stochastic volatility models including open, close, high and low prices
    Quantitative Finance, 2012, 12, (2), 199-212 View citations (18)
    See also Working Paper Stochastic Volatility Models Including Open, Close, High and Low Prices, Papers (2009) (2009)

2010

32. A method for determining risk aversion functions from uncertain market prices of risk
    Insurance: Mathematics and Economics, 2010, 47, (1), 84-89 View citations (2)

2009

33. Assessment and propagation of input uncertainty in tree‐based option pricing models
    Applied Stochastic Models in Business and Industry, 2009, 25, (3), 275-308
34. Recovering Decay Rates from Noisy Measurements with Maximum Entropy in the Mean
    Journal of Probability and Statistics, 2009, 2009, 1-13

2008

35. Bayesian parameter inference for models of the Black and Scholes type
    Applied Stochastic Models in Business and Industry, 2008, 24, (6), 507-524
36. Determination of risk pricing measures from market prices of risk
    Insurance: Mathematics and Economics, 2008, 43, (3), 437-443 View citations (3)
    See also Working Paper Determination of Risk Pricing Measures from Market Prices of Risk, Faculty Working Papers (2007) (2007)
37. Inverse problems for random walks on trees: Network tomography
    Statistics & Probability Letters, 2008, 78, (18), 3176-3183

2002

38. Probabilistic Approach to an Image Reconstruction Problem
    Methodology and Computing in Applied Probability, 2002, 4, (3), 279-290 View citations (1)

2000

39. Maxentropic construction of risk neutral measures: discrete market models
    Applied Mathematical Finance, 2000, 7, (4), 229-239

1990

40. Diffusions on some submanifolds of euclidean spaces
    Statistics & Probability Letters, 1990, 10, (4), 317-319

1987

41. Characterization of vector valued, gaussian, stationary, markov processes
    Statistics & Probability Letters, 1987, 6, (1), 17-19 View citations (2)

1981

42. Remarks on the equation dXt = a(Xt)dBt
    Stochastic Processes and their Applications, 1981, 11, (3), 313-315