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Henryk Gzyl

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First Name:Henryk
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Last Name:Gzyl
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RePEc Short-ID:pgz3
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  1. Erika Gomes-Gon\c{c}alves & Henryk Gzyl & Silvia Mayoral, 2014. "Two maxentropic approaches to determine the probability density of compound risk losses," Papers 1411.5625, arXiv.org, revised Nov 2014.
  2. Abel Rodriguez & Henryk Gzyl & German Molina & Enrique ter Horst, 2009. "Stochastic Volatility Models Including Open, Close, High and Low Prices," Papers 0901.1315, arXiv.org.
  3. Henryk Gzyl & Silvia Mayoral, 2007. "Determination of Risk Pricing Measures from Market Prices of Risk," Faculty Working Papers 03/07, School of Economics and Business Administration, University of Navarra.
  4. Henryk Gzyl & Enrique ter Horst & Samuel Malone, 2006. "Towards a Bayesian framework for option pricing," Papers cs/0610053, arXiv.org.
  5. Henryk, Gzyl & Silvia, Mayoral, 2006. "On a relationship between distorted and spectral risk measures," MPRA Paper 916, University Library of Munich, Germany.
  1. Gomes-Gonçalves, Erika & Gzyl, Henryk & Mayoral, Silvia, 2015. "Two maxentropic approaches to determine the probability density of compound risk losses," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 42-53.
  2. Gzyl, Henryk & ter Horst, Enrique & Molina, German, 2015. "Application of the method of maximum entropy in the mean to classification problems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 437(C), pages 101-108.
  3. Gomes-Gonçalves, Erika & Gzyl, Henryk & Mayoral, Silvia, 2015. "Maxentropic approach to decompound aggregate risk losses," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 326-336.
  4. Gzyl, Henryk & ter Horst, Enrique & Molina, German, 2015. "A spectral measure estimation problem in rheology," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 434(C), pages 129-133.
  5. Gzyl, Henryk & ter Horst, Enrique & Villasana, Minaya, 2015. "Numerical determination of hitting time distributions from their Laplace transforms: One dimensional diffusions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 594-602.
  6. Gzyl, Henryk & Novi-Inverardi, Pier-Luigi & Tagliani, Aldo, 2013. "Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 457-463.
  7. Enrique Ter Horst & Abel Rodriguez & Henryk Gzyl & German Molina, 2012. "Stochastic volatility models including open, close, high and low prices," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 199-212, May.
  8. Henryk Gzyl & Silvia Mayoral, 2012. "Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(4), pages 299-312, August.
  9. Gzyl, Henryk & Mayoral, Silvia, 2010. "A method for determining risk aversion functions from uncertain market prices of risk," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 84-89, August.
  10. de la Pena, Victor & Gzyl, Henryk & McDonald, Patrick, 2008. "Inverse problems for random walks on trees: Network tomography," Statistics & Probability Letters, Elsevier, vol. 78(18), pages 3176-3183, December.
  11. Gzyl, Henryk & Mayoral, Silvia, 2008. "Determination of risk pricing measures from market prices of risk," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 437-443, December.
  12. Henryk Gzyl, 2000. "Maxentropic construction of risk neutral measures: discrete market models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(4), pages 229-239.
  13. Gzyl, Henryk, 1990. "Diffusions on some submanifolds of euclidean spaces," Statistics & Probability Letters, Elsevier, vol. 10(4), pages 317-319, September.
  14. Gzyl, Henryk, 1987. "Characterization of vector valued, gaussian, stationary, markov processes," Statistics & Probability Letters, Elsevier, vol. 6(1), pages 17-19, September.
  15. Betz, Cristina & Gzyl, Henryk, 1981. "Remarks on the equation dXt = a(Xt)dBt," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 313-315, August.
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (2) 2006-12-01 2014-12-03. Author is listed
  2. NEP-ECM: Econometrics (1) 2014-12-03. Author is listed
  3. NEP-UPT: Utility Models & Prospect Theory (1) 2006-12-01. Author is listed

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