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Henryk Gzyl

Personal Details

First Name:Henryk
Middle Name:
Last Name:Gzyl
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RePEc Short-ID:pgz3

Affiliation

Instituto de Estudios Superiores de Administración

http://www.iesa.edu.ve/
Venezuela, Caracas

Research output

as
Jump to: Working papers Articles

Working papers

  1. Erika Gomes-Gonc{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.

Articles

  1. Gzyl, H. & Milev, M. & Tagliani, A., 2017. "Discontinuous payoff option pricing by Mellin transform: A probabilistic approach," Finance Research Letters, Elsevier, vol. 20(C), pages 281-288.
  2. Gzyl, H. & Tagliani, A., 2016. "Recovering a distribution from its translated fractional moments," Statistics & Probability Letters, Elsevier, vol. 118(C), pages 171-176.
  3. Gomes-Gonçalves, Erika & Gzyl, Henryk & Mayoral, Silvia, 2016. "Loss data analysis: Analysis of the sample dependence in density reconstruction by maxentropic methods," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 145-153.
  4. Gzyl, Henryk & Mayoral, Silvia, 2016. "Determination of zero-coupon and spot rates from treasury data by maximum entropy methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 38-50.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. Gzyl, Henryk & Novi Inverardi, Pierluigi & Tagliani, Aldo, 2015. "Entropy and density approximation from Laplace transforms," Applied Mathematics and Computation, Elsevier, vol. 265(C), pages 225-236.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. Henryk Gzyl, 2000. "Maxentropic construction of risk neutral measures: discrete market models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(4), pages 229-239.
  18. Gzyl, Henryk, 1990. "Diffusions on some submanifolds of euclidean spaces," Statistics & Probability Letters, Elsevier, vol. 10(4), pages 317-319, September.
  19. Gzyl, Henryk, 1987. "Characterization of vector valued, gaussian, stationary, markov processes," Statistics & Probability Letters, Elsevier, vol. 6(1), pages 17-19, September.
  20. 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.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Erika Gomes-Gonc{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.

    Cited by:

    1. 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.
    2. Gomes-Gonçalves, Erika & Gzyl, Henryk & Mayoral, Silvia, 2016. "Loss data analysis: Analysis of the sample dependence in density reconstruction by maxentropic methods," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 145-153.

  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.

    Cited by:

    1. Parthajit Kayal & S. Maheswaran, 2017. "Is USD-INR Really an Excessively Volatile Currency Pair?," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 15(2), pages 329-342, June.
    2. Kumar, Dilip & Maheswaran, S., 2014. "Modeling and forecasting the additive bias corrected extreme value volatility estimator," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 166-176.
    3. Jelena Stankeviciene & Nijole Maknickiene & Algirdas Maknickas, 2017. "High-low Strategy of Portfolio Composition using Evolino RNN Ensembles," Engineering Economics, Kaunas University of Technology, vol. 28(2), pages 162-169, April.
    4. Kumar, Dilip & Maheswaran, S., 2014. "A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices," Economic Modelling, Elsevier, vol. 38(C), pages 33-44.
    5. Dilip Kumar, 2016. "Estimating and forecasting value-at-risk using the unbiased extreme value volatility estimator," Proceedings of Economics and Finance Conferences 3205528, International Institute of Social and Economic Sciences.
    6. Kazemilari, Mansooreh & Djauhari, Maman Abdurachman, 2015. "Correlation network analysis for multi-dimensional data in stocks market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 62-75.
    7. Maheswaran, S. & Kumar, Dilip, 2013. "An automatic bias correction procedure for volatility estimation using extreme values of asset prices," Economic Modelling, Elsevier, vol. 33(C), pages 701-712.

  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.

    Cited by:

    1. 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.

  4. Henryk, Gzyl & Silvia, Mayoral, 2006. "On a relationship between distorted and spectral risk measures," MPRA Paper 916, University Library of Munich, Germany.

    Cited by:

    1. 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.

Articles

  1. Gzyl, H. & Milev, M. & Tagliani, A., 2017. "Discontinuous payoff option pricing by Mellin transform: A probabilistic approach," Finance Research Letters, Elsevier, vol. 20(C), pages 281-288.

    Cited by:

    1. Amirhossein Sobhani & Mariyan Milev, 2017. "A Numerical Method for Pricing Discrete Double Barrier Option by Lagrange Interpolation on Jacobi Node," Papers 1712.01060, arXiv.org, revised Feb 2018.

  2. 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.
    See citations under working paper version above.
  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.

    Cited by:

    1. Gomes-Gonçalves, Erika & Gzyl, Henryk & Mayoral, Silvia, 2016. "Loss data analysis: Analysis of the sample dependence in density reconstruction by maxentropic methods," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 145-153.

  4. 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.

    Cited by:

    1. Mnatsakanov, Robert M. & Sarkisian, Khachatur & Hakobyan, Artak, 2015. "Approximation of the ruin probability using the scaled Laplace transform inversion," Applied Mathematics and Computation, Elsevier, vol. 268(C), pages 717-727.

  5. 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.
    See citations under working paper version above.
  6. 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.

    Cited by:

    1. Gzyl, Henryk & Mayoral, Silvia, 2016. "Determination of zero-coupon and spot rates from treasury data by maximum entropy methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 38-50.
    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.

  7. 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.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

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
  2. NEP-ECM: Econometrics (1) 2014-12-03
  3. NEP-UPT: Utility Models & Prospect Theory (1) 2006-12-01

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