Henryk Gzyl
Names
Identifer
Contact
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henryk.gzyl at domain iesa.edu.ve
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Affiliations
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Instituto de Estudios Superiores de Administración (IESA)
Research profile
author of:
- Stochastic Volatility Models Including Open, Close, High and Low Prices (RePEc:arx:papers:0901.1315)
by Abel Rodriguez & Henryk Gzyl & German Molina & Enrique ter Horst - Two maxentropic approaches to determine the probability density of compound risk losses (RePEc:arx:papers:1411.5625)
by Erika Gomes-Gonc{c}alves & Henryk Gzyl & Silvia Mayoral - Which portfolio is better? A discussion of several possible comparison criteria (RePEc:arx:papers:1805.06345)
by Henryk Gzyl & Alfredo Rios - How dark is the dark side of diversification? (RePEc:arx:papers:2012.12154)
by Pedro Cadenas & Henryk Gzyl & Hyun Woong Park - Towards a Bayesian framework for option pricing (RePEc:arx:papers:cs/0610053)
by Henryk Gzyl & Enrique ter Horst & Samuel Malone - Joint probabilities under expected value constraints, transportation problems, maximum entropy in the mean (RePEc:bla:stanee:v:78:y:2024:i:1:p:228-243)
by Henryk Gzyl & Silvia Mayoral - Entropy and density approximation from Laplace transforms (RePEc:eee:apmaco:v:265:y:2015:i:c:p:225-236)
by Gzyl, Henryk & Novi Inverardi, Pierluigi & Tagliani, Aldo - Discontinuous payoff option pricing by Mellin transform: A probabilistic approach (RePEc:eee:finlet:v:20:y:2017:i:c:p:281-288)
by Gzyl, H. & Milev, M. & Tagliani, A. - Determination of risk pricing measures from market prices of risk (RePEc:eee:insuma:v:43:y:2008:i:3:p:437-443)
by Gzyl, Henryk & Mayoral, Silvia - A method for determining risk aversion functions from uncertain market prices of risk (RePEc:eee:insuma:v:47:y:2010:i:1:p:84-89)
by Gzyl, Henryk & Mayoral, Silvia - Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments (RePEc:eee:insuma:v:53:y:2013:i:2:p:457-463)
by Gzyl, Henryk & Novi-Inverardi, Pier-Luigi & Tagliani, Aldo - Two maxentropic approaches to determine the probability density of compound risk losses (RePEc:eee:insuma:v:62:y:2015:i:c:p:42-53)
by Gomes-Gonçalves, Erika & Gzyl, Henryk & Mayoral, Silvia - Maxentropic approach to decompound aggregate risk losses (RePEc:eee:insuma:v:64:y:2015:i:c:p:326-336)
by Gomes-Gonçalves, Erika & Gzyl, Henryk & Mayoral, Silvia - Loss data analysis: Analysis of the sample dependence in density reconstruction by maxentropic methods (RePEc:eee:insuma:v:71:y:2016:i:c:p:145-153)
by Gomes-Gonçalves, Erika & Gzyl, Henryk & Mayoral, Silvia - Numerical determination of hitting time distributions from their Laplace transforms: One dimensional diffusions (RePEc:eee:phsmap:v:419:y:2015:i:c:p:594-602)
by Gzyl, Henryk & ter Horst, Enrique & Villasana, Minaya - A spectral measure estimation problem in rheology (RePEc:eee:phsmap:v:434:y:2015:i:c:p:129-133)
by Gzyl, Henryk & ter Horst, Enrique & Molina, German - Application of the method of maximum entropy in the mean to classification problems (RePEc:eee:phsmap:v:437:y:2015:i:c:p:101-108)
by Gzyl, Henryk & ter Horst, Enrique & Molina, German - Determination of zero-coupon and spot rates from treasury data by maximum entropy methods (RePEc:eee:phsmap:v:456:y:2016:i:c:p:38-50)
by Gzyl, Henryk & Mayoral, Silvia - Calibration of short rate term structure models from bid–ask coupon bond prices (RePEc:eee:phsmap:v:492:y:2018:i:c:p:1456-1472)
by Gomes-Gonçalves, Erika & Gzyl, Henryk & Mayoral, Silvia - A model-free, non-parametric method for density determination, with application to asset returns (RePEc:eee:phsmap:v:517:y:2019:i:c:p:210-221)
by Gzyl, Henryk & ter Horst, Enrique & Molina, Germán - Remarks on the equation dXt = a(Xt)dBt (RePEc:eee:spapps:v:11:y:1981:i:3:p:313-315)
by Betz, Cristina & Gzyl, Henryk - Diffusions on some submanifolds of euclidean spaces (RePEc:eee:stapro:v:10:y:1990:i:4:p:317-319)
by Gzyl, Henryk - Recovering a distribution from its translated fractional moments (RePEc:eee:stapro:v:118:y:2016:i:c:p:171-176)
by Gzyl, H. & Tagliani, A. - Hitting spheres with Brownian motion revisited (RePEc:eee:stapro:v:155:y:2019:i:c:3)
by Gzyl, Henryk - Harmonic oscillators, waves and Gaussian processes (RePEc:eee:stapro:v:172:y:2021:i:c:s0167715221000055)
by Gzyl, Henryk - Forced harmonic oscillators, waves on a forced string and changes of measure (RePEc:eee:stapro:v:179:y:2021:i:c:s0167715221001942)
by Gzyl, Henryk - Characterization of vector valued, gaussian, stationary, markov processes (RePEc:eee:stapro:v:6:y:1987:i:1:p:17-19)
by Gzyl, Henryk - Inverse problems for random walks on trees: Network tomography (RePEc:eee:stapro:v:78:y:2008:i:18:p:3176-3183)
by de la Pena, Victor & Gzyl, Henryk & McDonald, Patrick - How dark is the dark side of diversification? (RePEc:eme:jrfpps:jrf-07-2020-0161)
by Pedro E. Cadenas & Henryk Gzyl & Hyun Woong Park - Diversification Can Control Probability of Default or Risk, but Not Both (RePEc:gam:jjrfmx:v:14:y:2021:i:2:p:73-:d:495568)
by Pedro Cadenas & Henryk Gzyl - The Effects of Securitization for Managing Banking Risk Using Alternative Tranching Schemes (RePEc:gam:jjrfmx:v:15:y:2022:i:10:p:420-:d:920787)
by Pedro Cadenas & Henryk Gzyl - Tracking a Well Diversified Portfolio with Maximum Entropy in the Mean (RePEc:gam:jmathe:v:10:y:2022:i:4:p:557-:d:746988)
by Argimiro Arratia & Henryk Gzyl & Silvia Mayoral - Recovering Decay Rates from Noisy Measurements with Maximum Entropy in the Mean (RePEc:hin:jnljps:563281)
by Henryk Gzyl & Enrique Ter Horst - Sample Dependence in the Maximum Entropy Solution to the Generalized Moment Problem (RePEc:hin:jnljps:8629049)
by Henryk Gzyl - Portfolio Optimization in Incomplete Markets and Price Constraints Determined by Maximum Entropy in the Mean (RePEc:kap:compec:v:56:y:2020:i:4:d:10.1007_s10614-019-09954-3)
by Argimiro Arratia & Henryk Gzyl - On a relationship between distorted and spectral risk measures (RePEc:pra:mprapa:916)
by Henryk, Gzyl & Silvia, Mayoral - Probabilistic Approach to an Image Reconstruction Problem (RePEc:spr:metcap:v:4:y:2002:i:3:d:10.1023_a:1022589902558)
by Henryk Gzyl & Noam Zeev - Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean (RePEc:taf:apmtfi:v:19:y:2012:i:4:p:299-312)
by Henryk Gzyl & Silvia Mayoral - Maxentropic construction of risk neutral measures: discrete market models (RePEc:taf:apmtfi:v:7:y:2000:i:4:p:229-239)
by Henryk Gzyl - Fractional Moments and Maximum Entropy: Geometric Meaning (RePEc:taf:lstaxx:v:43:y:2014:i:17:p:3596-3601)
by Henryk Gzyl & Pier Luigi Novi Inverardi & Aldo Tagliani - Maximum entropy in the mean methods in propensity score matching for interval and noisy data (RePEc:taf:lstaxx:v:48:y:2019:i:18:p:4581-4597)
by Laura H. Gunn & Henryk Gzyl & Enrique ter Horst & Miller Janny Ariza & German Molina - Construction of contingency tables by maximum entropy in the mean (RePEc:taf:lstaxx:v:50:y:2021:i:20:p:4778-4786)
by Henryk Gzyl - Prediction in Riemannian metrics derived from divergence functions (RePEc:taf:lstaxx:v:51:y:2022:i:2:p:552-568)
by Henryk Gzyl - Stochastic volatility models including open, close, high and low prices (RePEc:taf:quantf:v:12:y:2012:i:2:p:199-212)
by Enrique Ter Horst & Abel Rodriguez & Henryk Gzyl & German Molina - Extracting pricing densities for weather derivatives using the maximum entropy method (RePEc:taf:tjorxx:v:72:y:2021:i:11:p:2412-2428)
by Antonios K. Alexandridis & Henryk Gzyl & Enrique ter Horst & German Molina - Determination of Risk Pricing Measures from Market Prices of Risk (RePEc:una:unccee:wp0307)
by Henryk Gzyl & Silvia Mayoral - On a relationship between distorted and spectral risk measures (RePEc:una:unccee:wp1506)
by Henryk Gzyl & Silvia Mayoral - Bayesian parameter inference for models of the Black and Scholes type (RePEc:wly:apsmbi:v:24:y:2008:i:6:p:507-524)
by Henryk Gzyl & Enrique ter Horst & Samuel W. Malone - Assessment and propagation of input uncertainty in tree‐based option pricing models (RePEc:wly:apsmbi:v:25:y:2009:i:3:p:275-308)
by Henryk Gzyl & German Molina & Enrique ter Horst