3
H index
1
i10 index
36
Citations
Henryk Gzyl : Citation Profile
Instituto de Estudios Superiores de Administración (IESA) | RESEARCH PRODUCTION: 54 Articles 9 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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44 years (1981 - 2025). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Henryk Gzyl. | Is cited by:
| Cites to:
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Main data
Where Henryk Gzyl has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 6 |
Recent works citing Henryk Gzyl (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | Fast and explicit European option pricing under tempered stable processes. (2025). Agazzotti, Gaetano ; Aguilar, Jean-Philippe. In: Papers. RePEc:arx:papers:2510.01211. Full description at Econpapers || Download paper |
| 2024 | Trade fragmentation and volatility-of-volatility networks. (2024). JAWADI, Fredj ; BASTIDON, Cécile. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001762. Full description at Econpapers || Download paper |
| 2024 | A loading contribution degree analysis-based strategy for time-variant reliability analysis of structures under multiple loading stochastic processes. (2024). Zhang, Yang ; Gardoni, Paolo ; Xu, Jun. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:243:y:2024:i:c:s0951832023007470. Full description at Econpapers || Download paper |
Works by Henryk Gzyl:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2009 | Stochastic Volatility Models Including Open, Close, High and Low Prices In: Papers. [Full Text][Citation analysis] | paper | 18 |
| 2012 | Stochastic volatility models including open, close, high and low prices.(2012) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | article | |
| 2014 | Two maxentropic approaches to determine the probability density of compound risk losses In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2015 | Two maxentropic approaches to determine the probability density of compound risk losses.(2015) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2022 | Which portfolio is better? A discussion of several possible comparison criteria In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | How dark is the dark side of diversification? In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2021 | How dark is the dark side of diversification?.(2021) In: Journal of Risk Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2025 | Determining a credit transition matrix from cumulative default probabilities In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Towards a Bayesian framework for option pricing In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Joint probabilities under expected value constraints, transportation problems, maximum entropy in the mean In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 0 |
| 2015 | Entropy and density approximation from Laplace transforms In: Applied Mathematics and Computation. [Full Text][Citation analysis] | article | 3 |
| 2017 | Discontinuous payoff option pricing by Mellin transform: A probabilistic approach In: Finance Research Letters. [Full Text][Citation analysis] | article | 3 |
| 2008 | Determination of risk pricing measures from market prices of risk In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 2 |
| 2007 | Determination of Risk Pricing Measures from Market Prices of Risk.(2007) In: Faculty Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2010 | A method for determining risk aversion functions from uncertain market prices of risk In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 0 |
| 2013 | Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 3 |
| 2015 | Maxentropic approach to decompound aggregate risk losses In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 0 |
| 2016 | Loss data analysis: Analysis of the sample dependence in density reconstruction by maxentropic methods In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 0 |
| 2015 | Numerical determination of hitting time distributions from their Laplace transforms: One dimensional diffusions In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 0 |
| 2015 | A spectral measure estimation problem in rheology In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 0 |
| 2015 | Application of the method of maximum entropy in the mean to classification problems In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 0 |
| 2016 | Determination of zero-coupon and spot rates from treasury data by maximum entropy methods In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 1 |
| 2018 | Calibration of short rate term structure models from bid–ask coupon bond prices In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 0 |
| 2019 | A model-free, non-parametric method for density determination, with application to asset returns In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 0 |
| 1981 | Remarks on the equation dXt = a(Xt)dBt In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 0 |
| 1990 | Diffusions on some submanifolds of euclidean spaces In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 2016 | Recovering a distribution from its translated fractional moments In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 2019 | Hitting spheres with Brownian motion revisited In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 2021 | Harmonic oscillators, waves and Gaussian processes In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 2021 | Forced harmonic oscillators, waves on a forced string and changes of measure In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 1987 | Characterization of vector valued, gaussian, stationary, markov processes In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 2008 | Inverse problems for random walks on trees: Network tomography In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 2021 | Diversification Can Control Probability of Default or Risk, but Not Both In: JRFM. [Full Text][Citation analysis] | article | 0 |
| 2022 | The Effects of Securitization for Managing Banking Risk Using Alternative Tranching Schemes In: JRFM. [Full Text][Citation analysis] | article | 0 |
| 2022 | Tracking a Well Diversified Portfolio with Maximum Entropy in the Mean In: Mathematics. [Full Text][Citation analysis] | article | 1 |
| 2025 | An Entropic Approach to Constrained Linear Regression In: Mathematics. [Full Text][Citation analysis] | article | 0 |
| 2009 | Recovering Decay Rates from Noisy Measurements with Maximum Entropy in the Mean In: Journal of Probability and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2016 | Sample Dependence in the Maximum Entropy Solution to the Generalized Moment Problem In: Journal of Probability and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2020 | Portfolio Optimization in Incomplete Markets and Price Constraints Determined by Maximum Entropy in the Mean In: Computational Economics. [Full Text][Citation analysis] | article | 0 |
| 2024 | How to Keep Your Portfolio Close in Risk and Diversification to a Desired Benchmark In: Computational Economics. [Full Text][Citation analysis] | article | 0 |
| 2006 | On a relationship between distorted and spectral risk measures In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
| 2006 | On a relationship between distorted and spectral risk measures.(2006) In: Faculty Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| Determining the total loss distribution from the moments of the exponential of the compound loss In: Journal of Operational Risk. [Full Text][Citation analysis] | article | 0 | |
| Computing the value-at-risk of aggregate severities In: Journal of Operational Risk. [Full Text][Citation analysis] | article | 0 | |
| A comparison of numerical approaches to determine the severity of losses In: Journal of Operational Risk. [Full Text][Citation analysis] | article | 0 | |
| Disentangling frequency models In: Journal of Operational Risk. [Full Text][Citation analysis] | article | 0 | |
| A maximum entropy approach to the loss data aggregation problem In: Journal of Operational Risk. [Full Text][Citation analysis] | article | 0 | |
| Modeling very large losses In: Journal of Operational Risk. [Full Text][Citation analysis] | article | 0 | |
| Modeling very large losses. II.() In: Journal of Operational Risk. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | ||
| Sample dependence of risk premiums In: Journal of Operational Risk. [Full Text][Citation analysis] | article | 0 | |
| Determination of the fraction of losses and their probabilities by type of risk and business line from aggregate loss data In: Journal of Operational Risk. [Full Text][Citation analysis] | article | 0 | |
| A numerical approach to the risk capital allocation problem In: Journal of Risk. [Full Text][Citation analysis] | article | 0 | |
| 2002 | Probabilistic Approach to an Image Reconstruction Problem In: Methodology and Computing in Applied Probability. [Full Text][Citation analysis] | article | 1 |
| 2012 | Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 1 |
| 2000 | Maxentropic construction of risk neutral measures: discrete market models In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 0 |
| 2014 | Fractional Moments and Maximum Entropy: Geometric Meaning In: Communications in Statistics - Theory and Methods. [Full Text][Citation analysis] | article | 0 |
| 2019 | Maximum entropy in the mean methods in propensity score matching for interval and noisy data In: Communications in Statistics - Theory and Methods. [Full Text][Citation analysis] | article | 0 |
| 2021 | Construction of contingency tables by maximum entropy in the mean In: Communications in Statistics - Theory and Methods. [Full Text][Citation analysis] | article | 0 |
| 2022 | Prediction in Riemannian metrics derived from divergence functions In: Communications in Statistics - Theory and Methods. [Full Text][Citation analysis] | article | 0 |
| 2025 | Prediction and estimation of random variables with infinite mean or variance In: Communications in Statistics - Theory and Methods. [Full Text][Citation analysis] | article | 0 |
| 2021 | Extracting pricing densities for weather derivatives using the maximum entropy method In: Journal of the Operational Research Society. [Full Text][Citation analysis] | article | 0 |
| 2008 | Bayesian parameter inference for models of the Black and Scholes type In: Applied Stochastic Models in Business and Industry. [Full Text][Citation analysis] | article | 0 |
| 2009 | Assessment and propagation of input uncertainty in tree‐based option pricing models In: Applied Stochastic Models in Business and Industry. [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 20 2025. Contact: CitEc Team