PhD María Del Carmen Calvo Garrido  

(INT-SU)

Department Mathematics
Knowledgment area Applied Mathematics
Research  Research group Modelos y métodos numéricos en ingeniería y ciencias aplicadas
Research lines Modelos matemáticos en finanzas cuantitativas, valoración de productos derivados, ecuaciones en derivadas parciales, ecuaciones integro-diferenciales, métodos numéricos
Keywords Modelos matemáticos en finanzas cuantitativas, ecuaciones en derivadas parciales, ecuaciones integro-diferenciales, métodos numéricos, simulación numérica
Contacto UDC directory
Orcid id0000-0002-5114-4894 ResearcherIDO-1722-2015

Teaching

Subjects taught

This section shows the teaching given in degrees, masters and other officers studies in last 6 years.

Subject and involved studies Total hours
Calculus
Degree in Industrial Technology Engineering
Degree in Mechanical Engineering
30
Calculus
Automation and Industrial Electronics Engineering
Degree in Electrical Engineering
30
Linear Algebra
Automation and Industrial Electronics Engineering
Degree in Electrical Engineering
60
Professional software in finance
Máster Universitario en Matemática Industrial
21
Stochastic numerical methods
Máster Universitario en Matemática Industrial
18
Subject and involved studies Total hours
Calculus 117
Calculus 30
Stochastic numerical methods 12
Subject and involved studies Total hours
Linear Algebra
Automation and Industrial Electronics Engineering
Degree in Electrical Engineering
138
Subject and involved studies Total hours
Mathematics
Degree in Biology
60
Subject and involved studies Total hours
Mathematics
Degree in Biology
39

Defined tutoring by teacher for 2017/2018 academic course.

Faculty of Computer Science

Quarter Day Site
2nd quarter Monday
10:30 a 12:30
Edificio CITIC

Polytechnic University College

Quarter Day Site
2nd quarter Tuesday
09:30 a 13:30
Despacho 204

EOG works and final master thesis directed

No available EOG works or final master thesis directed by current teacher since 2013 year.

Research results

Select merit type and year to query research merits.

Axudas para acreditación, estructuración e mellora de Centros de Investigación Singulares do Sistema Universitario de Galicia

Funding entity Consellería de Cultura, Educación e Ordenación Universitaria
Main researches M. G. Penedo
Type Proyecto Programas Autonomicos
Dates From 01/01/2016 to 30/11/2019

METODOS MATEMATICOS Y SIMULACION NUMERICA PARA RETOS EN FINANZAS CUANTITATIVAS, MEDIOAMBIENTE, BIOTECNOLOGIA Y EFICIENCIA INDUSTRIAL

Funding entity Ministerio de Economía y Competitividad (MINECO)
Main researches Carlos Vázquez Cendón
Type Proyecto Programas Nacionales
Dates From 30/12/2016 to 29/12/2019

Rede Tecnolóxica de Matemática Industrial

Funding entity Dirección General de I+D de la Xunta de Galicia
Main researches Alfredo Bermúdez de Castro López-Varela
Type Proyecto Programas Autonomicos
Dates From 01/01/2014 to 31/12/2015

Modelado matemático, análisis y simulación numérica de problemas en finanzas y seguros, procesos industriales, biotecnología y medioambiente

Funding entity Ministerio de Economía y Competitividad (MINECO)
Main researches Carlos Vázquez Cendón
Type Proyecto Programas Nacionales
Dates From 01/01/2014 to 31/12/2017

HIPeCA-High performance calibration and computation in finance

Funding entity German Federal Ministry of Education and Research
Main researches Carlos Vázquez Cendón/Matthias Ehrhardt
Type Proyecto UE
Dates From 01/01/2014 to 31/12/2015

axudas para a consolidación e estruturación de unidades de investigación competitivas do Sistema universitario de Galicia. Grupos de referencia competitica. GRC2014/044

Funding entity Consellería de Cultura, Educación e Ordenación Universitaria
Main researches Carlos Vázquez Cendón
Type Proyecto Programas Autonomicos
Dates From 01/01/2014 to 31/12/2017

axudas para a consolidación e estruturación de unidades de investigación competitivas do Sistema Universitario de Galicia. Grupos de referencia competitiva. CN2011/004

Funding entity Consellería de Cultura, Educación e Ordenación Universitaria
Main researches Carlos Vázquez Cendón
Type Proyecto Programas Autonomicos
Dates From 01/01/2011 to 31/12/2013

Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options

Authors María del Carmen Calvo Garrido, Carlos Vázquez
Journal NONLINEAR ANALYSIS-REAL WORLD APPLICATIONS Vol. 39 (pages 157 to 165)

Pricing swing options in electricity markets with two stochastic factors using a partial differential equations approach

Authors María del Carmen Calvo Garrido, Matthias Ehrhardt, Carlos Vázquez
Journal Journal of Computational Finance Vol. 20 (pages 81 to 107)

A new numerical method for pricing fixed-rate mortgages with prepayment and default options

Authors María del Carmen Calvo Garrido, Carlos Vázquez
Journal INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS Vol. 93 (pages 761 to 780)

Pricing of mortgages with prepayment and default options: numerical methods for the case with ajustable (floating) rate

Authors María del Carmen Calvo Garrido, Carlos Vázquez
Journal SeMA Journal

Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance

Authors María del Carmen Calvo Garrido, Carlos Vázquez
Journal APPLIED MATHEMATICS AND COMPUTATION Vol. 271 (pages 730 to 742)

Pricing pension plans under jump-diffusion models for the salary

Authors María del Carmen Calvo Garrido, Carlos Vázquez
Journal COMPUTERS & MATHEMATICS WITH APPLICATIONS (1987) Vol. 68 Num. 12 (pages 1933 to 1944)
DOI https://doi.org/10.1016/j.camwa.2014.10.002

Mathematical analysis and numerical methods for pricing pension plans allowing early retirement

Authors María del Carmen Calvo Garrido, Andrea Pascucci, Carlos Vázquez
Journal SIAM JOURNAL ON APPLIED MATHEMATICS Vol. 73 Num. 5 (pages 1747 to 1767)

Pricing pension plans based on average salary without early retirement: partial differential equation modeling and numerical solution

Authors María del Carmen Calvo Garrido, Carlos Vázquez
Journal Journal of Computational Finance Vol. 16 Num. 1 (pages 111 to 140)

PIDE modelling and numerical methods for pricing swing options in electricity markets with two stochastic factors

Authors M.C. Calvo-Garrido. M. Ehrhardt. C. Vázquez
Book Actas XXV Congreso de Ecuaciones Diferenciales y Aplicaciones, XV Congreso de Matemática Aplicada
Publishing: UP4, Institute of Sciences, S.L.
ISBN: 978-84-944402-1-2
Pages From 107 to 114

Pricing adjustable-rate mortgages with prepayment and default options

Authors M. C. Calvo-Garrido. Carlos Vázquez
Book Actas XXIV Congreso de ecuaciones diferenciales y aplicaciones/XIV Congreso de matemática aplicada
Publishing: Universidad de Cádiz.
ISBN: 978-84-9828-527-7
Pages From 779 to 785

Planes de pensiones basados en el salario medio: análisis matemático y solución numérica

Authors M. C. Calvo-Garrido. Andrea Pascucci. Carlos Vázquez
Book Actas XXIII Congreso de ecuaciones diferenciales y aplicaciones/XIII Congreso de matemática aplicada
Publishing: Universitat Jaume I .
ISBN: 978-84-8021-963-1
Pages From 18 to 26

Pension plans with defined benefits based on salary: mathematical modeling, analysis and numerical simulation
Congreso Bienal de la Real Sociedad Matemática Española Zaragoza 2017
National

Authors M.C. Calvo-Garrido, C. Vázquez
Place Zaragoza (España)

Pricing swing options with jump-diffusion models and a partial integro-differential equations approach
Commodity and Energy Markets 2017 - CEM2017
International

Authors M.C. Calvo-Garrido, C. Vázquez
Place Oxford (Reino Unido)

PIDE modelling and numerical methods for pricing swing options in electricity markets with two stochastic factors
CEDYA + CMA 2017 - XXV CONGRESO DE ECUACIONES DIFERENCIALES Y APLICACIONES / XV CONGRESO DE MATEMÁTICA APLICADA
National

Authors M.C. Calvo-Garrido, M. Ehrhardt, C. Vázquez
Place Cartagena (España)

PDE methods for swing options on electricity prices depending on two stochastic factors
Applied Mathematics Techniques for Energy Markets in Transition
International

Authors M.C. Calvo-Garrido, M. Ehrhardt, C. Vázquez
Place Leiden (Países Bajos)

PDE modeling and numerical methods for swing option pricing in electricity markets
19th European Conference on Mathematics for Industry (ECMI2016)
International

Authors María del Carmen Calvo Garrido, Matthias Ehrhardt, Carlos Vázquez
Organization European Consortium for Mathematics in Industry
Place Santiago de Compostela (España)

PDE models for pricing fixed rate morgages and their insurance and coinsurance
Second International Congress on Actuarial Sciences and Quantitative Finance
International

Authors M.C. Calvo-Garrido, C. Vázquez
Place Cartagena de Indias (Colombia)

Pricing Adjustable-Rate Mortgages with prepayment and default options
XXIV Congress on Differential Equations and Applications/XIV Congress on Applied Mathematics
National

Authors María del Carmen Calvo Garrido, Carlos Vázquez
Organization Universidad de Cádiz (UCA)
Place Cádiz (España)

Pricing xed-rate mortgages under jump-di usion models for the house value
International Conference on Computational and Mathematical Methods in Science and Engineering, CMMSE 2014
International

Authors María del Carmen Calvo Garrido, Carlos Vázquez
Organization Univ. de Cádiz
Place Rota (España)

PDE and PIDE models for defined benefit pension plans
Sincronizando teoremas, tests y algoritmos
National

Authors María del Carmen Calvo Garrido, Carlos Vázquez
Place Coruña, A (España)

Pricing fixed-rate mortgages under jump-diffusion models for the house value
14th International Conference on Mathematical Methods in Science and Engineering (CMMSE 2014)
International

Authors M.C. Calvo-Garrido, C. Vázquez
Place Rota (España)

Planes de pensiones basados en el salario: análisis matemático y resolución numérica
XXIII Congreso de Ecuaciones Diferenciales y Aplicaciones. XIII Congreso de Matemática Aplicada
National

Authors María del Carmen Calvo Garrido, Andrea Pascucci
Organization Sociedad Española de Matemática Aplicada
Place Castellón de la Plana/Castelló de la Plana (España)

New numerical methods for pricing fixed rate mortgages with prepayment and default options
Mathematical Modelling in Engineering and Human Behaviour 2013
International

Authors M.C. Calvo-Garrido, Carlos Vázquez
Place Valencia (España)

Pricing pension plans based on average salary allowing early retirement: modeling and numerical methods
XV Escuela Hispano-Francesa Jacques-Louis Lions sobre Simulación Numérica en Física e Ingeniería (EHF2012)
International

Authors M.C. Calvo-Garrido, A. Pascucci, Carlos Vázquez
Place Torremolinos (España)

Numerics and PDEs in Finance
Quantitative Methods in Financial and Insurance Mathematics
International

Authors Carlos Vázquez, María del Carmen Calvo Garrido
Place Leiden (Países Bajos)

A Lagrange-Galerkin method for the numerical solution of a pension plan based on salary model
Congresso de Métodos Numéricos em Engenharia
International

Authors María del Carmen Calvo Garrido, Carlos Vázquez
Organization Associaçao Portuguesa de Mecânica Teórica, Aplicada e Computational (APMTAC)
Place Coimbra (Portugal)

Numerical methods to solve a PDE model for pricing pension plans based on average salary with early retirement
International Workshop on Numerical Methods in Computational Finance
International

Authors María del Carmen Calvo Garrido, Carlos Vázquez
Place Frankfurt (Alemania)

Numerical solution of PDE models for retirement plans based on average salary
Congress SIMAI-SEMA 2010
International

Authors María del Carmen Calvo Garrido, Carlos Vázquez
Organization Sociedad Española de Matemáica Aplicada (SEMA) y Sociedad Italiana de Matemática Aplicada e Industrial (SIMAI)
Place Cagliari (Italia)

Binomial trees for Markovian functional Swap Market Models
1ER HISPANO-MOROCCAN DAYS ON APPLIED MATHEMATICS AND STATISTICS HMAMS
International

Authors Carlos Vázquez, María Suárez Taboada, Carmen Calvo
Place Tetuan (Marruecos)

Binomial trees for Markovian functional Swap Market Models: calibration and pricing of interest rate derivatives
XIII Escuela Jacques-Louis Lions Hispano-Francesa sobre Simulación Numérica en Física e Ingeniería
International

Authors Carlos Vázquez, María Suárez Taboada, María del Carmen Calvo Garrido
Place Valladolid (España)