PhD María Del Carmen Calvo Garrido  

Profesora axudante doutora (AXU-DR)

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 Scopus56076189500

Teaching

Subjects taught

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

Subject and involved studies Distance hours Total hours
Final Year Dissertation. Mention in Computer Engineering 0 2
Final Year Dissertation. Mention in Computer Science 0 1
Final Year Dissertation. Mention in Software Engineering 0 2.5
Master's Dissertation 0 2.5
Mathematics 1 0 16
Mathematics I 0 24
Mathematics I 0 39
Mathematics II 0 63
Numerical and Statistical Methods 0 39
Professional Software in Finance 0 18
Subject and involved studies Distance hours Total hours
Final Year Dissertation. Mention in Computer Science
Degree in Computer Engineering
0 1.5
Final Year Dissertation. Mention in Information Technology
Degree in Computer Engineering
0 5.5
Mathematics 1
Concurrent Programme of Studies for Degree in Biology and Degree in Chemistry
Degree in Chemistry by the University of A Coruña
0 32
Mathematics 2
Degree in Chemistry by the University of A Coruña
0 24
Mathematics I
Degree in Nautic and Maritime Transport
0 24
Mathematics I
Degree in Marine Engineering
0 39
Mathematics II
Degree in Marine Engineering
0 39
Numerical and Statistical Methods
Degree in Marine Engineering
0 39
Professional Software in Finance
Máster Universitario en Matemática Industrial
0 18
Subject and involved studies Distance hours Total hours
Mathematical Modeling in Finance
Máster Universitario en Matemática Industrial
Máster Universitario en Matemática Industrial
0 12
Mathematics
Degree in Biology
0 16
Mathematics 1
Concurrent Programme of Studies for Degree in Biology and Degree in Chemistry
Degree in Chemistry by the University of A Coruña
0 32
Mathematics 2
Degree in Chemistry by the University of A Coruña
0 12
Mathematics I
Degree in Marine Technologies
0 0
Mathematics I
Degree in Marine Engineering
0 39
Mathematics II
Degree in Marine Technologies
0 0
Mathematics II
Degree in Marine Engineering
0 52
Numerical and Statistical Methods
Degree in Marine Engineering
0 48
Professional Software in Finance
Máster Universitario en Matemática Industrial
0 19
Subject and involved studies Distance hours Total hours
Differential Equations
Automation and Industrial Electronics Engineering
Degree in Electrical Engineering
0 30
Mathematical Modeling in Finance
Máster Universitario en Matemática Industrial
Máster Universitario en Matemática Industrial
0 14
Mathematics I
Degree in Marine Technologies
0 0
Mathematics I
Degree in Marine Engineering
0 51
Mathematics II
Degree in Marine Technologies
0 0
Mathematics II
Degree in Marine Engineering
0 51
Mathematics III
Degree in Marine Technologies
0 48
Professional Software in Finance
Máster Universitario en Matemática Industrial
0 19
Subject and involved studies Distance hours Total hours
Differential Equations
Automation and Industrial Electronics Engineering
Degree in Electrical Engineering
0 63
Mathematics II
Degree in Marine Technologies
0 90
Mathematics III
Degree in Marine Technologies
0 40
Professional Software in Finance
Máster Universitario en Matemática Industrial
0 24
Subject and involved studies Distance hours Total hours
Calculus
Automation and Industrial Electronics Engineering
Degree in Electrical Engineering
0 69
Differential Equations
Automation and Industrial Electronics Engineering
Degree in Electrical Engineering
0 60
Mathematical Modeling in Finance
Máster Universitario en Matemática Industrial
Máster Universitario en Matemática Industrial
0 30
Professional Software in Finance
Máster Universitario en Matemática Industrial
0 24
Stochastic Numerical Methods
Máster Universitario en Matemática Industrial
0 22

Defined tutoring by teacher for 2024/2025 academic course.

Faculty of Science

Quarter Day Site
1st quarter Thursday
15:00 a 17:00
MS TEAMS/Despacho A215

School of Nautical Science and Marine Engineering

Quarter Day Site
1st quarter Monday
09:30 a 10:30
MS TEAMS/Despacho 55
1st quarter Wednesday
15:00 a 17:00
MS TEAMS/Despacho 55
1st quarter Wednesday
09:30 a 10:30
MS TEAMS/Despacho 55

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.

Métodos matemáticos y simulación numérica en economía y finanzas cuantitativas, biotecnología, medioambiente e ingeniería

Funding entity Ministerio de Ciencia e Innovación
Main researches VÁZQUEZ CENDÓN, CARLOS
Type Proyecto Programas Nacionales
Dates From 01/09/2023 to 31/08/2026

AXUDAS PARA A CONSOLIDACIÓN E ESTRUTURACIÓN DE UNIDADES DE INVESTIGACIÓN COMPETITIVAS.GRC 2022

Funding entity Consellería de Educación
Main researches Carlos Vázquez Cendón
Type Proyecto Programas Autonomicos
Dates From 01/01/2022 to 20/11/2025

AXUDAS PARA A CONSOLIDACIÓN E ESTRUTURACIÓN DE UNIDADES DE INVESTIGACIÓN COMPETITIVAS.GRC

Funding entity Consellería de Cultura, Educación e Ordenación Universitaria
Main researches Carlos Vázquez Cendón
Type Proyecto Programas Autonomicos
Dates From 01/01/2019 to 20/11/2021

Axudas para a acreditación, estruturación e mellora de centros de investigación singulares e agrupacións estratéxicas consolidadas do Sistema universitario de Galicia, cofinanciadas polo Fondo Europeo de Desenvolvemento Rexional (Feder), no marco do programa operativo Feder Galicia 2014-2020

Funding entity Consellería de Cultura, Educación e Ordenación Universitaria
Main researches Manuel F. González 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 29/09/2020

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

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

HIPECA-High Performance Calibration and Computation in Finance

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

Modelos, análisis matemático y resolución numérica de algunos problemas en ciencia e ingeniería basados en EDPS (MTM2010-21135-C02-01)

Funding entity Ministerio de Ciencia e Innovación
Main researches Carlos Vázquez Cendón
Type Proyecto Programas Nacionales
Dates From 01/01/2011 to 30/06/2015

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

Model and numerical methods for pricing renewable energy certificate derivatives

Authors María A. Baamonde-Seoane, María del Carmen Calvo Garrido, Carlos Vázquez
Journal Communications in Nonlinear Science and Numerical Simulation Vol. 118
DOI https://doi.org/10.1016/j.cnsns.2022.107066

Pricing renewable energy certificates with a Crank-Nicolson Lagrange-Galerkin numerical method

Authors María A. Baamonde-Seoane, María del Carmen Calvo Garrido, Carlos Vázquez
Journal Journal of Computational and Applied Mathematics Vol. 422
DOI https://doi.org/10.1016/j.cam.2022.114891

Numerical solution of a nonlinear PDE model for pricing Renewable Energy Certificates (RECs)

Authors María A. Baamonde-Seoane, María del Carmen Calvo Garrido, Michael Coulon, Carlos Vázquez
Journal Applied Mathematics and Computation Vol. 404 (pages 126199 to 126199)

PDE models for the valuation of a defaultable coupon-bearing bond under an extended JDCEV model

Authors M.C. Calvo-Garrido, S. Diop, Andrea Pascucci, C. Vázquez
Journal Communications in Nonlinear Science and Numerical Simulation Vol. 102 (pages 1 to 12)

Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations

Authors M.C. Calvo-Garrido, Matthias Ehrhardt, Carlos Vázquez
Journal APPLIED NUMERICAL MATHEMATICS Vol. 139 (pages 77 to 92)

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 Num. 3 (pages 81 to 107)

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 Vol. 74 Num. 3 (pages 279 to 298)

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 Num. 5 (pages 761 to 780)

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

Modelling, mathematical analysis and numerical simulation to value derivatives related to renewable energy certificates

Autor María de los Angeles Baamonde Seoane
Director/s María Del Carmen Calvo Garrido; Carlos Vázquez Cendón
Scope Facultad de Informática
Qualification Sobresaliente Cum Laude

Numerical Methods for Pricing Renewable Energy Cer¿¿ficates and some Deriva¿ves
IV International Conference on Computational Finance (ICCF2022)
International

Authors María A. Baamonde-Seoane, María del Carmen Calvo Garrido, Carlos Vázquez
Organization BERGISCHE UNIVERSITAET WUPPERTAL
Place Wuppertal (Alemania)

Numerical Methods for Pricing Renewable Energy Cer¿¿ficates and some Deriva¿ves
IV International Conference on Computational Finance (ICCF2022)
International

Authors María A. Baamonde-Seoane, María del Carmen Calvo Garrido, Carlos Vázquez
Organization BERGISCHE UNIVERSITAET WUPPERTAL
Place Wuppertal (Alemania)

Model and Numerical Methods for Pricing Renewable Energy Certificate Derivatives
XXVII Congreso de Ecuaciones Diferenciales y Aplicaciones - XVII Congreso de Matemática Aplicada (XXVII CEDYA - XVII CMA)
National

Authors María A. Baamonde-Seoane, María del Carmen Calvo Garrido, Carlos Vázquez
Organization Universidad de Zaragoza (UNIZAR)
Place Zaragoza (España)

Pricing renewable energy certificates and some derivatives
Fields-CFI Workshop on Impacts of Climate Change on Economics, Finance, and Insurance 2022
International

Authors María A. Baamonde-Seoane, María del Carmen Calvo Garrido, Carlos Vázquez
Organization THE FIELDS INSTITUTE
Place Toronto (Canadá)

A nonlinear PDE model for pricing Renewable Energy Certificates
21st European Conference on Mathematics for Industry (ECMI 2021)
International

Authors María A. Baamonde-Seoane, María del Carmen Calvo Garrido, Michael Coulon, Carlos Vázquez
Place Online (Alemania)

A Nonlinear PDE Model for Pricing Renewable Energy Certificates
Canandian Applied and Industrial Mathematics Society 2021 (CAIMS 2021)
International

Authors María A. Baamonde-Seoane, María del Carmen Calvo Garrido, Michael Coulon, Carlos Vázquez
Organization Canadian Applied and Industrial Mathematics Society
Place Waterloo (Canadá)

PDE model and numerical methods for pricing Renewable Energy Certificates
XXVI Congreso de Ecuaciones Diferenciales y Aplicaciones / XVI Congreso de Matemática Aplicada (XXVI CEDYA / XVI CMA)
National

Authors María A. Baamonde-Seoane, María del Carmen Calvo Garrido, C. Vázquez
Organization Universidad de Oviedo (UNIOVI)
Place Gijón (España)

Pricing swing options in electricity markets with two stochastic factors: PIDE modelling and numerical solution
3rd International Conference on Computational Finance
International

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

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)

Positions

Academic or management positions held by teacher.

Consello do Departamento Matemáticas

PDI (Membros Natos)

From 15/03/2023.

Consello do Departamento Matemáticas

PDI (Membros Natos)