| 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 | |
This section shows the teaching given in degrees, masters and other officers studies in last 6 years.
| Subject and involved studies | Type | Total hours |
|---|---|---|
|
Calculus
Degree in Electrical Engineering
|
Core | 69 |
|
Differential Equations
Degree in Electrical Engineering
|
Core | 60 |
| Mathematical Modeling in Finance | Optional | 30 |
| Professional Software in Finance | Optional | 24 |
| Stochastic Numerical Methods | Optional | 22 |
| Subject and involved studies | Type | Total hours |
|---|---|---|
|
Calculus
Degree in Industrial Technology Engineering
Degree in Mechanical Engineering
|
Core | 66 |
|
Calculus
Automation and Industrial Electronics Engineering
Degree in Electrical Engineering
|
Core | 30 |
|
Linear Algebra
Automation and Industrial Electronics Engineering
Degree in Electrical Engineering
|
Core | 42 |
|
Mathematics 1
Degree in Naval Architecture and Ocean Engineering
Programa de simultaneidad del Grado en Ingeniería Mecánica y el Grado en Ingeniería Naval y Oceánica
|
Core | 36 |
|
Professional Software in Finance
Máster Universitario en Matemática Industrial
|
Optional | 21 |
| Subject and involved studies | Type | Total hours |
|---|---|---|
|
Calculus
Automation and Industrial Electronics Engineering
Degree in Electrical Engineering
|
Core | 117 |
|
Calculus
Degree in Industrial Technology Engineering
Degree in Mechanical Engineering
|
Core | 30 |
|
Stochastic Numerical Methods
Máster Universitario en Matemática Industrial
|
Optional | 12 |
| Subject and involved studies | Type | Total hours |
|---|---|---|
|
Linear Algebra
Automation and Industrial Electronics Engineering
Degree in Electrical Engineering
|
Core | 138 |
| Subject and involved studies | Type | Total hours |
|---|---|---|
|
Mathematics
Degree in Biology
|
Core | 60 |
| Subject and involved studies | Type | Total hours |
|---|---|---|
|
Mathematics
Degree in Biology
|
Core | 39 |
Defined tutoring by teacher for 2019/2020 academic course.
| Quarter | Day | Site |
|---|---|---|
| 1st quarter |
Thursday
10:00 a 12:00 |
Edificio CITIC |
| Quarter | Day | Site |
|---|---|---|
| 1st quarter |
Monday
11:30 a 12:30 |
Despacho 204 |
| 1st quarter |
Tuesday
09:00 a 10:30 |
Despacho 204 |
| 1st quarter |
Wednesday
11:00 a 12:30 |
Despacho 204 |
No available EOG works or final master thesis directed by current teacher since 2013 year.
Select merit type and year to query research merits.
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 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 |
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 |
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 |
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) |