Dr Maria del Carmen Frau Gomila
- 971172090 (2090)
- Despatx DB020 / Associats Economia de l'Empresaplanta baixaGaspar Melchor de Jovellanos
Born in Manacor (1977). Assistant Professor in the Department of Business Economics at the Universitat de les Illes Balears since 2022. BSc in Economics at UIB (2004), MSc in Quantitative Finance at AFI (2004), MSc in Banking and Quantitative Finance at UCLM (2010), and PhD in Economics and Quantitative Finance at UCM (2022) cum laude with international mention.
Adjunct professor at UCM (2018-2020). Teaching experience in undergraduate studies in financial theory (UIB, UCM), and microeconomics (UCM). She has also taught at a continuous training course at UCM (2020) on valuation of futures and options.
She comes from a 20-year professional career in private companies as quantitative analyst (quant), at both nationally (Intermoney, CRF, Nfoque - Madrid) and international (Deloitte - London) level, specialising in the design and implementation of in-house option valuation and market risk measurement (VaR) engines.
Researcher specialised in quantitative finance on energy commodities, specifically in the valuation of derivatives seeking analytical expressions using Fourier transforms. Her research has been published in journals of recognised international prestige. She has presented her research at national and international conferences.
· Carme Frau, Viviana Fanelli (2023). Seasonality in Commodity Prices: New Approaches for Pricing Plain Vanilla Options. Annals of Operations Research; DOI: 10.1007/s10479-022-05128-x
· John Crosby, Carme Frau (2022). Jumps in Commodity Prices: New Approaches for Pricing Plain Vanilla Options. Energy Economics; DOI: 10.1016/j.eneco.2022.106302
Office HoursYou need to book a date with the professor in order to attend a tutoring session
Subjects taught. Academic Year 2023-24
- 21222 - Final Degree Project in Business Administration. Double degree in Business Administration and Law - Majorca.
- 21222 - Final Degree Project in Business Administration. Degree in Business Administration - Majorca.
- 21222 - Final Degree Project in Business Administration. Double Degree in Business Administration and Tourism - Majorca.
- 20615 - Financial Economics. Degree in Economics - Majorca.
- 20615 - Financial Economics. Double degree in Economics and Tourism - Majorca.