Solutions of Ginzburg-Landau equations coupled with three-dimensional
Maxwell equations reveal an intriguing magnetic response of small supe
rconducting particles, qualitatively different from the two-dimensiona
l approximation but in agreement with recent experiments. Depending on
the radius and thickness, first or second order transitions are found
for the normal to superconducting state. For a sufficiently large rad
ius of the disk, several transitions in the superconducting phase are
obtained which correspond to different angular momentum giant vortex s
tates. The incorporation of the finite thickness in the calculation is
crucial in order to obtain agreement with the position and the size o
f these jumps, and the line shape and magnitude of the magnetization c
urves.