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All Journal Jurnal Matematika Buletin Udayana Mengabdi E-Jurnal Matematika
Komang Dharmawan
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Education Mathematics

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PENDAMPINGAN KEGIATAN EKSRAKURIKULER KIR DALAM UPAYA MENINGKATKAN KUALITAS SEKOLAH SMA DWIJENDRA DENPASAR Komang Dharmawan; Y. Ramona; N. N. Rupiasih; I G. A. Widagda
Buletin Udayana Mengabdi Vol 19 No 3 (2020): Buletin Udayana Mengabdi
Publisher : Lembaga Penelitian dan Pengabdian kepada Masyarakat

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Abstract

Youth Scientific Work (KIR) basically aims to trigger curiosity about natural phenomena related to science and technology. KIR can also increase the ability to think critically about natural phenomena and increase creativity that fosters creative ability and critical thinking. The purpose of this assistance is to introduce research methods for groups of teachers so students get better quality coaching. The mentoring method applied is In-House-Training, which is the implementation of mentoring at the relevant school. In this assistance 4 scientific works have been produced by high school students of Dwijendra Denpasar who are ready to be presented in KIR competitions both regionally and nationally.
Aplikasi Algoritma Biseksi dan Newton-Raphson dalam Menaksir Nilai Volatilitas Implied Komang Dharmawan; I Nyoman Widana
Jurnal Matematika Vol 1 No 2 (2011)
Publisher : Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

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Abstract

Volatilitas adalah suatu besaran yang mengukuran seberapa jauh suatu harga sahambergerak dalam suatu periode tertentu dapat juga diartikan sebagai persentase simpanganbaku dari perubahan harga harian suatu saham. Menurut teori yang dikembangkan oleh Black-Scholes in 1973, semua harga opsi dengan ’underlying asset’ dan waktu jatuh tempo yang samatetapi memiliki nilai exercise yang berbeda akan memiliki nilai volatilitas implied yang sama.Model Black-Scholes dapat dipakai mengestimasi nilai volatilitas implied dari suatu sahamdengan mencari sulusi numerik dari persamaan invers dari model Black-Scholes. Makalah inimendemonstrasikan bagaimana menghitung nilai volatilitas implied suatu saham dengan mengasumsikanbahwa model Black-schole adalah benar dan suatu kontrak opsi dengan denganumur kontrak yang sama akan memiliki harga yang sama. Menggunakan data harga opsi SonyCorporation (SNE), Cisco Systems, Inc (CSCO), dan Canon, Inc (CNJ) diperoleh bahwa, ImpliedVolatility memberikan harga yang lebih murah dibandingkan dengan harga opsi darivolatilitas yang dihitung dari data historis. Selain itu, dari hasil iterasi yang diperoleh, metodeNewton-Raphson lebih cepat konvergen dibandingkan dengan metode Bisection.
PENENTUAN HARGA KONTRAK OPSI KOMODITAS EMAS MENGGUNAKAN METODE POHON BINOMIAL I GEDE RENDIAWAN ADI BRATHA; KOMANG DHARMAWAN; NI LUH PUTU SUCIPTAWATI
E-Jurnal Matematika Vol 6 No 2 (2017)
Publisher : Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24843/MTK.2017.v06.i02.p153

Abstract

Holding option contracts are considered as a new way to invest. In pricing the option contracts, an investor can apply the binomial tree method. The aim of this paper is to present how the European option contracts are calculated using binomial tree method with some different choices of strike prices. Then, the results are compared with the Black-Scholes method. The results obtained show the prices of call options contracts of European type calculated by the binomial tree method tends to be cheaper compared with the price of that calculated by the Black-Scholes method. In contrast to the put option prices, the prices calculated by the binomial tree method are slightly more expensive.
CONTROL DIFFUSION PROCESSES WITH LIPSCHITZ CONTINUITY OF DRIFTS Komang Dharmawan
Jurnal Matematika Vol 2 No 1 (2012)
Publisher : Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24843/JMAT.2012.v02.i01.p23

Abstract

Control diffusion processes has been found in a wide field of applicationsas in stochastic optimal control and in mathematical finance via the theory ofhedging and nonlinear pricing theory for imperfect markets. In this paper we discussthe control diffusion process with time and space dependent coefficients and localLipschitz continuity of the drift. The results show that the controlled process Xs;;utis independent of control u for a constant.
ESTIMASI VOLATILITAS STOKASTIK CRYPTOCURRENCY BITCOIN MENGGUNAKAN MODEL HESTON-MILSTEIN NI PUTU WIDYA ISWARI DEWI; KOMANG DHARMAWAN; I WAYAN SUMARJAYA
E-Jurnal Matematika Vol 11 No 4 (2022)
Publisher : Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24843/MTK.2022.v11.i04.p383

Abstract

Volatility is a quantity that measures how far a stock or cryptocurrency price moves in a certain period. To measure volatility properly, it can be done by using volatility modeling. The stochastic volatility model is one of the models used to predict volatility in a time series data, one of the stochastic volatility model is the Heston model. There are two schemes for estimating volatility using the Heston model, namely the Euler scheme and the Milstein scheme. The purpose of this study is to compare the estimation results of Bitcoin volatility with the two schemes. In using the Heston model, several parameters such as , , dan are needed. This parameter is calculated using the maximum likelihood estimation method. The results of the calculation of these parameters, respectively, are = 29.9996, =0.1464, and =2.1164. With the help of these three parameters, volatility estimation is generated. In this study, the Milstein scheme produces a lower volatility value than the Euler scheme.
PENENTUAN NILAI PREMI ASURANSI PERTANIAN BERBASIS HARGA INTERNASIONAL MENGGUNAKAN MODEL MEAN REVERSION DENGAN MUSIMAN I NYOMAN BRYAN ANDIKA; KOMANG DHARMAWAN; DESAK PUTU EKA NILAKUSMAWATI
E-Jurnal Matematika Vol 12 No 1 (2023)
Publisher : Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24843/MTK.2023.v12.i01.p401

Abstract

The seasonal cycle causes cocoa price movements in the international market to fluctuate. This certainly affects the development of cocoa prices at the producer level, causing uncertainty about the prices received by farmers. International price-based agricultural insurance is an alternative to protect farmers against global price fluctuations. Compensation is given if the global price of cocoa falls below the agreed trigger value. This study aims to calculate the fair premium value for agricultural insurance based on international prices for cocoa in the Tabanan Regency, Bali, which was simulated using a mean reversion model with seasonality. To perform the simulation, the first step is to estimate the parameters of the seasonal model and the mean reversion model. Next, simulate the international price of cocoa. Then, determine the trigger value based on the percentile of the simulation data. Finally, calculate the premium value using the cash-or-nothing put option with the Black-Scholes model. The results show that the premium value which is considered fair lies between 5,77% to 11,08% of the insured value.
Co-Authors Desak Putu Eka Nilakusmawati I G. A. Widagda I GEDE RENDIAWAN ADI BRATHA I NYOMAN BRYAN ANDIKA I Nyoman Widana I Wayan Sumarjaya Ni Luh Putu Suciptawati Ni Nyoman Rupiasih NI PUTU WIDYA ISWARI DEWI Y. Ramona