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All Journal Jurnal Matematika Buletin Udayana Mengabdi Prosiding Seminar Nasional MIPA BIOTROPIA - The Southeast Asian Journal of Tropical Biology Jurnal Matematika Sains dan Teknologi BAREKENG: Jurnal Ilmu Matematika dan Terapan JTAM (Jurnal Teori dan Aplikasi Matematika) Communication in Biomathematical Sciences International Journal of Applied Mathematics and Computing. E-Jurnal Matematika
Komang Dharmawan
Prodi Matematika FMIPA Universitas Udayana
Agriculture, Biological Sciences & Forestry Biochemistry, Genetics & Molecular Biology Computer Science & IT Control & Systems Engineering Economics, Econometrics & Finance Education Energy Engineering Immunology & microbiology Mathematics Mechanical Engineering Physics Social Sciences Transportation Veterinary Other

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Journal : Jurnal Matematika

 1 
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 Nilai VaR Dinamis Indeks Saham Menggunakan Peak-Over Threshold dan Block Maxima Komang Dharmawan
Jurnal Matematika Vol 2 No 2 (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.i02.p24

Abstract

Kejadian ekstrim pada bidang finansial pada periode 2008/2009  telah menyadarkan para praktisi maupun peneliti di bidang finansial untuk mengevaluasi kembali teknik-teknik pemodelan risiko finansial.  Ini menegaskan bahwa diperlukan model-model matematika atau teknik pemodelan yang lebih baik di bidang manajemen risiko finansial yang dapat mengatisipasi adanya kejadian-kejadian yang jarang muncul seperti pada periode tahun tersebut di atas. Metode yang paling sesuai dalam menangani kejadian kejadian ekstrim seperti ini adalah Extreme Value Theory (EVT). Dalam pemodelan Value at Risk(VaR), tingkat pengembalian (return) suatu data finansial biasanya ditaksir menggunakan suatu pendekatan yang mengasumsikan bahwa data tersebut terdistrubusi secara normal. Namun asumsi ini tidak merefleksikan perilaku nilai return yang sesungguhnya, sebab distribusi data finansial menunjukkan adanya ekor distribusi yang lebih gemuk (heavy-tail), yaitu ekor distribusi turun lebih pelan dibandingkan dengan ekor distribusi normal.  Ini berarti peluang munculnya nilai ekstrim lebih besar. Sehingga pendekatan secara konvensional dianggap mengabaikan nilai-nilai ekstrim ini. Paper ini membahas penerapkan EVT pada data finansial. Kemudian menghitung nilai VaR dinamis dari nilai indeks IHSG (Jakarta Stock Exchange) periode 28 Desember 2007-28 Desembar 2012. EVT dipakai untuk memprediksi VaR statis dan EVT-GARCH(1,1) dipakai untuk memprediksi VaR dinamis.
Estimasi Nilai AVaR Menggunakan Model GJR dan Model GARCH Komang Dharmawan
Jurnal Matematika Vol 5 No 2 (2015)
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.2015.v05.i02.p61

Abstract

Dalam pemodelan harga saham, sering dihadapkan pada suatu pertanyaan, apakah model GARCH atau GJR yang lebih tepat merepresentasikan pergerakan harga saham? Secara teori, model GJR adalah perbaikan dari model GARCH, karena model GJR melibatkan parameter ketaksimetrisan. Untuk menjawab pertanyaan ini, maka dipandang perlu untuk melakukan kajian terhadap kinerja kedua model tersebut khususnya dalam mengestimasi risiko pasar. Tujuan dari makalah ini adalah  mengestimasi nilai VaR dan AVaR menggunakan model model GARCH dan GJR kemudian membandingkan kinerja kedua model tersebut dalam memodelkan risiko investasi pada saham PT. Telkom. Hasil kajian menunjukan bahwa VaR dan AVaR dengan pendekatan  model GJR memberikan agresifitas yang lebih tinggi jika dibandingkan dengan model GARCH.
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

Show Abstract | Download Original | Original Source | Check in Google Scholar

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.
Peran Pemerintah, Modal Sosial, dan Kinerja Usaha Terhadap Kesejahteraan Subjektif Pelaku Industri Tenun di Kabupaten Jembrana, Bali G.K. Gandhiadi; Komang Dharmawan; I Putu Eka Nila Kencana
Jurnal Matematika Vol 8 No 1 (2018)
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.2018.v08.i01.p95

Abstract

Weaving industry is one of the creative industries based on local wisdom of Bali, need to be developed with the concept of modern entrepreneurship (orange economy). Regional economic development strategies need to take into account the dynamics of local community life or social capital in addition to the role of government and other physical capital, in order to improve the performance of weaving industry in Jembrana regency, Bali. Based on empirical theory and facts, this study aims to analyze how the direct and indirect influence of the role of government, social capital and business performance on and subjective wellbeing on the business actors of weaving industry in Jembrana, Bali. Through the modeling of the resulting structural equations is studied: (1) the direct influence of the government's role on business performance and subjective well-being; (2) the direct influence of social capital on business performance and subjective wellbeing; (3) the direct impact of business performance on subjective well-being; (4) the indirect and total influence of the government's role on subordinate welfare mediated by business performance; and (5) the indirect and total social capital influences on subjective well-being mediated by business performance. Based on surveys and structured interviews on 70 business actors of weaving industry in Jembrana District, Bali through data analysis techniques using SEM-PLS with the help of Smart PLS 3.0 software, in the business actors weaving industry found that: (1) directly the role of government have positive and significant (2) direct social capital has a positive and significant effect on business performance, but not significant to subjective wellbeing, (3) directly the business performance have a positive and significant effect on subjective wellbeing, (4) the role of the government indirectly has a positive but insignificant effect on subjective wellbeing, but through full mediation of business performance, the role of the government has a positive and significant effect on subjective wellbeing, and (5) social capital indirectly has a positive and significant effect on the subjective achievement, so totally through the full mediation of business performance, social capital has a positive and significant impact on subjective wellbeing although it directly does not have a significant effect.
Estimasi Risiko Kredit Obligasi Dengan Suku Bunga Stokastik Berdasarkan Probability Of Default Surma, Odilia Gratiaplena; Dharmawan, Komang; Ida Harini, Luh Putu
Jurnal Matematika Vol 13 No 2 (2023)
Publisher : 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.2023.v13.i02.p166

Abstract

Bonds as a fairly safe short-term and long-term investment product certainly still have potential investment risks. One of the risks in bond products is credit risk in the form of default, where the issuer fails to pay obligations to investors. The Merton model is one method that can be applied in estimating credit risk on bonds. The interest rate applied in the Merton model is generally a constant interest rate so that in this study the constant interest rate will be replaced by the stochastic interest rate of the Cross Ingersoll Ross (CIR) model. This study aims to calculate the probability of default by applying the CIR model interest rate in the Merton model of BRI bank based on a bond value of 605 billion and a bond contract period of 7 years. The results of the calculation of the CIR model interest rate of 7.28% by substituting it into the Merton model calculation obtained a probability of default value of 0.0% which indicates that there is no risk of default by BRI bank at maturity
Co-Authors A.A DWI MARSITA ANGGRAENI AA Sudharmawan, AA ADE AYU NITA DEVI ANJAR ANGGRAINI AULIA ATIKA PRAWIBTA SUHARTO Batho, Yanuarius Felix DERY MAULANA DESAK PUTU DEVI DAMIYANTI Desak Putu Eka Nilakusmawati DEVI NANDITA. N DEWA AYU AGUNG PUTRI RATNASARI ELVINA LIADI FEBBY VERENNIKA Fransisca Emmanuella Aryossi G. K Gandhiadi G. K. GANDHIADI G.K. GANDHIADI Gandhiadi, G K Gautama, P.W. GEDE SUMENDRA HAMITA HAKMI HERLINA HIDAYATI I G. A. Widagda I GEDE ARYA DUTA PRATAMA I GEDE ERY NISCAHYANA I GEDE RENDIAWAN ADI BRATHA I Gusti Ayu Made Srinadi I GUSTI AYU MITA ERMIA SARI I GUSTI MADE AYU ANGGUN TIARA PRATINI I GUSTI PUTU NGURAH MAHAYOGA I KOMANG GDE SUKARSA I KOMANG TRY BAYU MAHENDRA I NYOMAN BRYAN ANDIKA I Nyoman Widana I Putu Eka Nila Kencana I PUTU OKA PARAMARTHA I PUTU YUDHI PRATAMA I Wayan Sumarjaya I WAYAN WIDHI DIRGANTARA ICHA WINDA DIAN SAFIRA IDA AYU EGA RAHAYUNI IDA AYU GDE KHASMANA PUTRI IDA AYU PUTU CANDRA DEWI IDA BAGUS ANGGA DARMAYUDA Ida Bagus Gede Darmayasa IKHSAN AKBAR Inabuy, Fainmarinat selviani INTAN AWYA WAHARIKA INTAN LESTARI IRENE MAYLINDA PANGARIBUAN KADEK FRISCA AYU DEVI KADEK INTAN SARI KADEK MIRA PITRIYANTI Kartika Sari Ketut Jayanegara LUH HENA TERECIA WISMAWAN PUTRI LUH PUTU IDA HARINI Luh Putu Ratna Sundari LUSIA EMITRIANA MAGOL MADE ASIH MAKBUL MUFLIHUNALLAH MERARY SIANIPAR MIRANDA NOVI MARA DEWI N. N. Rupiasi NABILA NUR JANNAH NI KADEK NITA SILVANA SUYASA NI KADEK PUSPITAYANTI Ni Ketut Tari Tastrawati NI LUH NIKASARI NI LUH PUTU KARTIKA WATI Ni Luh Putu Suciptawati Ni Made Asih NI MADE NITA ASTUTI NI NYOMAN AYU ARTANADI Ni Nyoman Rupiasih NI PUTU AYUNDA SURYA DEWI Ni Putu Leony Putri Paramita NI PUTU WIDYA ISWARI DEWI NI WAYAN UCHI YUSHI ARI SUDINA PUTU AMANDA SETIAWANI PUTU AYU DENI Putu Eka Sudaryatma PUTU IKA OKTIYARI LAKSMI PUTU MIRAH PURNAMA D. PUTU SAVITRI DEVI PUTU WIDYA ASTUTI Ratna Sari Widiastuti RISKA YUNITA SAYID QOSIM SORAYA SARAH AFIFAH Surma, Odilia Gratiaplena Susanti Marito Barus Swastika, Putu Veri Tastrawati, N.K. Teriyani, Ni Made Tjokorda Bagus Oka ULFA MAULIDA VIAN RISKA AYUNING TYAS VIKY AMELIAH WAYAN ARTHINI Wijayakusuma, I Gusti Ngurah Lanang WIRYA SEDANA Yan Ramona YOHANA Th.V. SERAN YOSEVA AGUNG PRIHANDINI