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All Journal Media Statistika Jurnal Ilmu Dasar Statistika CAUCHY: Jurnal Matematika Murni dan Aplikasi Jurnal Matematika & Sains Dharmakarya : Jurnal Aplikasi Ipteks Untuk Masyarakat Jurnal Teknik Industri: Jurnal Keilmuan dan Aplikasi Teknik Industri BAREKENG: Jurnal Ilmu Matematika dan Terapan Buletin Sumber Daya Geologi JTAM (Jurnal Teori dan Aplikasi Matematika) International Journal of Supply Chain Management Jambura Journal of Mathematics MAJAMATH: Jurnal Matematika dan Pendidikan Matematika Eksakta : Berkala Ilmiah Bidang MIPA International Journal of Global Operations Research International Journal of Quantitative Research and Modeling Industrial Research Workshop and National Seminar Jurnal Matematika Integratif In Search (Informatic, Science, Entrepreneur, Applied Art, Research, Humanism)
Endang Rusyaman
Departemen Matematika FMIPA Universitas Padjadjaran
Agriculture, Biological Sciences & Forestry Arts Humanities Astronomy Biochemistry, Genetics & Molecular Biology Chemical Engineering, Chemistry & Bioengineering Chemistry Civil Engineering, Building, Construction & Architecture Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Electrical & Electronics Engineering Energy Engineering Environmental Science Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Materials Science & Nanotechnology Mathematics Mechanical Engineering Physics Public Health Transportation Other

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Optimization Model for Agricultural Processed Products Supply Chain Problem in Bandung During Covid-19 Period Zahrani Irmansyah, Athaya; Chaerani, Diah; Rusyaman, Endang
Jurnal Teknik Industri: Jurnal Keilmuan dan Aplikasi Teknik Industri Vol. 23 No. 2 (2021): Dec 2021
Publisher : Institute of Research and Community Outreach - Petra Christian University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.9744/jti.23.2.83-92

Abstract

Coronavirus disease, commonly called Covid-19, is a virus that causes a pandemic in almost every country globally. One of those countries is Indonesia, which has many big cities with dense populations. This study was conducted in Bandung, the capital of West Java, Indonesia. As a result of the Covid-19 pandemic, Bandung was seriously affected in various ways. One was the disruption in the distribution of the agricultural processed products supply chain, which changes producers and consumers' behaviour. Furthermore, as an effort by the government to break the spread of the virus, health protocols limit the distribution. The purpose of this study is to design an optimization model for the supply chain problem of agricultural processed products in Bandung during the Covid-19 period with the objective function is maximizing product suppliers so that all demands on consumers are fulfilled. The use of Local Food Hub (LFH) is a help in this research as a distribution centre point between the producer zone and the consumer zone. Finally, numerical experiments were carried out in two scenarios, namely Large-scale Social Distancing (LSD) and Partial Social Distancing (PSD). It was found that the optimal distribution solution was obtained if the PSD scenario was applied.
THE GARCH MODEL VOLATILITY OF SHARIA STOCKS ASSOCIATED CAUSALITY WITH MARKET INDEX Endang Soeryana Hasbullah; Endang Rusyaman; Alit Kartiwa
International Journal of Quantitative Research and Modeling Vol. 1 No. 1 (2020): International Journal of Quantitative Research and Modeling
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v1i1.3

Abstract

The purpose of this paper is to examine the volatility of Islamic stocks related to the causality of the composite stock price index (CSPI). The aim is to investigate the causality of several levels of stock returns with the movement of the CSPI, and determine its volatility as a measure of risk. To determine the causality relationship is done by using the granger causality test method, with Vector Autoregressive (VAR) modeling. Whereas to determine the volatility is done using the Generalized Autoregressive Conditional Heteroscedastisiy (GARCH) model approach. The results of the causality test show that there is a direct relationship that affects and is influenced by the CSPI, and the relationship that affects each other between the company's stock market and the movement of the CSPI. While the volatility follows the GARCH model (1, 1). Based on the results of this study are expected to be used as consideration in making investment decisions in the analyzed stocks.
Laplace Decomposition Method for Solving Fractional Black-Scholes European Option Pricing Equation Abiodun Ezekiel Owoyemi; Ira Sumiati; Endang Rusyaman; Sukono Sukono
International Journal of Quantitative Research and Modeling Vol. 1 No. 4 (2020): International Journal of Quantitative Research and Modeling
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v1i4.83

Abstract

Fractional calculus is related to derivatives and integrals with the order is not an integer. Fractional Black-Scholes partial differential equation to determine the price of European-type call options is an application of fractional calculus in the economic and financial fields. Laplace decomposition method is one of the reliable and effective numerical methods for solving fractional differential equations. Thus, this paper aims to apply the Laplace decomposition method for solving the fractional Black-Scholes equation, where the fractional derivative used is the Caputo sense. Two numerical illustrations are presented in this paper. The results show that the Laplace decomposition method is an efficient, easy and very useful method for finding solutions of fractional Black-Scholes partial differential equations and boundary conditions for European option pricing problems.
Numerical Solution of the Time-Fractional Black-Scholes Equation and Its Application to European Option Pricing Elza Rahma Dihna; Endang Rusyaman; Sukono Sukono
CAUCHY: Jurnal Matematika Murni dan Aplikasi Vol 10, No 2 (2025): CAUCHY: JURNAL MATEMATIKA MURNI DAN APLIKASI
Publisher : Mathematics Department, Maulana Malik Ibrahim State Islamic University of Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.18860/cauchy.v10i2.35248

Abstract

The classical Black-Scholes model is widely used in option pricing but relies on idealized assumptions such as constant volatility and memoryless market dynamics, which limit its accuracy in capturing real-world financial behavior. To overcome these limitations, the time-fractional Black-Scholes model incorporates a fractional-order derivative—specifically the Caputo derivative—which introduces memory effects and accommodates time-varying volatility. This study focuses on numerically solving the time-fractional Black-Scholes equation using the finite difference method (FDM) and applying the results to the pricing of European call options. The model is discretized using an implicit finite difference scheme to ensure stability and accuracy over the time domain. Numerical simulations are conducted for various values of the fractional order α, illustrating that the option price is sensitive to the fractional parameter. Lower values of α tend to increase option prices, highlighting the influence of memory effects on pricing behavior. The results confirm that the finite difference method is an effective numerical tool for solving fractional partial differential equations and demonstrate that the fractional Black-Scholes model offers improved flexibility and realism in option  valuation, particularly in markets characterized by irregular volatility and non-Markovian features.
Co-Authors Abiodun Ezekiel Owoyemi Alit Kartiwa Amelia Anjang Risara Vilinea Annisa Nur Falah, Annisa Nur Asep Kuswandi Supriatna Ashgi, Rizky Azis, Chusnul Chatimah Azril Balqis, Viona P Betty Subartini Budi Nurani Ruchjana Deny I. Rakhmatullah Devi Munandar, Devi Diah Chaerani Dian Nuryani Diana Ekanurnia Dianne Amor Kusuma Dody Jesaya Sinaga Eddy Djauhari Edi Kurniadi Elis Hertini Elza Rahma Dihna Ema Carnia Endang Soeryana Hasbullah Erick Paulus Fikri, Faiqul Firdaniza Firdaniza Gani Gunawan Ghiffari, Alif Muhamad Ira Sumiati Irmansyah, Athaya Zahrani Ismail Bin Mohd Johar, Dwindi Agryanti Julita Nahar Jumadil Saputra Kankan Parmikanti Melda Noereast Talytha Muhammad Deni Johansyah Muslihin, Khoirunnisa R A Mustafa Mamat Nabila Hasna Naufal Badruzzaman Naufal Badruzzaman Nirbhaya Salsabila NUR HAMID Nursanti Anggriani Nurul Gusriani Pipih Aprianita Robbi, Muttaqien Rodhiya Rustam Effendy Siregar Siswahyudianto Sukono Sukono Sunarta Susanto Tomy Perdana Wildan Rachman Gumelar Yuningsih, Siti Hadiaty Yuyun Hidayat Zahrani Irmansyah, Athaya