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All Journal Jurnal Matematika Jurnal Sains dan Teknologi Jurnal RESTI (Rekayasa Sistem dan Teknologi Informasi) JIEET (Journal of Information Engineering and Educational Technology) JUTIK : Jurnal Teknologi Informasi dan Komputer JOURNAL OF APPLIED INFORMATICS AND COMPUTING SINTECH (Science and Information Technology) Journal Jurnal Matematika UNAND Jurnal Ekonomi Manajemen Sistem Informasi Jurnal Cahaya Mandalika Jurnal FASILKOM (teknologi inFormASi dan ILmu KOMputer) Jurnal Pendidikan dan Teknologi Indonesia Jurnal Locus Penelitian dan Pengabdian Jurnal Pengabdian Informatika (JUPITA) International Journal of Applied Mathematics and Computing. Konstanta : Jurnal Matematika dan Ilmu Pengelatuan Alam Lontar Komputer: Jurnal Ilmiah Teknologi Informasi
Wijayakusuma, I Gusti Ngurah Lanang
Universitas Udayana
Aerospace Engineering Humanities Automotive Engineering Biochemistry, Genetics & Molecular Biology Chemistry Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Earth & Planetary Sciences Economics, Econometrics & Finance Education Electrical & Electronics Engineering Engineering Immunology & microbiology Languange, Linguistic, Communication & Media Mathematics Social Sciences Other

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Journal : International Journal of Applied Mathematics and Computing.

 1 
Mutual Fund Performance Analysis Using Information Ratio, STJ Ratio and Value at Risk Ni Putu Leony Putri Paramita; Komang Dharmawan; I Gusti Ngurah Lanang Wijaya Kusuma
International Journal of Applied Mathematics and Computing Vol. 2 No. 1 (2025): International Journal of Applied Mathematics and Computing
Publisher : Asosiasi Riset Ilmu Matematika dan Sains Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.62951/ijamc.v2i1.66

Abstract

Measuring performance solely by relying on returns is probably not enough, it is important to consider both returns and risks. Some measurement methods that consider both of these factors are the Sharpe Ratio index, Treynor Ratio, Jensen Alpha, and Information Ratio. Risk analysis using Value at Risk Monte Carlo simulation is also important to determine the potential for extreme risks. The purpose of this study is to provide a good understanding of the performance and risk of mutual fund investments. Based on the performance results, Schroder is the most superior mutual fund, with the highest Information Ratio, Sharpe Ratio, and Jensen Ratio, indicating that they are able to generate good returns considering the risks taken. However, Schroder also has the highest VaR, meaning it has the potential for large losses in the worst market conditions. On the other hand, MNC is at the bottom in almost all performance methods, indicating poor performance with low returns and lower risks.
Application of Conditional Monte Carlo Simulation in Determining European Option Contract Pricing (Case Study on Toyota Motor Corporation (TM) Stock) Fransisca Emmanuella Aryossi; Komang Dharmawan; I GN Lanang Wijayakusuma
International Journal of Applied Mathematics and Computing Vol. 2 No. 1 (2025): International Journal of Applied Mathematics and Computing
Publisher : Asosiasi Riset Ilmu Matematika dan Sains Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.62951/ijamc.v2i1.97

Abstract

When making investment decisions, it is crucial for investors to consider various risks that may arise, both in the short and long term. One method to measure risk is through volatility. Volatility represents a statistical measurement of the degree of price variation over a specific period, expressed as volatility (σ) (Aklimawati & Wahyudi, 2013). This study aims to discuss the pricing of European option contracts using Conditional Monte Carlo simulation and the Black-Scholes method. The data used in this study is secondary data obtained from Yahoo Finance. The data consists of quantitative information, namely the monthly closing prices of Toyota Motor Corporation (TM) stock, spanning 5 years from July 1, 2019, to July 1, 2024, yielding 60 data points. In this research, the pricing of European call option contracts was calculated using Conditional Monte Carlo simulation and the Black-Scholes method. The study concludes that European option contract pricing can be determined using two methods: Conditional Monte Carlo simulation and the Black-Scholes method. Conditional Monte Carlo simulation can be employed to calculate European option prices in a structured manner, utilizing stochastic volatility estimated through the Ordinary Least Squares (OLS) method. The two methods yield differing option prices; Conditional Monte Carlo simulation produces lower option price estimates with relatively lower error values compared to the Black-Scholes method at every strike price. The lower estimates from Conditional Monte Carlo simulation are due to its consideration of stochastic changes in volatility, whereas the Black-Scholes method results in higher prices due to its assumption of constant volatility. The comparison demonstrates that Conditional Monte Carlo simulation provides cheaper price estimates under market conditions with non-constant volatility, despite requiring higher computational time compared to the Black-Scholes method. ,
Co-Authors Agustina, Ni Putu Dina Anak Agung Kompiang Oka Sudana Arta Wiguna, I Putu Chandra Astutik, Dian Br Sebayang, Virna Dalira Chandra, Veronica Celine Damayanthi, Ni Wayan Rita Desak Made Sidantya Amanda Putri Driyandita, Bernadeta EKA N. KENCANA Fransisca Emmanuella Aryossi G K Gandhiadi I Gusti Ayu Made Srinadi I Ketut Gede Darma Putra I ketut Gede Darma Putra I Ketut Restu Wiranata I KOMANG GDE SUKARSA I MADE EKA DWIPAYANA I Nyoman Widana I Putu Eka Nila Kencana I Putu Winada Gautama I Putu Winada Gautama I PUTU WINADA GAUTAMA I WAYAN SUMARJAYA IM Suyana Utama Isabel Divya Georgiana Walewangko Jocelynne, Charlotte Karina Maharani Bernis Kencana, Eka N. Ketut Jayanegara Khairunisa, Mutiara Komang Dharmawan LUH PUTU IDA HARINI LUH PUTU IDA HARINI Made Sudarma Made Sudarma Manurung, Mikael Triartama Maylianti, Ni Putu Minho Jo Minho Jo Ni Kadek Emik Sapitri Ni Luh Putu Suciptawati Ni Nyoman Bintang Marscelina Ni Putu Leony Putri Paramita Oka Sudana Pratama, Halim Meliana Pratiwi Tentriajaya, I Dewa Ayu Pradnya Putri, Desak Putri, Desak Made Sidantya Amanda Putri, Made Ayu Asri Oktarini Putu Veri Swastika Raharja, Made Agung Ratna Sari Widiastuti Riandika Fathur Rochim Sagun Chandra Yowani Siden, Hagia Sofia Swastika, Putu Veri Tobing, Charlotte Jocelynne L Ulfatun Farika Novitasari Widiastuti, Ratna Sari Yohanes Kristianto Kristianto