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All Journal Seminar Nasional Aplikasi Teknologi Informasi (SNATI) Journal of the Indonesian Mathematical Society TEKTRIKA - Jurnal Penelitian dan Pengembangan Telekomunikasi, Kendali, Komputer, Elektrik, dan Elektronika
Kuntjoro Adji Sidarto
State University of Malang
Computer Science & IT Electrical & Electronics Engineering Mathematics

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On the Calculation of Implied Volatility Using A Genetic Algorithm Kuntjoro Adji Sidarto
Seminar Nasional Aplikasi Teknologi Informasi (SNATI) 2006
Publisher : Jurusan Teknik Informatika, Fakultas Teknologi Industri, Universitas Islam Indonesia

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Abstract

In the Black-Scholes options pricing formulas one parameter that cannot be directly observed is the volatility of the stock price. If actual market data of the price V are known, then the volatility can be viewed as unknown and can be calculated via the implicit equation (),,,,,0VvSTtKrσ−=.The volatility σplays the role of the unknown parameter. The volatility σdetermined in this way is called implied volatility and is the root of the equation()(),,,,,0fVvSTtKrσ σ =− = . Iterative methods such as Newton’s method, can then be used to find the root. In this work we propose an approach that uses a genetic algorithm to find the implied volatility.Keywords: option pricing, implied volatility, genetic algorithm
Model of Deposit and Loan of A Bank Using Spiral Optimization Algorithm Moch Fandi Ansori; Kuntjoro Adji Sidarto; Novriana Sumarti
Journal of the Indonesian Mathematical Society Volume 25 Number 3 (November 2019)
Publisher : IndoMS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22342/jims.25.3.826.292-301

Abstract

Nowadays, the study of financial stability of banking is important, which is to observe the behavior of the bank in the future. In this paper, a simple model of deposit and loan of a bank is solved analytically and numerically, and then it is implemented into data of four groups of commercial banks in Indonesia based on their capitals. From the data for each group of banks, the parameters will be estimated using the Spiral Optimization Algorithm. The results show that the algorithm gives satisfactory solutions in terms of closeness between the analytical and numerical solutions. In the long run, the deposit and loan volumes will be stable at their equilibrium points which showing the good condition of the future of the banks based on current state.
APROKSIMASI PADÉ DAN PENERAPANNYA PADA ANALISIS PERFORMANSI DETEKSI RADAR Deni Saepudin; Kuntjoro Adji Sidarto
TEKTRIKA Vol 8 No 2 (2003)
Publisher : Telkom University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.25124/tektrika.v8i2.229

Abstract

Aproksimasi Padé adalah suatu teknik aproksimasi dengan menggunakan fungsi rasional. Dalam beberapa hal, teknik ini memberikan hasil yang lebih baik dibandingkan dengan teknik aproksimasi dengan menggunakan polinom Taylor yang biasanya lebih dikenal. Dalam paper ini, aproksimasi Padé digunakan untuk mengaproksimasi fungsi pembangkit momen dari suatu fungsi densitas di sekitar titik asal. Dengan menggunakan invers transformasi Laplace, aproksimasi fungsi densitas dapat diperoleh dan biasanya cukup baik untuk x yang cukup besar. Teknik aproksimasi ini diterapkan untuk menghitung threshold dan peluang deteksi pada deteksi radar bila nilai peluang false alarm diberikan.Kata kunci: aproksimasi Padé, fungsi pembangkit momen, peluang false alarm, peluang deteksi
Co-Authors Deni Saepudin Moch Fandi Ansori Novriana Sumarti