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All Journal Jurnal Matematika UNAND
Putri, Endah R. M.
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Computer Science & IT Mathematics

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RAINFALL MODELLING IN EAST JAVA USING A MODIFIED ORNSTEIN-UHLENBECK MODEL Setyorini, Elisabeth Yeyen; Putri, Endah R. M.
Jurnal Matematika UNAND Vol 14, No 1 (2025)
Publisher : Departemen Matematika dan Sains Data FMIPA Universitas Andalas Padang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.25077/jmua.14.1.46-61.2025

Abstract

One of the current global issues is climate change and weather variability. This phenomenon has real impacts on various regions, including East Java Province. East Java is experiencing increased rainfall intensity as one of the effects of climate change. High and continuous rainfall intensity can trigger disasters such as flooding, which has the potential to cause significant financial losses for the community. Therefore, effective risk management becomes crucial. One possible solution to address these risks is through the use of financial derivatives. The initial step in risk management involves modeling the behavior of rainfall. It is assumed that the rainfall pattern follows a mean-reverting process, specifically the Ornstein-Uhlenbeck process. The existing Ornstein-Uhlenbeck model is then modified to ensure that the resulting model accurately reflects the rainfall conditions in East Java. To validate the modified model, simulations of the Ornstein-Uhlenbeck process were conducted using estimated parameter values. The Ornstein-Uhlenbeck simulation achieved a minimum MSE score that approaches zero. This MSE score indicate that the proposed modified Ornstein-Uhlenbeck model is accurate in representing the rainfall patterns in East Java.
Numerical Solution of European Put Option for Black-Scholes Model Using Keller Box Method Mardianto, Lutfi; Putra, Gusrian; Pratama, Benediktus Ivan; Putri, Endah R. M.
Jurnal Matematika UNAND Vol. 13 No. 3 (2024)
Publisher : Departemen Matematika dan Sains Data FMIPA Universitas Andalas Padang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.25077/jmua.13.3.188-197.2024

Abstract

In this study, we propose to determine option pricing by using Black-Scholes model numerically. The Keller box method, a numerical method with a box-shaped implicit scheme, is chosen to solve the problem of pricing stock options, especially European-put option. This option pricing involves several parameters such as stock price volatility, risk-free interest rate and strike price. The numerical stability of the method is checked using Von Neumann stability before the simulation is conducted. The influence of interest rates, volatility, and strike price on the option price state that the higher the value of the interest rate parameter, the lower the option price value, while the greater the value of stock price volatility and strike price, the higher the option price.
RAINFALL MODELLING IN EAST JAVA USING A MODIFIED ORNSTEIN-UHLENBECK MODEL Setyorini, Elisabeth Yeyen; Putri, Endah R. M.
Jurnal Matematika UNAND Vol. 14 No. 1 (2025)
Publisher : Departemen Matematika dan Sains Data FMIPA Universitas Andalas Padang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.25077/jmua.14.1.46-61.2025

Abstract

One of the current global issues is climate change and weather variability. This phenomenon has real impacts on various regions, including East Java Province. East Java is experiencing increased rainfall intensity as one of the effects of climate change. High and continuous rainfall intensity can trigger disasters such as flooding, which has the potential to cause significant financial losses for the community. Therefore, effective risk management becomes crucial. One possible solution to address these risks is through the use of financial derivatives. The initial step in risk management involves modeling the behavior of rainfall. It is assumed that the rainfall pattern follows a mean-reverting process, specifically the Ornstein-Uhlenbeck process. The existing Ornstein-Uhlenbeck model is then modified to ensure that the resulting model accurately reflects the rainfall conditions in East Java. To validate the modified model, simulations of the Ornstein-Uhlenbeck process were conducted using estimated parameter values. The Ornstein-Uhlenbeck simulation achieved a minimum MSE score that approaches zero. This MSE score indicate that the proposed modified Ornstein-Uhlenbeck model is accurate in representing the rainfall patterns in East Java.
Co-Authors Mardianto, Lutfi Pratama, Benediktus Ivan Putra, Gusrian Setyorini, Elisabeth Yeyen