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Imam Mukhlash
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International Journal of Computing Science and Applied Mathematics-IJCSAM
Published by Institut Teknologi Sepuluh Nopember Surabaya
ISSN : -     EISSN : 24775401     DOI : -
Core Subject : Education,
Mathematics
IJCSAM (International Journal of Computing Science and Applied Mathematics) is an open access journal publishing advanced results in the fields of computations, science and applied mathematics, as mentioned explicitly in the scope of the journal. The journal is geared towards dissemination of original research and practical contributions by both scientists and engineers, from both academia and industry. IJCSAM (International Journal of Computing Science and Applied Mathematics) is a journal published by Pusat Publikasi Ilmiah LPPM, Institut Teknologi Sepuluh Nopember, Surabaya, Indonesia.
Arjuna Subject : Matematika - Matematika Terapan
Articles 6 Documents
 1 
Search results for , issue "Vol. 5 No. 1 (2019)" : 6 Documents clear
Comparison of Numerical Methods on Pricing of European Put Options Lutfi Mardianto; Aditya Putra Pratama; Annisa Rahmita Soemarsono; Amirul Hakam; Endah Rokhmati Merdika Putri
(IJCSAM) International Journal of Computing Science and Applied Mathematics Vol. 5 No. 1 (2019)
Publisher : LPPM Institut Teknologi Sepuluh Nopember

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Abstract

Put option is a contract to sell some underlying assets in the future with a certain price. On European put options, selling only can be exercised at maturity date. Behavior of European put options price can be modeled by using the Black-Scholes model which provide an analytical solution. Numerical approximation such as binomial tree, explicit and implicit finite difference methods also can be used to solve Black-Scholes model. Some numerical methods are applied and compared with the analytical solution to determine the best numerical method. The results show that numerical approximations using the binomial tree is more accurate than explicit and implicit finite difference method in pricing European put options. Moreover when the value of T is higher then the error obtained is also higher, while the error obtained is lower when the value of N is higher. The value of T and N cause the increase of the computation time. When the value of T is higher the computation time is lower, while computation time is higher if the value of N is higher. Overall, the lowest computation time is obtained by using an explicit finite difference method with an exceptional as the value of T is big and the value of N is small. The lowest computation time is obtained by using a binomial tree method.
Application of Daubechies Wavelet Transformation for Noise Rain Reduction on the Video Siti Khotijah; Dwi Ratna Sulistyaningrum
(IJCSAM) International Journal of Computing Science and Applied Mathematics Vol. 5 No. 1 (2019)
Publisher : LPPM Institut Teknologi Sepuluh Nopember

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

Abstract

Put option is a contract to sell some underlying assets in the future with a certain price. On European put options, selling only can be exercised at maturity date. Behavior of European put options price can be modeled by using the Black-Scholes model which provide an analytical solution. Numerical approximation such as binomial tree, explicit and implicit finite difference methods also can be used to solve Black-Scholes model. Some numerical methods are applied and compared with the analytical solution to determine the best numerical method. The results show that numerical approximations using the binomial tree is more accurate than explicit and implicit finite difference method in pricing European put options. Moreover when the value of T is higher then the error obtained is also higher, while the error obtained is lower when the value of N is higher. The value of T and N cause the increase of the computation time. When the value of T is higher the computation time is lower, while computation time is higher if the value of N is higher. Overall, the lowest computation time is obtained by using an explicit finite difference method with an exceptional as the value of T is big and the value of N is small. The lowest computation time is obtained by using a binomial tree method.
L-Fuzzy Filters of a Poset Berhanu Assaye Alaba; Mihret Alamneh; Derso Abeje
(IJCSAM) International Journal of Computing Science and Applied Mathematics Vol. 5 No. 1 (2019)
Publisher : LPPM Institut Teknologi Sepuluh Nopember

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Abstract

Many generalizations of ideals and filters of a lattice to an arbitrary poset have been studied by different scholars. The authors of this paper introduced several generalizations of L-fuzzy ideal of a lattice to an arbitrary poset in [1]. In this paper, we introduce several L-fuzzy filters of a poset which generalize the L-fuzzy filter of a lattice and give several characterizations of them.
Numerical Solution of Second Order Initial Value Problems of Bratu-type Equations using Sixth Order Runge-Kutta Seven Stages Method Hibist Bazezew Fenta; Getachew Adamu Derese
(IJCSAM) International Journal of Computing Science and Applied Mathematics Vol. 5 No. 1 (2019)
Publisher : LPPM Institut Teknologi Sepuluh Nopember

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Abstract

In this paper, second order initial value problem of Bratu-type ordinary differential equations is solved numerically using sixth order Runge-Kutta seven stages method. The stability of the method is checked and verified. In order to justify the validity and effectiveness of the method, two model examples are solved and the numerical solutions are compared to the corresponding exact solutions. Furthermore, the results obtained using the current method are compared with the numerical results obtained by other researchers. The numerical results in terms of point-wise absolute errors presented in tables and plotted graphs show that the present method approximates the exact solutions very well.
Modeling Coffee Price using Jump Diffusion Model: The case of Ethiopia Tesfahun Berhane; Molalign Adam; Guriju Awgichew; Eshetu Haile
(IJCSAM) International Journal of Computing Science and Applied Mathematics Vol. 5 No. 1 (2019)
Publisher : LPPM Institut Teknologi Sepuluh Nopember

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Abstract

Ethiopian coffee price has significant effect on the economy of the country and its price is highly fluctuated. In this study, we aim at modeling and forecasting the washed Sidama class A grade 3 (WSDA3) coffee price in Ethiopia to reduce the risks associated with this price fluctuation. We used daily closed price data of Ethiopian WSDA3 coffee recorded in the period 31 May 2011 to 30 March 2018 obtained from Ethiopia commodity exchange (ECX) market to analyse the prices fluctuation. The nature of log-returns of the price is asymmetric (negatively skewed) and exhibits high kurtosis. We used a Jump diffusion model to model and forecast the empirical data. The method of maximum likelihood is used to estimate the parameters. We used the root mean square error (RMSE) to test the goodness of fitting for the model to the data. This test indicates that the model performs well.
Nano-Zagreb Index and Multiplicative Nano-Zagreb Index of Some Graph Operations Akbar Jahanbani; Hajar Shooshtary
(IJCSAM) International Journal of Computing Science and Applied Mathematics Vol. 5 No. 1 (2019)
Publisher : LPPM Institut Teknologi Sepuluh Nopember

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Abstract

Let G be a graph with vertex set V(G) and edge set E(G). The Nano-Zagreb and multiplicative Nano-Zagreb indices of G are NZ(G) = \prod_{uv \in E(G)} (d^2(u) - d^2(v)) and N*Z(G) = \prod_{uv \in E(G)} (d^2(u) - d^2(v)), respectively, where d(v) is the degree of the vertex v. In this paper, we define two types of Zagreb indices based on degrees of vertices. Also the Nano-Zagreb index and multiplicative Nano-Zagreb index of the Cartesian product, symmetric difference, composition and disjunction of graphs are computed.

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