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INDONESIA
Journal of the Indonesian Mathematical Society
Published by Indonesian Mathematical Society
ISSN : 20868952     EISSN : 24600245     DOI : -
Core Subject : Education,
Mathematics
Journal of the Indonesian Mathematical Society disseminates new research results in all areas of mathematics and their applications. Besides research articles, the journal also receives survey papers that stimulate research in mathematics and their applications.
Arjuna Subject : -
Articles 625 Documents
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P(I)DE APPROACH FOR INDONESIAN OPTIONS PRICING Gunardi .
Journal of the Indonesian Mathematical Society Volume 14 Number 1 (April 2008)
Publisher : IndoMS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22342/jims.14.1.60.37-45

Abstract

Jakarta Stock Exchange Indonesia has started to trade Indonesian options at September 9th, 2004. An Indonesian option can be considered as an American style barrier option with immediate (forced) exercise if the price hits or crosses the barrier before maturity. The payoff of the option is based on a moving average of the price of the underlying stock. The barrier is fixed at the strike price plus or minus a 10 percent. The option is automatically exercised when the underlying stock hits or crosses the barrier and the difference between strike and barrier is paid immediately. We will refer to this type of option as an Indonesian option. In this paper we study the pricing of the Indonesian option under Black-Scholes model by PDE approach and under Variance Gamma model by PIDE approach.DOI :http://dx.doi.org/10.22342/jims.14.1.60.37-45
APPLICATIONS OF DIFFERENTIAL SUBORDINATION AND SUPERORDINATION C. Ganesamoorthy; N. Marikkannan; M. P. Jeyaraman
Journal of the Indonesian Mathematical Society Volume 14 Number 1 (April 2008)
Publisher : IndoMS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22342/jims.14.1.62.47-56

Abstract

In the present investigation we obtain asndwich theorems for certain subclass of analytic functions defined by convolution. Our results generalizes several well known results.DOI : http://dx.doi.org/10.22342/jims.14.1.62.47-56
SPLINE FINITE DIFFERENCE METHOD FOR A CLASS OF BOUNDARY-VALUE PROBLEMS I. Khan; T. Aziz; A. Khan; S. M. El-Sayed
Journal of the Indonesian Mathematical Society Volume 14 Number 1 (April 2008)
Publisher : IndoMS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22342/jims.14.1.63.57-62

Abstract

"Pdf file"DOI : http://dx.doi.org/10.22342/jims.14.1.63.57-62
INTEGRATED RENEWAL PROCESS Suyono .; J.A.M. van der Weide
Journal of the Indonesian Mathematical Society Volume 13 Number 2 (October 2007)
Publisher : IndoMS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22342/jims.13.2.64.149-159

Abstract

The marginal distribution of integrated renewal process is derived in this paper. Our approach is based on the theory of point processes, especially Poisson point processes. The results are presented in the form of Laplace transforms. DOI : http://dx.doi.org/10.22342/jims.13.2.64.149-159
COLUMN GENERATION TECHNIQUE FOR SOLVING TWO-DIMENSIONAL CUTTING STOCK PROBLEMS: METHOD OF STRIPE APPROACH K. Novianingsih; R. Hadianti; S. Uttunggadewa
Journal of the Indonesian Mathematical Society Volume 13 Number 2 (October 2007)
Publisher : IndoMS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22342/jims.13.2.65.161-172

Abstract

We consider two-dimensional cutting stock problems where single rectangular stocks have to be cut into some smaller rectangular so that the number of stocks needed to satisfy the demands is minimum. In this paper we focus our study to the problem where the stocks have to be cut with guillotine cutting type and fixed orientation of finals. We formulate the problem as an integer programming, where the relaxation problem is solved by column generation technique. New pattern generation is formulated based on method of stripe. In obtaining the integer solution, we round down the optimal solution of the relaxation problem and then we derive an extra mix integer programming for satisfying the unmet demands. The optimal solution of the original problem is the combination of the round-down solution and the optimal solution of the extra mix integer programming.A numerical example of the problem is given in the end of this paper.DOI : http://dx.doi.org/10.22342/jims.13.2.65.161-172
APPLICATION OF HALANAY INEQUALITY TO THE ESTABLISHMENT OF THE EXPONENTIAL STABILITY OF DELAYED COMPARTMENTAL SYSTEM Sariyasa .
Journal of the Indonesian Mathematical Society Volume 13 Number 2 (October 2007)
Publisher : IndoMS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22342/jims.13.2.67.191-196

Abstract

The dynamical convergence of a compartmental system with transport delays is studied. An easily verifiable delay independent sufficient condition for the system to be globally exponentially stable is obtained. Halanay differential inequality is employed to establish the global exponential stability.DOI : http://dx.doi.org/10.22342/jims.13.2.67.191-196
THE GRAPH OF DIAGRAM GROUPS FROM DIRECT PRODUCT OF THREE FREE SEMIGROUPS Sri Gemawati; Abd. Ghafur Bin Ahmad
Journal of the Indonesian Mathematical Society Volume 13 Number 2 (October 2007)
Publisher : IndoMS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22342/jims.13.2.68.209-214

Abstract

"PDF File"DOI : http://dx.doi.org/10.22342/jims.13.2.68.209-214
NON AUTOMATICALLY EXERCISED (NAE) EUROPEAN CAPPED CALL PRICING THEORY Subanar .; Suryo Guritno; Zanzawi S.; Abdurakhman .
Journal of the Indonesian Mathematical Society Volume 13 Number 2 (October 2007)
Publisher : IndoMS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22342/jims.13.2.69.215-221

Abstract

The objective of this paper is to present a methodology for deriving Black Scholes formulae via a simple lognormal distribution approach and introduce European capped non automatically exercise (NAE) call option pricing theory. DOI : http://dx.doi.org/10.22342/jims.13.2.69.215-221
ON ASYMTOTIC APPROXIMATIONS OF FIRST INTEGRALS FOR DIFFERENTIAL AND DIFFERENCE EQUATIONS A. Tehranchi; S. R. Kulkarni; G. Murugusundaramoorthy
Journal of the Indonesian Mathematical Society Volume 13 Number 1 (April 2007)
Publisher : IndoMS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22342/jims.13.1.70.1-15

Abstract

In this paper the concept of integrating factors for differential equations and the concept of invariance factors for difference equations to obtain first integrals or invariants will be presented. It will be shown that all integrating factors have to satisfya system of partial differential equations, and that all invariance factors have to satisfy a functional equation. In the period 1997-2001 a perturbation method based on integrating vectors was developed to approximate first integrals for systems of ordinary differential equations. This perturbation method will be reviewed shortly. Also in the paper the first results in the development of a perturbation method for difference equations based on invariance factors will be presented. DOI: http://dx.doi.org/10.22342/jims.13.1.70.1-16
STABILITY OF INTEGRO DIFFERENTIAL EQUATIONS WITH IMPULSES Sariyasa .
Journal of the Indonesian Mathematical Society Volume 13 Number 1 (April 2007)
Publisher : IndoMS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22342/jims.13.1.71.17-26

Abstract

Sufficient conditions have been derived for the asymptotic stability of the trivial solutions of a class of linear integrodifferential equations under impulsive per-turbations. The sufficient conditions are formulated in terms of the parameters of the equations such that in the absence of the impulsive effects, these conditions are reduced to those of the non-impulsive equations. doi: http://dx.doi.org/10.22342/jims.13.1.71.17-26

Page 32 of 63 | Total Record : 625

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