E jurnal Matematika

Number Vol. 6 (4), 2017

214-219
PENENTUAN NILAI KONTRAK OPSI TIPE BINARY PADA KOMODITAS KAKAO MENGGUNAKAN METODE QUASI MONTE CARLO DENGAN BARISAN BILANGAN ACAK FAURE

Authors: Dewa Ayu Agung Putri Ratnasari, Komang Dharmawan, Desak Putu Eka Nilakusmawati

Abstract

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Number of views: 325

Contract options are the most important part of an investment strategy. An option is a contract that entitles the owner or holder to sell an asset on a designated maturity date. A binary or asset-or-nothing option is an option in which the option holder will perform or not the option. There are many methods used in determining the option contract value, one of this is the Monte Carlo Quasi method of the Faure random. The purpose of this study is to determine the value of binary type option contract using the Quasi Monte Carlo method of the Faure random and compare with the Monte Carlo method. The results of this study indicate that the option contract calculated by the Monte Carlo Quasi method results in a more fair value. Monte Carlo method simulation 10.000 generate standard error is 0.9316 and the option convergence at 18.9144. While Quasi Monte Carlo simulation 3000 generate standard error is 0.09091 and the option convergence at 18.8203. This show the Quasi Monte Carlo method reaches a faster convergent of Monte Carlo method.

220-225
PENGGOLONGAN UANG KULIAH TUNGGAL MENGGUNAKAN SUPPORT VECTOR MACHINE

Authors: I Gede Seka Suyoga, I Putu Eka Nila Kencana, I Komang Gde Sukarsa

Abstract

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Number of views: 334

Tuition fee is the payment of tuition fees each semester borne by each student based on their economic capabilities. Tuition fee is divided into five groups from tuition fee group 1 to tuition fee group 5. This research aims to find the accuracy of the classification of tuition fee using Support Vector Machine (SVM). SVM is a method used for classification of the concept to find hyperplane (separator function) that can separate the data into a predetermined class. In this research, SVM is used to determine the accuracy of tuition fee classification. The variables used are income parents, father’s occupation, mother’s occupation, home ownership status, building, land area, electricity cost, water cost, phone cost, saving accounts, jewelry ownership, and a premium ownership. The results obtained are five hyperplanes to separate tuition fee with accuracy of the classification of tuition fee was 59,69%.

226-232
APLIKASI MODEL MEAN REVERSION DENGAN MUSIMAN DALAM MENENTUKAN NILAI KONTRAK OPSI TIPE EROPA PADA HARGA KOMODITAS KAKAO

Authors: Ida Ayu Putu Candra Dewi, Komang Dharmawan, Ni Made Asih

Abstract

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Number of views: 354

Many literatures explain that commodity prices tend to follow the pattern of Mean Reversion models, commodity prices are controlled by seasonal supplies resulting in price fluctuations. To overcome the risk of fluctuations in the price, an investor can hedge with option contracts. The purpose of this research was to know the application of Mean Reversion model with seasonal in determining the value of European option contract from commodity ,by estimating the parameters and simulating the model in order to get the value of European option contract. Thus, the values of the options obtained with the model was compared with the value of the options calculated by the Black-Scholes model. The results of this study indicated that the value of contract option of Mean Reversion model with seasonal value was lower than the Black-Scholes model.

233-240
METODE SPATIAL AUTOREGRESSIVE DALAM MEMODELKAN MASYARAKAT YANG BERPERILAKU MCK DI SUNGAI

Authors: Komang Kokom Sucahyati Dewi P., Made Susilawati, I Wayan Sumarjaya

Abstract

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Number of views: 436

Spatial autoregressive (SAR) is a model of spatial regression which assumes that autoregressive process is only for the dependent variable by considering the spatial effect. The spatial effect consists of spatial dependence and spatial heterogeneity. One of problems which considers spatial effect is the case of society which do public bathing, washing, and toilets facilities (PBWTF) in the river, in Blahbatuh District. The aim of this research is to obtaine the model of society which still do PBWTF in the river, in Blahbatuh Districts in 2016 and to determine the factors that influence it. In this research, we obtained the model which is able to illustrate the case of society which do PBWTF and the factors that influence it such as the amount of householde which do not have latrine and the amount of family who lives near the river in every subvillage in Blahbatuh District.

241-247
MEMBANDINGKAN RISIKO SISTEMATIS MENGGUNAKAN CAPM-GARCH DAN CAPM-EGARCH

Authors: Viky Ameliah, Komang Dharmawan, I Nyoman Widana

Abstract

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Number of views: 346

In making stock investments, investors usually pay attention to the rate of return and risk of the stock investment. To calculate risk using capital asset pricing model (CAPM), GARCH, and EGARCH. The data used in this study is secondary data in the form of daily closing price (daily close price), JII price index and monthly SBI rate. All data were processed using matlab 13. The research sample consisted of 6 flagship shares for the period of 2013-2017 ie ADHI, SMGR, UNTR, BSDE, ICBP, KLBF. The conclusion of the research is the beta of each stock including aggressive beta because beta greater than 1. For return CAPM GARACH and CAPM EGARCH obtained Kalbe Farma stock (KLBF) has small beta and big return means GARCH and EGARCH model equally Can predict that stock KLBF shares the least risk and large returns among the six stocks.

248-252
PENERAPAN METODE LOGIKA FUZZY MODEL TAHANI DALAM PEMILIHAN HARDWARE KOMPUTER

Authors: Moh. Heri Setiawan, G. K. Gandhiadi, Luh Putu Ida Harini

Abstract

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Number of views: 409

This study to determine the selection of computer hardware using fuzzy database method. This is because of many series of hardware produced by the manufacture, so the public will be confused in determining the choice of a combination of computer assembly. In this study the processor, motherboard, random access memory, hard disk, vga cards, power supply studied to find best recommendation. The result obtained from this study these several results obtained in study in the form of recommendation, that is if the recommendation value 0 then the hardware is not displayed as a decision, whereas if the recommendation value is greater than 0 and less than or equal to 1 the device will be displayed as a decision according to the value of its recommendation.

253-259
PENENTUAN NILAI PREMI ASURANSI PERTANIAN PADA KOMODITAS KOPI BERBASIS HARGA INTERNASIONAL MENGGUNAKAN MODEL MEAN REVERSION DENGAN LOMPATAN

Authors: Intan Lestari, Komang Dharmawan, Desak Putu Eka Nilakusmawati

Abstract

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Number of views: 382

Agricultural insurance with the interantional price is new insurance in Indonesia. The international insurance premium is given if the international prices lower than the determined trigger value. The purpose of this study is to presents the steps needed to determine the premium value of the agricultural insurance. The steps are to search data of the international prices and local prices commodity coffee, calculate the return of both data, calculate descriptive statistic, calculate correlation between international prices of commodity coffee and local prices commodity coffee, estimate the parameter by using Maksimum Likelihood Estimasi(MLE), to do the Monte Carlo simulation by using Mean Reversion with Jump Diffusion, to determine the production cost, normality log test, to determine the trigger indexs, and to count the premium value with put cash-or-nothing option. On this study if international prices lower than the determined trigger value, trigger payments as much as Rp 20.248.282,4/Ha based on trigger index as many Rp 24.900/kg, so amount of premium payment equals Rp 334.000.