Endah Rokhmati M.P., Ph.D

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Endah Rokhmati M.P., Ph.D

Email endahrmp@matematika.its.ac.id
Ruang U.202 A – LAb ROPD, Gedung U Lantai 2
Professional membership INDOMS
Profil Scholar Scopus Sinta

Research interest

  • Financial mathematics
  • Numerical method
  • Statistics
  • Stochastics

Education

  • Doctoral Degree, Mathematics in Finance, University of Wollongong, Australia.
  • Master Degree, Institut Teknologi Sepuluh Nopember, Surabaya, Indonesia.
  • Bachelor Degree, Department of Mathematics, Institut Teknologi Sepuluh Nopember, Surabaya, Indonesia.

Publications (Recent Journals and Conferences)

  1. Removing non-smoothness in solving Black-Scholes equation using a perturbation method, Physics Letters A 402, 127367, 2021
  2. Epidemic Modeling of COVID-19 in the ASEAN countries using a Genetic Partial Fitting Algorithm with the Presence of a Second Wave, Journal of Applied Science and Engineering 24 (6), 901-914, 2021
  3. Cat bond valuation using Monte Carlo and quasi Monte Carlo method, Journal of Physics: Conference Series 1821 (1), 012053, 2021
  4. Monte Carlo method to valuate CAT bonds of flood in Surabaya under Jump Diffusion Process, Journal of Physics: Conference Series 1821 (1), 012026, 2021
  5. Data-driven modeling and forecasting of COVID-19 outbreak for public policy making, ISA transactions, 2021
  6. The application of model predictive control on stock portfolio optimization with prediction based on Geometric Brownian Motion-Kalman Filter, Journal of Industrial & Management Optimization, 2021
  7. Comparison of American Binomial Options with Discrete and Continuous Dividend, IJCSAM (International Journal of Computing Science and Applied Mathematics), 2020
  8. Comparison of stock price prediction using geometric Brownian motion and multilayer perceptron, AIP Conference Proceedings 2242 (1), 030016, 2020
  9. Rainfall forecasting with climate change detection and its pattern relationship to rice production, Journal of Physics: Conference Series 1490 (1), 012023, 2020
  10. A semi-analytic valuation of American options under a two-state regime-switching economy, Physica A: Statistical Mechanics and its Applications 538, 122968, 2020
  11. The application of model predictive control on stock portfolio optimization without loan, AIP Conference Proceedings 2192 (1), 060020, 2019
  12. Valuation risk adjusted deposit insurance on heston model, Journal of Physics: Conference Series 1397 (1), 012078, 2019
  13. The Valuation of Deposit Insurance with Risk Using Fourier Transform, Journal of Physics: Conference Series 1373 (1), 012033, 2019
  14. Modelling of Short Rate (β2) Parameter Diebold-Li Model Using Vasicek Stochastic Differential Equations, Journal of Physics: Conference Series 1218 (1), 012059, 2019
  15. A numerical method for valuation of european option with regime-switching volatility and interest rate, Journal of Physics: Conference Series 1218 (1), 012051, 2019
  16. Comparison of Numerical Methods on Pricing of European Put Options, IJCSAM (International Journal of Computing Science and Applied Mathematics), 2019
  17. An Analytic Valuation of a Deposit Insurance, MATEMATIKA: Malaysian Journal of Industrial and Applied Mathematics, 115-128, 2018
  18. Snakes and ghosts in a parity-time-symmetric chain of dimers, Physical Review E 97 (6), 062204, 2018
  19. Performance of some numerical Laplace inversion methods on American put option formula, Journal of Physics: Conference Series 983 (1), 012144, 2018
  20. Binomial tree method for pricing a regime-switching volatility stock loans, Journal of Physics: Conference Series 974 (1), 012045, 2018
  21. Finite Volume Method for Pricing European Call Option with Regime-switching Volatility, Journal of Physics: Conference Series 974 (1), 012024, 2018
  22. Stock price prediction using geometric Brownian motion, Journal of physics: conference series 974 (1), 012047, 2018

Research and Development Project

  1. Volatility And Value At Risk Analysis Of Franklin Global Sukuk Fund Luxembourg With Garch, Markov-Switching Garch, Garch-Markov Chain Monte Carlo, And Garch-Kalman Filter Models, Reaserch Department Funds, 2020.
  2. Stock Portfolio Optimization Using Predictive Control Model With Geometric-Based Prediction Brownian Motion-Kalman Filter, Beginner Research Program, 2019

Deposit Insurance Valuation by Including Changes in Economic Conditions, Master’s Thesis Research program, 2019