{"id":3918,"date":"2018-11-09T09:41:07","date_gmt":"2018-11-09T02:41:07","guid":{"rendered":"https:\/\/www.its.ac.id\/matematika\/?page_id=3918"},"modified":"2026-07-29T08:56:47","modified_gmt":"2026-07-29T01:56:47","slug":"endah-rokhmati","status":"publish","type":"page","link":"https:\/\/www.its.ac.id\/matematika\/en\/lecturer-and-staff\/list-of-lecturers\/endah-rokhmati\/","title":{"rendered":"Endah Rokhmati Merdika Putri, S.Si., M.T., Ph.D."},"content":{"rendered":"

[vc_row][vc_column width=”1\/4″][vc_empty_space][dot_sidebar_menu select_menu=”sidebar-dosen-staf”][vc_empty_space][join_help_box type=”help”][\/vc_column][vc_column width=”3\/4″][vc_empty_space][dot_custom_title position_text=”left” title=”Endah Rokhmati Merdika Putri, S.Si., M.T., Ph.D.”][\/dot_custom_title][vc_row_inner][vc_column_inner width=”1\/3″][vc_single_image image=”12459″ img_size=”full” alignment=”center”][\/vc_column_inner][vc_column_inner width=”2\/3″][vc_column_text]<\/p>\n\n\n\n\n\n\n
Email<\/td>\nendahrmp@its.ac.id<\/td>\n<\/tr>\n
Ruang<\/td>\nSekretariat Departemen Matematika, Gedung F Lantai 2<\/td>\n<\/tr>\n
Professional membership<\/td>\nINDOMS<\/td>\n<\/tr>\n
Profil<\/td>\nScholar<\/a> Scholar-ITS<\/a>\u00a0Scopus<\/a> Sinta<\/a><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

[\/vc_column_text][\/vc_column_inner][\/vc_row_inner][vc_column_text]<\/p>\n

Research interest<\/strong><\/h3>\n
    \n
  • Financial mathematics<\/li>\n
  • Numerical method<\/li>\n
  • Statistics<\/li>\n
  • Stochastics<\/li>\n<\/ul>\n

    Education <\/strong><\/h3>\n
      \n
    • Doctoral Degree<\/strong>, Mathematics in Finance, University of Wollongong<\/strong>, Australia.<\/li>\n
    • Master <\/strong>Degree<\/strong>, Institut Teknologi Sepuluh Nopember, <\/strong>Surabaya, Indonesia.<\/strong><\/li>\n
    • Bachelor Degree<\/strong>, Department of Mathematics, Institut Teknologi Sepuluh Nopember, <\/strong>Surabaya, Indonesia.<\/li>\n<\/ul>\n

      Publications <\/strong>(<\/strong>Recent<\/strong> Journal<\/strong>s<\/strong> and Conferences) <\/strong><\/h3>\n
        \n
      1. Removing non-smoothness in solving Black-Scholes equation using a perturbation method, Physics Letters A 402, 127367, 2021<\/li>\n
      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<\/li>\n
      3. Cat bond valuation using Monte Carlo and quasi Monte Carlo method, Journal of Physics: Conference Series 1821 (1), 012053, 2021<\/li>\n
      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<\/li>\n
      5. Data-driven modeling and forecasting of COVID-19 outbreak for public policy making, ISA transactions, 2021<\/li>\n
      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<\/li>\n
      7. Comparison of American Binomial Options with Discrete and Continuous Dividend, IJCSAM (International Journal of Computing Science and Applied Mathematics), 2020<\/li>\n
      8. Comparison of stock price prediction using geometric Brownian motion and multilayer perceptron, AIP Conference Proceedings 2242 (1), 030016, 2020<\/li>\n
      9. Rainfall forecasting with climate change detection and its pattern relationship to rice production, Journal of Physics: Conference Series 1490 (1), 012023, 2020<\/li>\n
      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<\/li>\n
      11. The application of model predictive control on stock portfolio optimization without loan, AIP Conference Proceedings 2192 (1), 060020, 2019<\/li>\n
      12. Valuation risk adjusted deposit insurance on heston model, Journal of Physics: Conference Series 1397 (1), 012078, 2019<\/li>\n
      13. The Valuation of Deposit Insurance with Risk Using Fourier Transform, Journal of Physics: Conference Series 1373 (1), 012033, 2019<\/li>\n
      14. Modelling of Short Rate (\u03b22) Parameter Diebold-Li Model Using Vasicek Stochastic Differential Equations, Journal of Physics: Conference Series 1218 (1), 012059, 2019<\/li>\n
      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<\/li>\n
      16. Comparison of Numerical Methods on Pricing of European Put Options, IJCSAM (International Journal of Computing Science and Applied Mathematics), 2019<\/li>\n
      17. An Analytic Valuation of a Deposit Insurance, MATEMATIKA: Malaysian Journal of Industrial and Applied Mathematics, 115-128, 2018<\/li>\n
      18. Snakes and ghosts in a parity-time-symmetric chain of dimers, Physical Review E 97 (6), 062204, 2018<\/li>\n
      19. Performance of some numerical Laplace inversion methods on American put option formula, Journal of Physics: Conference Series 983 (1), 012144, 2018<\/li>\n
      20. Binomial tree method for pricing a regime-switching volatility stock loans, Journal of Physics: Conference Series 974 (1), 012045, 2018<\/li>\n
      21. Finite Volume Method for Pricing European Call Option with Regime-switching Volatility, Journal of Physics: Conference Series 974 (1), 012024, 2018<\/li>\n
      22. Stock price prediction using geometric Brownian motion, Journal of physics: conference series 974 (1), 012047, 2018<\/li>\n<\/ol>\n

        Research and Development Project<\/strong><\/h3>\n
          \n
        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.<\/li>\n
        2. Stock Portfolio Optimization Using Predictive Control Model With Geometric-Based Prediction Brownian Motion-Kalman Filter, Beginner Research Program, 2019<\/li>\n<\/ol>\n

          Deposit Insurance Valuation by Including Changes in Economic Conditions, Master\u2019s Thesis Research program, 2019[\/vc_column_text][\/vc_column][\/vc_row]<\/p>\n","protected":false},"excerpt":{"rendered":"

          [vc_row][vc_column width=”1\/4″][vc_empty_space][dot_sidebar_menu select_menu=”sidebar-dosen-staf”][vc_empty_space][join_help_box type=”help”][\/vc_column][vc_column width=”3\/4″][vc_empty_space][dot_custom_title position_text=”left” title=”Endah Rokhmati Merdika Putri, S.Si., M.T., Ph.D.”][\/dot_custom_title][vc_row_inner][vc_column_inner width=”1\/3″][vc_single_image image=”12459″ img_size=”full” alignment=”center”][\/vc_column_inner][vc_column_inner width=”2\/3″][vc_column_text] Email endahrmp@its.ac.id Ruang Sekretariat Departemen Matematika, Gedung F Lantai 2 Professional membership INDOMS Profil Scholar Scholar-ITS\u00a0Scopus Sinta [\/vc_column_text][\/vc_column_inner][\/vc_row_inner][vc_column_text] Research interest Financial mathematics Numerical method Statistics Stochastics Education Doctoral Degree, Mathematics in Finance, University of Wollongong, Australia. Master […]<\/p>\n","protected":false},"author":130,"featured_media":0,"parent":2646,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"templates\/page-its.php","meta":{"_joinchat":[],"footnotes":""},"class_list":["post-3918","page","type-page","status-publish","hentry"],"yoast_head":"\nEndah Rokhmati Merdika Putri, S.Si., M.T., Ph.D. - Departemen Matematika ITS<\/title>\n<meta name=\"description\" content=\"Departemen matematika FSAD ITS memiliki tiga program studi: Sarjana, Pascasarjana, dan Doktor. 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