Metode Excess-of-Loss Menggunakan Bayesian untuk Memodelkan Tingkat Keparahan Klaim

Autor: Felivia Kusnadi, Benny Yong, Ferry Jaya Permana

Publikováno v: MAJAMATH: Jurnal Matematika dan Pendidikan Matematika. 3:120-129

Tingkat keparahan klaim merupakan variabel acak, terlebih pada data asuransi umum. Masalah utama dalam memodelkan data ini ialah kesenjangan yang besar antara nominal klaim. Penelitian ini dapat menyelesaikan masalah tersebut dengan mencocokkan distr

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::d15b867557569bf747f54283114fc6bd
https://doi.org/10.36815/majamath.v3i2.745

Valuation of European and American Options under Variance Gamma Process

Autor: Dharma Lesmono, Ferry Jaya Permana, Erwinna Chendra

Publikováno v: Journal of Applied Mathematics and Physics. :1000-1008

Geometric Brownian Motion (GBM) is widely used to model the asset price dynamics. Option price models such as the Black-Sholes and the binomial tree models rely on the assumption that the underlying asset price dynamics follow the GBM. Modeling the a

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::b742c9efe2074ab018a3f41d34758196
https://doi.org/10.4236/jamp.2014.211114

Implied volatility in oil markets

Autor: Svetlana Borovkova, Ferry Jaya Permana

Publikováno v: Computational Statistics and Data Analysis, 53(6), 2022-2039. Elsevier
Borovkova, S A & Permana, F J 2009, ' Implied volatility in oil markets ', Computational Statistics and Data Analysis, vol. 53, no. 6, pp. 2022-2039 . https://doi.org/10.1016/j.csda.2008.02.013

Modelling the implied volatility surface as a function of an option's strike price and maturity is a subject of extensive research in financial markets. The implied volatility in commodity markets is much less studied, due to a limited liquidity and

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4705f267546978e42df3d03325cd0f64
https://hdl.handle.net/1871/44742

A Closed Form Approach to the Valuation and Hedging of Basket and Spread Options

Autor: Hans van der Weide, Ferry Jaya Permana, Svetlana Borovkova

Publikováno v: Journal of Derivatives, 14(4), 8-24
Borovkova, S A, Permana, F J & v.d. Weide, H 2007, ' A Closed Form Approach to the Valuation and Hedging of Basket and Spread Options ', Journal of Derivatives, vol. 14, no. 4, pp. 8-24 . https://doi.org/10.3905/jod.2007.686420

The lognormal diffusion model for the returns on the underlying asset is a key assumption of Black-Scholes and many other derivatives models. One advantage of the lognormal is that it is impossible for the price to become negative in the model; anoth

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f07820686aab05ffd92a9d9a1935eaf9
https://research.vu.nl/en/publications/85cd55fe-82c9-40e1-93cc-049f710676f4