Dr. Abdurakhman, M.Si.
Associate Professor | Staff Handbook
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Abdurakhman, Dr is an Assosiate Professor Lecturer in the Mathematics Department Faculty of Mathematics and Natural Science Universitas Gadjah Mada Yogyakarta Indonesia. He has been joining the Department in 1998 until today. His expertise is in the fields of statistics, especially structural equation modeling and financial mathematics. His undergraduate and doctor’s degrees were received from Universitas Gadjah Mada Yogyakarta Indonesia in 1996 and 2007, respectively.
His initial research interest was financial mathematics and SEM theory. And recently he explored also option valuation, portfolio theory and management.
EVY SULISTIANINGSIH (1); Prof. Dr.rer.nat. Dedi Rosadi, S.Si., M.Sc.Eng.Math. (2) ; Dr. Abdurakhman, S.Si, M.Si (3)
Measuring Risk utilizing Credible Monte Carlo Value at Risk and Credible Monte Carlo Expected Tail Loss. IAENG International Journal of Applied Mathematics,2022
RETNO SUBEKTI (1); Dr. Abdurakhman, S.Si, M.Si (2); Prof. Dr.rer.nat. Dedi Rosadi, S.Si., M.Sc.Eng.Math. (3) : Toward the Black–Litterman with Shariah-compliant asset pricing model: a case study on the Indonesian stock market during the COVID-19 pandemic. International Journal of Islamic and Middle Eastern Finance and Management, 2022
Di asih I Maruddani, Abdurakhman, dkk, Delta-Normal Value at Risk Using Exponential Duration with Convexity for Measuring Government Bond Risk, DLSU BUSINESS & ECONOMICS REVIEW 2021
Abdurakhman, Portfolio Analysis Of REF Method Based On Mean Variance Optimization Of Multi-Objective Model, Far East Journal of Mathematical Sciences (FJMS) 101 (6), 1167 – 1375, 2017
He authored and co-authored around 20 articles (see at the following links.)
Scopus Record https://www.scopus.com/authid/detail.uri?authorId=55986302600
Google Scholar https://scholar.google.co.id/citations?user=3PZiQs4AAAAJ&hl=en