PROFILE

UPM's Staff Profile

PROF. MADYA DR. SITI NUR IQMAL BINTI IBRAHIM

HEAD OF LABORATORY

INSTITUTE FOR MATHEMATICAL RESEARCH

iqmal@upm.edu.my

PROFESSIONAL

UPM WEBSITE

PROFILE

iqmal

PROFESSIONAL

I am currently at the Department of Mathematics and Statistics, Faculty of Science, working in mathematical finance area that involves option pricing models, forecasting and prediction, and others.

NAME :

(Prof. Madya Dr.) SITI NUR IQMAL BINTI IBRAHIM

MANAGERIAL POSITION :

HEAD OF LABORATORY

ENTITY :

INSTITUTE FOR MATHEMATICAL RESEARCH

PERMANENT POST :

ASSOCIATE PROFESSOR

ENTITY :

FACULTY OF SCIENCE

FIELD OF SUPERVISION

APPLIED MATHEMATICS / COMPUTATIONAL MATHEMATICS / FINANCIAL MATHEMATICS / MATHEMATICAL PHYSICS AND ENGINEERING

EDUCATION

PHD
UNIVERSITY OF ESSEX
Graduated : 2013

MASTER OF SCIENCE (FINANCIAL MATHEMATICS)
UNIVERSITY OF LEEDS, LEEDS, UNITED KINGDOM
Graduated : 2008

BACELOR SAINS
UNIVERSITY OF MINNESOTA, TWIN CITIES, MINNESOTA, UNITED STATES OF AMERICA
Graduated : 2006

JOURNAL PUBLICATION

1. Pricing Formula for Power Options with Jump-Diffusion
Journal type: Citation-Indexed - Scopus

2. Pricing Power Options under the Heston Dynamics using the FFT
Journal type: Other Abstracting / Indexing Bodies

3. Pricing Extendible Options Using the Fast Fourier Transform
Journal type: Citation-Indexed Journal - Science Citation Index (JCR)

4. Risk-neutral valuation of power barrier options
Journal type: Citation-Indexed Journal - Science Citation Index (JCR)

5. Pricing Holder-Extendable Options in a Stochastic Volatility Model with an Ornstein-Uhlenbeck Process
Journal type: Citation-Indexed - Scopus

6. Modeling Rubber Prices as a GBM Process
Journal type: Citation-Indexed - Scopus

7. PRICING DOWN-AND-OUT POWER OPTIONS WITH EXPONENTIALLY CURVED BARRIER
Journal type: Citation-Indexed - Scopus

8. A Network Analysis of the Stock Market in Malaysia, Singapore and Indonesia
Journal type: Citation-Indexed - Scopus

9. Fourier-Based Approach for Power Options Valuation
Journal type: Citation-Indexed - Scopus

10. Pricing Arithmetic Asian Put Option with Early Exercise Boundary under Jump-Diffusion Process
Journal type: Citation-Indexed - Scopus

11. PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY
Journal type: Citation-Indexed Journal - Science Citation Index (JCR)

12. MODELLING MALAYSIAN GOLD PRICES USING GEOMETRIC BROWNIAN MOTION MODEL
Journal type: Citation-Indexed - Scopus

13. Geometric Fractional Brownian Motion Model for Commodity Market Simulation
Journal type: Citation-Indexed Journal - Science Citation Index (JCR)

14. Performance Enhancement of Trinomial Option Pricing Model
Journal type: Citation-Indexed - Scopus

15. The valuation of knock-out power calls under Black–Scholes framework
Journal type: Citation-Indexed - Scopus

16. Price Modeling of Eucalyptus Wood under Different Silvicultural Management for Real Options Approach
Journal type: Citation-Indexed Journal - Science Citation Index (JCR)

17. Pricing equity warrants with jumps, stochastic volatility, and stochastic interest rates
Journal type: Citation-Indexed - Scopus

18. Call warrants pricing formula under mixed-fractional Brownian motion with Merton jump-diffusion
Journal type: Citation-Indexed - Scopus

19. Analytical Formula of European-Style Power Call Options in an MFBM with Jumps Model
Journal type: Non Citation-Indexed

20. Comparison of GBM, GFBM and MJD Models in Malaysian Rubber Prices Forecasting
Journal type: Citation-Indexed Journal - ESCI

21. Simulating Rubber Prices under Geometric Fractional Brownian Motion with Different Hurst Estimators
Journal type: Citation-Indexed Journal - ESCI

22. Penalty method for pricing American-style Asian option with jumps diffusion process
Journal type: Citation-Indexed - Scopus

23. Pricing Writer-Extendable Call Options with Monte Carlo Simulation
Journal type: MYCITE

24. A MINIMUM SPANNING TREE STOCK MARKET ANALYSIS OF MALAYSIA TECHNOLOGY COMPANIES
Journal type: Citation-Indexed - Scopus

25. Incorporating long memory into the modeling of gold prices
Journal type: Citation-Indexed - Scopus

26. THE IMPACT OF MACROECONOMIC VARIABLES ON STOCK PRICES: A CASE STUDY FROM FTSE BURSA MALAYSIA KLCI FROM 1994 UNTIL 2022
Journal type: MYCITE

PUBLICATION

2024

A MINIMUM SPANNING TREE STOCK MARKET ANALYSIS OF MALAYSIA TECHNOLOGY COMPANIES

2024

Incorporating long memory into the modeling of gold prices

2023

Penalty method for pricing American-style Asian option with jumps diffusion process

2022

The valuation of knock-out power calls under Black�Scholes framework

2022

Price Modeling of Eucalyptus Wood under Different Silvicultural Management for Real Options Approach

2022

Pricing equity warrants with jumps, stochastic volatility, and stochastic interest rates

2022

Call warrants pricing formula under mixed-fractional Brownian motion with Merton jump-diffusion

2021

The Valuation Of Knock-Out Power Calls Under The Black-Scholes Framework

2021

Geometric Fractional Brownian Motion Model for Commodity Market Simulation

2020

Pricing Arithmetic Asian Put Option with Early Exercise Boundary under Jump-Diffusion Process

2020

MODELLING MALAYSIAN GOLD PRICES USING GEOMETRIC BROWNIAN MOTION MODEL

2019

PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY

2019

PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY

2019

Fourier-Based Approach for Power Options Valuation

2019

A Mathematical Approach to Forecasting Malaysia Centrifuged Latex Prices with Jump-Diffusion Process

2018

A Network Analysis of the Stock Market in Malaysia, Singapore and Indonesia

2018

Simulation of stock prices with jump-diffusion

2018

PRICING DOWN-AND-OUT POWER OPTIONS WITH EXPONENTIALLY CURVED BARRIER

2017

Pricing Holder-Extendable Options in a Stochastic Volatility Model with an Ornstein-Uhlenbeck Process

2016

Modeling Rubber Prices as a GBM Process

2016

Pricing Formula for Power Options with Jump-Diffusion

2015

Pricing Formula for Power Options under Jump-Diffusion

2015

Extendible Options under Stochastic Volatility with an Ornstein-Uhlenbeck Process

2014

Pricing Extendible Options Using the Fast Fourier Transform

2013

Pricing Power Options under the Heston Dynamics using the FFT

2013

Risk-neutral valuation of power barrier options

DISCLAIMER: All contents are my personal view & experience. UPM will not be held responsible or liable for any issue including misfortune, accidents, injury, death, damage, lost, delay or inconvenience.

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