Personal Details
First Name: Nikita
Middle Name:
Last Name: Ratanov
Suffix:
RePEc Short-ID: pra277
Email:
Homepage:
http://www2.urosario.edu.co/urweb/FASE3/profesores/doce_nikita_ratanov.htm
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Affiliation
(in no particular order)
Works
| Working papers | Articles | Access
and download statistics | Citations (if
any)| NEP Fields |
Download all references for this author: available formats: HTML
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Working papers
- Nikita Ratanov, 2008.
"Option Pricing Model Based on a Markov-modulated Diffusion with Jumps,"
Quantitative Finance Papers
0812.0761, arXiv.org.
[Downloadable!]
- Nikita Ratanov, 2008.
"Jump Telegraph-Diffusion Option Pricing,"
UNIMI - Research Papers in Economics, Business, and Statistics
1070, Universitá degli Studi di Milano.
[Downloadable!]
- Nikita Ratanov & Alexander Melnikov, 2007.
"On Financial Markets Based on Telegraph Processes,"
Quantitative Finance Papers
0712.3428, arXiv.org.
[Downloadable!]
- Nikita Ratanov, 2005.
"Quantil Hedging for telegraph markets and its applications to a pricing of equity-linked life insurance contracts,"
BORRADORES DE INVESTIGACIÃN
003410, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA.
[Downloadable!]
- Nikita Ratanov, 2004.
"Option Pricing Model Based on Telegraph Processes with Jumps,"
BORRADORES DE INVESTIGACIÃN
004330, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA.
[Downloadable!]
- Nikita Ratanov, 2004.
"A Jump Telegraph Model for Option Pricing,"
BORRADORES DE INVESTIGACIÃN
001919, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA.
[Downloadable!]
Published as: - Nikita Ratanov, 2004.
"Branching random motions, nonlinear hyperbolic systems and traveling waves,"
BORRADORES DE INVESTIGACIÃN
004331, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA.
[Downloadable!]
Articles
- Nikita Ratanov, 2007.
"A jump telegraph model for option pricing,"
Quantitative Finance,
Taylor and Francis Journals, vol. 7(5), pages 575-583.
[Downloadable!] (restricted)
Other versions: - RATANOV, Nikita, 2005.
"Pricing Options under Telegraph Processes,"
REVISTA DE ECONOMÍA DEL ROSARIO,
UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA.
[Downloadable!]
NEP Fields
1 paper by this author was announced in NEP, and specifically in the following field reports (number of papers):
- NEP-FMK: Financial Markets (1) 2008-07-30 Author is listed
- NEP-IFN: International Finance (1) 2008-07-30 Author is listed
- NEP-ORE: Operations Research (1) 2008-07-30 Author is listed
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This page was last updated on 2009-11-27.
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