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Information about:
Nikita Ratanov

Personal Details | Affiliation | Works
This is information that was supplied by Nikita Ratanov in registering through RePEc. If you are Nikita Ratanov , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Nikita
Middle Name:
Last Name: Ratanov
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RePEc Short-ID: pra277

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Homepage: http://www2.urosario.edu.co/urweb/FASE3/profesores/doce_nikita_ratanov.htm
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Affiliation

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Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Nikita Ratanov, 2008. "Option Pricing Model Based on a Markov-modulated Diffusion with Jumps," Quantitative Finance Papers 0812.0761, arXiv.org. [Downloadable!]

  2. Nikita Ratanov, 2008. "Jump Telegraph-Diffusion Option Pricing," UNIMI - Research Papers in Economics, Business, and Statistics 1070, Universitá degli Studi di Milano. [Downloadable!]

  3. Nikita Ratanov & Alexander Melnikov, 2007. "On Financial Markets Based on Telegraph Processes," Quantitative Finance Papers 0712.3428, arXiv.org. [Downloadable!]

  4. Nikita Ratanov, 2005. "Quantil Hedging for telegraph markets and its applications to a pricing of equity-linked life insurance contracts," BORRADORES DE INVESTIGACIÓN 003410, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA. [Downloadable!]

  5. Nikita Ratanov, 2004. "Option Pricing Model Based on Telegraph Processes with Jumps," BORRADORES DE INVESTIGACIÓN 004330, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA. [Downloadable!]

  6. Nikita Ratanov, 2004. "A Jump Telegraph Model for Option Pricing," BORRADORES DE INVESTIGACIÓN 001919, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA. [Downloadable!]
    Published as:

  7. Nikita Ratanov, 2004. "Branching random motions, nonlinear hyperbolic systems and traveling waves," BORRADORES DE INVESTIGACIÓN 004331, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA. [Downloadable!]

Articles

  1. 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:

  2. 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):
  1. NEP-FMK: Financial Markets (1) 2008-07-30 Author is listed
  2. NEP-IFN: International Finance (1) 2008-07-30 Author is listed
  3. NEP-ORE: Operations Research (1) 2008-07-30 Author is listed
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This page was last updated on 2009-11-8.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.