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Nikita Ratanov

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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

Facultad de Economía
Universidad del Rosario
Location: Santa Fe de Bogotá, Colombia
Homepage: http://economia.urosario.edu.co/
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Handle: RePEc:edi:ferosco (more details at EDIRC)

Works

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Working papers

  1. Nikita Ratanov, 2008. "Jump Telegraph-Diffusion Option Pricing," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1070, Universitá degli Studi di Milano.
  2. Nikita Ratanov, 2008. "Option Pricing Model Based on a Markov-modulated Diffusion with Jumps," Papers 0812.0761, arXiv.org.
  3. Nikita Ratanov & Alexander Melnikov, 2007. "On Financial Markets Based on Telegraph Processes," Papers 0712.3428, arXiv.org.
  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.
  5. Nikita Ratanov, 2004. "A Jump Telegraph Model for Option Pricing," BORRADORES DE INVESTIGACIÓN 001919, UNIVERSIDAD DEL ROSARIO.
  6. Nikita Ratanov, 2004. "Branching random motions, nonlinear hyperbolic systems and traveling waves," BORRADORES DE INVESTIGACIÓN 004331, UNIVERSIDAD DEL ROSARIO.
  7. Nikita Ratanov, 2004. "Option Pricing Model Based on Telegraph Processes with Jumps," BORRADORES DE INVESTIGACIÓN 004330, UNIVERSIDAD DEL ROSARIO.

Articles

  1. López, Oscar & Ratanov, Nikita, 2012. "Kac’s rescaling for jump-telegraph processes," Statistics & Probability Letters, Elsevier, vol. 82(10), pages 1768-1776.
  2. Bogachev, Leonid & Ratanov, Nikita, 2011. "Occupation time distributions for the telegraph process," Stochastic Processes and their Applications, Elsevier, vol. 121(8), pages 1816-1844, August.
  3. Nikita Ratanov, 2007. "A jump telegraph model for option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 575-583.
  4. Nikita Ratanov, 2005. "Pricing Options under Telegraph Processes," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO.

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