IDEAS home Printed from https://ideas.repec.org/f/pra277.html
   My authors  Follow this author

Nikita Ratanov

Personal Details

First Name:Nikita
Middle Name:
Last Name:Ratanov
Suffix:
RePEc Short-ID:pra277
http://www2.urosario.edu.co/urweb/FASE3/profesores/doce_nikita_ratanov.htm

Affiliation

Facultad de Economía
Universidad del Rosario

Santa Fe de Bogotá, Colombia
http://www.urosario.edu.co/facultad-economia/inicio/

:


RePEc:edi:ferosco (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

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, December.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Nikita Ratanov, 2008. "Option Pricing Model Based on a Markov-modulated Diffusion with Jumps," Papers 0812.0761, arXiv.org.

    Cited by:

    1. Igor G. Pospelov & Stanislav A. Radionov, 2015. "Optimal Dividend Policy When Cash Surplus Follows The Telegraph Process," HSE Working papers WP BRP 48/FE/2015, National Research University Higher School of Economics.

  2. Nikita Ratanov & Alexander Melnikov, 2007. "On Financial Markets Based on Telegraph Processes," Papers 0712.3428, arXiv.org.

    Cited by:

    1. Igor G. Pospelov & Stanislav A. Radionov, 2015. "Optimal Dividend Policy When Cash Surplus Follows The Telegraph Process," HSE Working papers WP BRP 48/FE/2015, National Research University Higher School of Economics.
    2. Oscar Lopez & Rafael Serrano, 2014. "Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models," Papers 1406.3112, arXiv.org.

  3. 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.

    Cited by:

    1. Alessandro De Gregorio & Stefano Iacus, 2007. "Change point estimation for the telegraph process observed at discrete times," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1053, Universitá degli Studi di Milano.
    2. Alessandro Gregorio & Stefano Iacus, 2008. "Parametric estimation for the standard and geometric telegraph process observed at discrete times," Statistical Inference for Stochastic Processes, Springer, vol. 11(3), pages 249-263, October.

  4. Nikita Ratanov, 2004. "A Jump Telegraph Model for Option Pricing," BORRADORES DE INVESTIGACIÓN 001919, UNIVERSIDAD DEL ROSARIO.

    Cited by:

    1. Alessandro De Gregorio & Stefano Iacus, 2007. "Change point estimation for the telegraph process observed at discrete times," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1053, Universitá degli Studi di Milano.
    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. Ratanov, Nikita, 2014. "On piecewise linear processes," Statistics & Probability Letters, Elsevier, vol. 90(C), pages 60-67.
    4. López, Oscar & Ratanov, Nikita, 2012. "Kac’s rescaling for jump-telegraph processes," Statistics & Probability Letters, Elsevier, vol. 82(10), pages 1768-1776.
    5. Igor G. Pospelov & Stanislav A. Radionov, 2015. "Optimal Dividend Policy When Cash Surplus Follows The Telegraph Process," HSE Working papers WP BRP 48/FE/2015, National Research University Higher School of Economics.
    6. Ratanov, Nikita, 2015. "Hypo-exponential distributions and compound Poisson processes with alternating parameters," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 71-78.
    7. De Gregorio, Alessandro & Macci, Claudio, 2012. "Large deviation principles for telegraph processes," Statistics & Probability Letters, Elsevier, vol. 82(11), pages 1874-1882.
    8. Alessandro Gregorio & Stefano Iacus, 2008. "Parametric estimation for the standard and geometric telegraph process observed at discrete times," Statistical Inference for Stochastic Processes, Springer, vol. 11(3), pages 249-263, October.
    9. 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. "Option Pricing Model Based on Telegraph Processes with Jumps," BORRADORES DE INVESTIGACIÓN 004330, UNIVERSIDAD DEL ROSARIO.

    Cited by:

    1. Nikita Ratanov, 2004. "A Jump Telegraph Model for Option Pricing," BORRADORES DE INVESTIGACIÓN 001919, UNIVERSIDAD DEL ROSARIO.
    2. 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.

Articles

  1. López, Oscar & Ratanov, Nikita, 2012. "Kac’s rescaling for jump-telegraph processes," Statistics & Probability Letters, Elsevier, vol. 82(10), pages 1768-1776.

    Cited by:

    1. Igor G. Pospelov & Stanislav A. Radionov, 2015. "Optimal Dividend Policy When Cash Surplus Follows The Telegraph Process," HSE Working papers WP BRP 48/FE/2015, National Research University Higher School of Economics.

  2. Nikita Ratanov, 2007. "A jump telegraph model for option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 575-583.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Nikita Ratanov should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.