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Nikita Ratanov

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

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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 3410, Universidad del Rosario.
  5. Nikita Ratanov, 2004. "A Jump Telegraph Model for Option Pricing," Borradores de Investigación 1919, Universidad del Rosario.
  6. Nikita Ratanov, 2004. "Branching random motions, nonlinear hyperbolic systems and traveling waves," Borradores de Investigación 4331, Universidad del Rosario.
  7. Nikita Ratanov, 2004. "Option Pricing Model Based on Telegraph Processes with Jumps," Borradores de Investigación 4330, Universidad del Rosario.

Articles

  1. Ratanov, Nikita, 2021. "On telegraph processes, their first passage times and running extrema," Statistics & Probability Letters, Elsevier, vol. 174(C).
  2. Nikita Ratanov, 2020. "First Crossing Times of Telegraph Processes with Jumps," Methodology and Computing in Applied Probability, Springer, vol. 22(1), pages 349-370, March.
  3. Ratanov, Nikita, 2017. "Piecewise linear process with renewal starting points," Statistics & Probability Letters, Elsevier, vol. 131(C), pages 78-86.
  4. Nikita Ratanov, 2016. "Option Pricing Under Jump-Diffusion Processes with Regime Switching," Methodology and Computing in Applied Probability, Springer, vol. 18(3), pages 829-845, September.
  5. Ratanov, Nikita, 2015. "Hypo-exponential distributions and compound Poisson processes with alternating parameters," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 71-78.
  6. Nikita Ratanov, 2015. "Telegraph Processes with Random Jumps and Complete Market Models," Methodology and Computing in Applied Probability, Springer, vol. 17(3), pages 677-695, September.
  7. Ratanov, Nikita, 2014. "On piecewise linear processes," Statistics & Probability Letters, Elsevier, vol. 90(C), pages 60-67.
  8. López, Oscar & Ratanov, Nikita, 2012. "Kac’s rescaling for jump-telegraph processes," Statistics & Probability Letters, Elsevier, vol. 82(10), pages 1768-1776.
  9. 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.
  10. Nikita Ratanov, 2007. "A jump telegraph model for option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 575-583.
  11. Nikita Ratanov, 2007. "Jump Telegraph Processes and Financial Markets with Memory," International Journal of Stochastic Analysis, Hindawi, vol. 2007, pages 1-19, October.
  12. Nikita Ratanov, 2005. "Pricing Options under Telegraph Processes," Revista de Economía del Rosario, Universidad del Rosario, December.
  13. E. Orsingher & N. Ratanov, 2002. "Planar random motions with drift," International Journal of Stochastic Analysis, Hindawi, vol. 15, pages 1-17, January.

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. "Jump Telegraph-Diffusion Option Pricing," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1070, Universitá degli Studi di Milano.

    Cited by:

    1. Anatoliy A. Pogorui & Anatoliy Swishchuk & Ramón M. Rodríguez-Dagnino, 2021. "Transformations of Telegraph Processes and Their Financial Applications," Risks, MDPI, vol. 9(8), pages 1-21, August.

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

    Cited by:

    1. Ratanov, Nikita, 2015. "Hypo-exponential distributions and compound Poisson processes with alternating parameters," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 71-78.
    2. Nikita Ratanov, 2016. "Option Pricing Under Jump-Diffusion Processes with Regime Switching," Methodology and Computing in Applied Probability, Springer, vol. 18(3), pages 829-845, September.
    3. Nikita Ratanov, 2020. "First Crossing Times of Telegraph Processes with Jumps," Methodology and Computing in Applied Probability, Springer, vol. 22(1), pages 349-370, March.
    4. Anatoliy A. Pogorui & Anatoliy Swishchuk & Ramón M. Rodríguez-Dagnino, 2021. "Transformations of Telegraph Processes and Their Financial Applications," Risks, MDPI, vol. 9(8), pages 1-21, August.
    5. Antonio Di Crescenzo & Shelemyahu Zacks, 2015. "Probability Law and Flow Function of Brownian Motion Driven by a Generalized Telegraph Process," Methodology and Computing in Applied Probability, Springer, vol. 17(3), pages 761-780, September.
    6. Nikita Ratanov, 2015. "Telegraph Processes with Random Jumps and Complete Market Models," Methodology and Computing in Applied Probability, Springer, vol. 17(3), pages 677-695, September.

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

    Cited by:

    1. 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.
    2. Antonio Di Crescenzo & Barbara Martinucci, 2013. "On the Generalized Telegraph Process with Deterministic Jumps," Methodology and Computing in Applied Probability, Springer, vol. 15(1), pages 215-235, March.
    3. Anatoliy A. Pogorui & Anatoliy Swishchuk & Ramón M. Rodríguez-Dagnino, 2021. "Transformations of Telegraph Processes and Their Financial Applications," Risks, MDPI, vol. 9(8), pages 1-21, August.
    4. Oscar Lopez & Rafael Serrano, 2014. "Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models," Papers 1406.3112, 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 3410, 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. Stefano Iacus & Alessandro De Gregorio, 2006. "Parametric estimation for the standard and the geometric telegraph process observed at discrete times," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1033, Universitá degli Studi di Milano.

  5. Nikita Ratanov, 2004. "A Jump Telegraph Model for Option Pricing," Borradores de Investigación 1919, 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. Stefano Iacus & Alessandro De Gregorio, 2006. "Parametric estimation for the standard and the geometric telegraph process observed at discrete times," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1033, Universitá degli Studi di Milano.
    3. 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.
    4. Ratanov, Nikita, 2014. "On piecewise linear processes," Statistics & Probability Letters, Elsevier, vol. 90(C), pages 60-67.
    5. López, Oscar & Ratanov, Nikita, 2012. "Kac’s rescaling for jump-telegraph processes," Statistics & Probability Letters, Elsevier, vol. 82(10), pages 1768-1776.
    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. Antonio Crescenzo & Barbara Martinucci & Paola Paraggio & Shelemyahu Zacks, 2021. "Some Results on the Telegraph Process Confined by Two Non-Standard Boundaries," Methodology and Computing in Applied Probability, Springer, vol. 23(3), pages 837-858, September.
    8. Antonio Di Crescenzo & Barbara Martinucci, 2013. "On the Generalized Telegraph Process with Deterministic Jumps," Methodology and Computing in Applied Probability, Springer, vol. 15(1), pages 215-235, March.
    9. Nikita Ratanov & Alexander Melnikov, 2007. "On Financial Markets Based on Telegraph Processes," Papers 0712.3428, arXiv.org.
    10. De Gregorio, Alessandro & Macci, Claudio, 2012. "Large deviation principles for telegraph processes," Statistics & Probability Letters, Elsevier, vol. 82(11), pages 1874-1882.
    11. Nikita Ratanov, 2016. "Option Pricing Under Jump-Diffusion Processes with Regime Switching," Methodology and Computing in Applied Probability, Springer, vol. 18(3), pages 829-845, September.
    12. Nikita Ratanov & Mikhail Turov, 2023. "On Local Time for Telegraph Processes," Mathematics, MDPI, vol. 11(4), pages 1-12, February.
    13. Nikita Ratanov, 2020. "First Crossing Times of Telegraph Processes with Jumps," Methodology and Computing in Applied Probability, Springer, vol. 22(1), pages 349-370, March.
    14. Anatoliy A. Pogorui & Anatoliy Swishchuk & Ramón M. Rodríguez-Dagnino, 2021. "Transformations of Telegraph Processes and Their Financial Applications," Risks, MDPI, vol. 9(8), pages 1-21, August.
    15. López, Oscar & Oleaga, Gerardo & Sánchez, Alejandra, 2021. "Markov-modulated jump-diffusion models for the short rate: Pricing of zero coupon bonds and convexity adjustment," Applied Mathematics and Computation, Elsevier, vol. 395(C).
    16. Nikita Ratanov, 2021. "Ornstein-Uhlenbeck Processes of Bounded Variation," Methodology and Computing in Applied Probability, Springer, vol. 23(3), pages 925-946, September.
    17. Nikita Ratanov, 2022. "Kac-Ornstein-Uhlenbeck Processes: Stationary Distributions and Exponential Functionals," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 2703-2721, December.
    18. Antonio Di Crescenzo & Shelemyahu Zacks, 2015. "Probability Law and Flow Function of Brownian Motion Driven by a Generalized Telegraph Process," Methodology and Computing in Applied Probability, Springer, vol. 17(3), pages 761-780, September.
    19. Nikita Ratanov, 2005. "Quantil Hedging for telegraph markets and its applications to a pricing of equity-linked life insurance contracts," Borradores de Investigación 3410, Universidad del Rosario.
    20. Nikita Ratanov, 2015. "Telegraph Processes with Random Jumps and Complete Market Models," Methodology and Computing in Applied Probability, Springer, vol. 17(3), pages 677-695, September.

  6. Nikita Ratanov, 2004. "Branching random motions, nonlinear hyperbolic systems and traveling waves," Borradores de Investigación 4331, Universidad del Rosario.

    Cited by:

    1. 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.

  7. Nikita Ratanov, 2004. "Option Pricing Model Based on Telegraph Processes with Jumps," Borradores de Investigación 4330, Universidad del Rosario.

    Cited by:

    1. Nikita Ratanov, 2004. "A Jump Telegraph Model for Option Pricing," Borradores de Investigación 1919, Universidad del Rosario.
    2. Anatoliy A. Pogorui & Anatoliy Swishchuk & Ramón M. Rodríguez-Dagnino, 2021. "Transformations of Telegraph Processes and Their Financial Applications," Risks, MDPI, vol. 9(8), pages 1-21, August.
    3. Nikita Ratanov, 2005. "Quantil Hedging for telegraph markets and its applications to a pricing of equity-linked life insurance contracts," Borradores de Investigación 3410, Universidad del Rosario.

Articles

  1. Ratanov, Nikita, 2021. "On telegraph processes, their first passage times and running extrema," Statistics & Probability Letters, Elsevier, vol. 174(C).

    Cited by:

    1. Nikita Ratanov & Mikhail Turov, 2023. "On Local Time for Telegraph Processes," Mathematics, MDPI, vol. 11(4), pages 1-12, February.
    2. Cinque, Fabrizio & Orsingher, Enzo, 2021. "On the exact distributions of the maximum of the asymmetric telegraph process," Stochastic Processes and their Applications, Elsevier, vol. 142(C), pages 601-633.
    3. Cinque, Fabrizio, 2022. "A note on the conditional probabilities of the telegraph process," Statistics & Probability Letters, Elsevier, vol. 185(C).

  2. Nikita Ratanov, 2020. "First Crossing Times of Telegraph Processes with Jumps," Methodology and Computing in Applied Probability, Springer, vol. 22(1), pages 349-370, March.

    Cited by:

    1. Nikita Ratanov, 2021. "Ornstein-Uhlenbeck Processes of Bounded Variation," Methodology and Computing in Applied Probability, Springer, vol. 23(3), pages 925-946, September.

  3. Ratanov, Nikita, 2017. "Piecewise linear process with renewal starting points," Statistics & Probability Letters, Elsevier, vol. 131(C), pages 78-86.

    Cited by:

    1. Nikita Ratanov, 2020. "Kac–Lévy Processes," Journal of Theoretical Probability, Springer, vol. 33(1), pages 239-267, March.

  4. Nikita Ratanov, 2016. "Option Pricing Under Jump-Diffusion Processes with Regime Switching," Methodology and Computing in Applied Probability, Springer, vol. 18(3), pages 829-845, September.

    Cited by:

    1. Emmanuel Coffie, 2021. "Numerical approximation of hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay," Papers 2107.03712, arXiv.org, revised Jul 2021.
    2. López, Oscar & Oleaga, Gerardo & Sánchez, Alejandra, 2021. "Markov-modulated jump-diffusion models for the short rate: Pricing of zero coupon bonds and convexity adjustment," Applied Mathematics and Computation, Elsevier, vol. 395(C).

  5. Ratanov, Nikita, 2015. "Hypo-exponential distributions and compound Poisson processes with alternating parameters," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 71-78.

    Cited by:

    1. Kim-Hung Li & Cheuk Ting Li, 2019. "Linear Combination of Independent Exponential Random Variables," Methodology and Computing in Applied Probability, Springer, vol. 21(1), pages 253-277, March.

  6. Nikita Ratanov, 2015. "Telegraph Processes with Random Jumps and Complete Market Models," Methodology and Computing in Applied Probability, Springer, vol. 17(3), pages 677-695, September.

    Cited by:

    1. Ratanov, Nikita, 2015. "Hypo-exponential distributions and compound Poisson processes with alternating parameters," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 71-78.
    2. Antonio Crescenzo & Barbara Martinucci & Paola Paraggio & Shelemyahu Zacks, 2021. "Some Results on the Telegraph Process Confined by Two Non-Standard Boundaries," Methodology and Computing in Applied Probability, Springer, vol. 23(3), pages 837-858, September.
    3. Claudio Macci & Barbara Martinucci & Enrica Pirozzi, 2021. "Asymptotic Results for the Absorption Time of Telegraph Processes with Elastic Boundary at the Origin," Methodology and Computing in Applied Probability, Springer, vol. 23(3), pages 1077-1096, September.
    4. Nikita Ratanov, 2016. "Option Pricing Under Jump-Diffusion Processes with Regime Switching," Methodology and Computing in Applied Probability, Springer, vol. 18(3), pages 829-845, September.
    5. Johan GB Beumee & Chris Cormack & Peyman Khorsand & Manish Patel, 2014. "Path Diffusion, Part I," Papers 1406.0077, arXiv.org.
    6. Antonio Di Crescenzo & Barbara Martinucci & Shelemyahu Zacks, 2018. "Telegraph Process with Elastic Boundary at the Origin," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 333-352, March.

  7. Ratanov, Nikita, 2014. "On piecewise linear processes," Statistics & Probability Letters, Elsevier, vol. 90(C), pages 60-67.

    Cited by:

    1. Nikita Ratanov, 2020. "First Crossing Times of Telegraph Processes with Jumps," Methodology and Computing in Applied Probability, Springer, vol. 22(1), pages 349-370, March.
    2. Ratanov, Nikita, 2017. "Piecewise linear process with renewal starting points," Statistics & Probability Letters, Elsevier, vol. 131(C), pages 78-86.

  8. 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. Nikita Ratanov, 2020. "First Crossing Times of Telegraph Processes with Jumps," Methodology and Computing in Applied Probability, Springer, vol. 22(1), pages 349-370, March.
    2. Nikita Ratanov, 2021. "Ornstein-Uhlenbeck Processes of Bounded Variation," Methodology and Computing in Applied Probability, Springer, vol. 23(3), pages 925-946, September.
    3. Oscar Lopez & Gerardo E. Oleaga & Alejandra Sanchez, 2019. "Jump-telegraph models for the short rate: pricing and convexity adjustments of zero coupon bonds," Papers 1901.02995, arXiv.org.

  9. 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.

    Cited by:

    1. Nikita Ratanov, 2020. "Kac–Lévy Processes," Journal of Theoretical Probability, Springer, vol. 33(1), pages 239-267, March.
    2. Nikita Ratanov, 2020. "First Crossing Times of Telegraph Processes with Jumps," Methodology and Computing in Applied Probability, Springer, vol. 22(1), pages 349-370, March.
    3. Thomas M. Michelitsch & Federico Polito & Alejandro P. Riascos, 2023. "Semi-Markovian Discrete-Time Telegraph Process with Generalized Sibuya Waiting Times," Mathematics, MDPI, vol. 11(2), pages 1-20, January.
    4. De Gregorio, Alessandro & Iafrate, Francesco, 2021. "Telegraph random evolutions on a circle," Stochastic Processes and their Applications, Elsevier, vol. 141(C), pages 79-108.
    5. Ratanov, Nikita, 2021. "On telegraph processes, their first passage times and running extrema," Statistics & Probability Letters, Elsevier, vol. 174(C).
    6. Antonio Di Crescenzo & Barbara Martinucci & Shelemyahu Zacks, 2018. "Telegraph Process with Elastic Boundary at the Origin," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 333-352, March.

  10. 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.
  11. Nikita Ratanov, 2007. "Jump Telegraph Processes and Financial Markets with Memory," International Journal of Stochastic Analysis, Hindawi, vol. 2007, pages 1-19, October.

    Cited by:

    1. Cinque, Fabrizio, 2022. "A note on the conditional probabilities of the telegraph process," Statistics & Probability Letters, Elsevier, vol. 185(C).

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