Persons: Ratanov, Nikita Evgenievich

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Ratanov, Nikita Evgenievich

Total publications:	37 (37)
in MathSciNet:	20 (20)
in zbMATH:	26 (26)
in Web of Science:	4 (4)
in Scopus:	17 (17)
Cited articles:	17
Citations:	214
Presentations:	4

Number of views:
This page:	1381
Abstract pages:	1500
Full texts:	592
References:	217

Associate professor

Doctor of physico-mathematical sciences (1999)

Speciality:

01.01.02 (Differential equations, dynamical systems, and optimal control)

Birth date:

10.04.1954

E-mail:

Keywords:

telegraph processes, mathematical finance.

MSC:

35L**, 35Q**, 37H10, 34F05, 60H**, 60F05, 60G**

Subject:

stochastic analysis, mathematical finance

Main publications:

N. Ratanov, “A jump telegraph model for option pricing”, Quantitative Finance, 7:5 (2007), 575–583
L. Bogachev, N. Ratanov, “Occupation time distributions for the telegraph process”, Stoch. Proc. Appl., 121:8 (2011), 1816–1844

https://www.mathnet.ru/eng/person17775

List of publications on Google Scholar

List of publications on ZentralBlatt

https://mathscinet.ams.org/mathscinet/MRAuthorID/200567

Full list of publications:

scientific publications

by years

by types

by times cited

common list

		Citations (Crossref Cited-By Service + Math-Net.Ru)

Articles

1.	M. M. Dyshaev, N. E. Ratanov, V. P. Dergilev, A. A. Lazarev, “Yield crop simulation for options pricing”, Chelyab. Fiz.-Mat. Zh., 6:4 (2021), 512–528
2.	O. López, N. Ratanov, “Option pricing under jump-telegraph model with random jumps”, J. Appl. Prob., 49:3 (2012), 838-849	16 ^[x]
3.	O. López, N. Ratanov, “Kac's rescaling for jump-telegraph processes”, Stat. Prob. Letters, 82 (2012), 1768-1776	15 ^[x]
4.	L. Bogachev, N. Ratanov, “Occupation time distributions for the telegraph process”, Stoch. Proc. Appl., 121:8 (2011), 1816-1844	22 ^[x]
5.	N. Ratanov, “Option pricing model based on a Markov-modulated diffusion with jumps”, Braz. J. Probab. Stat., 24:2 (2010), 413-431	27 ^[x]
6.	N. Ratanov, “Jump telegraph processes and a volatility smile”, Math. Meth. Econ. Fin., 3 (2008), 93-111
7.	N. Ratanov, A. Melnikov, “On financial markets based on telegraph processes”, Stochastics: An International Journal of Probability and Stochastic Processes, 80:2-3 (2008), 247-268 , Reprinted in IMS Lecture Notes Monograph Series Vol 57A, Stochastics: A Festschrift for Priscilla Greenwood Nick Bingham, Igor Estigneev, Editors	20 ^[x]
8.	N.Ratanov, “Jump telegraph processes and financial markets with memory”, J. Appl. Math. Stoch. Anal., 2007 (2007), 72326 , 19 pp.	9 ^[x]
9.	N. Ratanov, “A jump telegraph model for option pricing”, Quant. Finance, 7:5 (2007), 575-583	56 ^[x]
10.	A.Melnikov, N.Ratanov, “NEODNORODNYE TELEGRAFNYE PROTsESSY I IKh PRIMENENIE K MODELIROVANIYu FINANSOVYKh RYNKOV Inhomogeneous telegraph processes and their application to financial market modeling”, Doklady Mathematics, 75:1 (2007), 115-117	2 ^[x]
11.	E.Orsingher, N.Ratanov, “Exact distributions of random motions in inhomogeneous media”, Theory of Probability and Mathematical Statistics, 76 (2007), 125-137
12.	N.Ratanov, “Telegraph models of financial markets”, Rev. Colombiana de Matem., 41 (2007), 247-252
13.	N. Ratanov, “An option pricing model based on jump telegraph processes”, Proc. Appl. Math. Mech., 7:1 (2007), 2080009-2080010
14.	N. Ratanov, “Branching random motions, non-linear hyperbolic systems and travelling waves”, European Series in Applied and Industrial Mathematics (ESAIM:PS), 10 (2006), 236-257	4 ^[x]
15.	N. Ratanov, “Pricing options under telegraph processes”, Rev. Econ. Ros., 8:2 (2005), 131-150
16.	N. Ratanov, “Reaction-advection random motions in inhomogeneous media”, Physica D: Nonlinear Phenomena, 189:1-2 (2004), 130-140	3 ^[x]
17.	Dudnikova T.V., Komech A.I., Ratanov N.E., Suhov Y.M., “On convergence to equilibrium distribution II. The wave equation in odd dimensions with mixing”, J. Stat. Phys., 108:5-6 (2002), 1219-1254	10 ^[x]
18.	E. Orsingher, N. Ratanov, “Planar random motions with drift”, J. Appl. Math. Stoch. Anal., 15:3 (2002), 205-221	11 ^[x]
19.	N. Ratanov, “Telegraph evolutions in inhomogeneous media”, Markov Processes and Related Fields, 5:1 (1999), 53-68
20.	N. E. Ratanov, “Random motion of particle in inhomogeneous 1D media with reflecting and absorbing barriers”, Theoret. and Math. Phys., 112:1 (1997), 857–865
21.	N. Ratanov, “On the invariance principle for the solutions of stochastic wave equation”, Random Oper. Stoch.Equations, 4:3 (1996), 273-282
22.	N. Ratanov, “On the asymptotics of the statistical solutions of wave equation with variable coefficients”, Random Oper. and Stoch. Equations, 4:4 (1996), 339-350
23.	N.E.Ratanov, “Ob invariantnykh gaussovykh merakh dlya giperbolicheskogo uravneniya vtorogo poryadka”, Vestnik Chelyabinskogo universiteta, 3:1 (1996), 90–98
24.	N. Ratanov, “Asymptotic behaviour of the statistical solutions of linear differential equations”, Z. Angew. Math. Mech., 76:3 (1996), 545-546
25.	N. E. Ratanov, Vestnik Chelyabinsk. Gos. Univ., 1996, no. 3, 90–98
26.	N. E. Ratanov, Yu. M. Sukhov, “Invariant states for the time dynamics of a class of multidimensional lattice quantum Fermi systems”, Theoret. and Math. Phys., 94:1 (1993), 55–60
27.	N. E. Ratanov, Yu. M. Sukhov, “Invariant states for time dynamics of one-dimensional lattice quantum fermi systems”, Theoret. and Math. Phys., 88:2 (1991), 849–858
28.	N. Ratanov, A. G. Shuhov, Yu. M. Suhov, “Stabilization of the statistical solution of the parabolic equation”, Acta Appl. Math., 22 (1991), 103-115
29.	N. E. Ratanov, Vestnik Chelyabinsk. Gos. Univ., 1991, no. 1, 64–70
30.	A. I. Komech, N. E. Ratanov, “Stabilization of space-time stochastic solutions of wave equation”, Statistics and Control of Stochastic Processes, v.2, Steclov Seminar 1985-1986, Optimization Software Inc., Publication Division, New York-Los Angeles, 1989, 171-187
31.	N. E. Ratanov, “Asimptoticheskaya normalnost statisticheskikh reshenii volnovogo uravneniya”, Vestnik Mosk. univ., ser.1, 1985, no. 4, 73–75 http://www.springerlink.com/content/0027-1322 (Asymptotic normality of the statistical solutions of the wave equation. Mosc. Univ. Math. Bull., 40, No.4, 77-79 (1985))
32.	N. E. Ratanov, “Asymptotic normality of statistical solutions of the wave equation”, Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 1985, no. 4, 73–75
33.	N. E. Ratanov, “Stabilization of statistical solutions of second-order hyperbolic equations”, Russian Math. Surveys, 39:1 (1984), 179–180
34.	N. E. Ratanov, “Ob asimptoticheskoi normalnosti statisticheskikh reshenii volnovogo uravneniya”, Differentsialnye uravneniya i ikh primeneniya, Mosk. un–ta, 1984, 153–160
35.	N. E. Ratanov, “Stabilizatsiya statisticheskikh reshenii volnovogo uravneniya”, Differentsialnye uravneniya i ikh primeneniya, Mosk. un–ta, 1984, 95–101
Books

36.	N.Ratanov, Modelos estocásticos de mercados financieros, Universidad del Rosario, 2009 , 148 pp.
37.	N. E. Ratanov, Strategii khedzhirovaniya. Printsipy matematicheskogo modelirovaniya, Chelyabinskii universitet, 2001 , 187 pp.

Presentations in Math-Net.Ru

1.	Piecewise deterministic Markov process with two-well potential. Again about stochastic resonance N. E. Ratanov 9th International Conference on Stochastic Methods June 3, 2024 17:30
2.	Кусочно-детерминированные процессы N. E. Ratanov Dobrushin Mathematics Laboratory Seminar February 14, 2023 16:00
3.	Телеграфные модели оценивания опционов N. E. Ratanov Principle Seminar of the Department of Probability Theory, Moscow State University November 16, 2022 16:45
4.	Телеграфные процессы и финансовое моделирование N. E. Ratanov Seminar on Probability Theory and Mathematical Statistics October 18, 2013 18:00

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