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

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


2021
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

2012
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]

2011
4.	L. Bogachev, N. Ratanov, “Occupation time distributions for the telegraph process”, Stoch. Proc. Appl., 121:8 (2011), 1816-1844	22 ^[x]

2010
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]

2009
6.	N.Ratanov, Modelos estocásticos de mercados financieros, Universidad del Rosario, 2009 , 148 pp.

2008
7.	N. Ratanov, “Jump telegraph processes and a volatility smile”, Math. Meth. Econ. Fin., 3 (2008), 93-111
8.	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]

2007
9.	N.Ratanov, “Jump telegraph processes and financial markets with memory”, J. Appl. Math. Stoch. Anal., 2007 (2007), 72326 , 19 pp.	9 ^[x]
10.	N. Ratanov, “A jump telegraph model for option pricing”, Quant. Finance, 7:5 (2007), 575-583	56 ^[x]
11.	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]
12.	E.Orsingher, N.Ratanov, “Exact distributions of random motions in inhomogeneous media”, Theory of Probability and Mathematical Statistics, 76 (2007), 125-137
13.	N.Ratanov, “Telegraph models of financial markets”, Rev. Colombiana de Matem., 41 (2007), 247-252
14.	N. Ratanov, “An option pricing model based on jump telegraph processes”, Proc. Appl. Math. Mech., 7:1 (2007), 2080009-2080010

2006
15.	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]

2005
16.	N. Ratanov, “Pricing options under telegraph processes”, Rev. Econ. Ros., 8:2 (2005), 131-150

2004
17.	N. Ratanov, “Reaction-advection random motions in inhomogeneous media”, Physica D: Nonlinear Phenomena, 189:1-2 (2004), 130-140	3 ^[x]

2002
18.	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]
19.	E. Orsingher, N. Ratanov, “Planar random motions with drift”, J. Appl. Math. Stoch. Anal., 15:3 (2002), 205-221	11 ^[x]

2001
20.	N. E. Ratanov, Strategii khedzhirovaniya. Printsipy matematicheskogo modelirovaniya, Chelyabinskii universitet, 2001 , 187 pp.

1999
21.	N. Ratanov, “Telegraph evolutions in inhomogeneous media”, Markov Processes and Related Fields, 5:1 (1999), 53-68

1997
22.	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

1996
23.	N. Ratanov, “On the invariance principle for the solutions of stochastic wave equation”, Random Oper. Stoch.Equations, 4:3 (1996), 273-282
24.	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
25.	N.E.Ratanov, “Ob invariantnykh gaussovykh merakh dlya giperbolicheskogo uravneniya vtorogo poryadka”, Vestnik Chelyabinskogo universiteta, 3:1 (1996), 90–98
26.	N. Ratanov, “Asymptotic behaviour of the statistical solutions of linear differential equations”, Z. Angew. Math. Mech., 76:3 (1996), 545-546
27.	N. E. Ratanov, Vestnik Chelyabinsk. Gos. Univ., 1996, no. 3, 90–98

1993
28.	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

1991
29.	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
30.	N. Ratanov, A. G. Shuhov, Yu. M. Suhov, “Stabilization of the statistical solution of the parabolic equation”, Acta Appl. Math., 22 (1991), 103-115
31.	N. E. Ratanov, Vestnik Chelyabinsk. Gos. Univ., 1991, no. 1, 64–70

1989
32.	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

1985
33.	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))
34.	N. E. Ratanov, “Asymptotic normality of statistical solutions of the wave equation”, Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 1985, no. 4, 73–75

1984
35.	N. E. Ratanov, “Stabilization of statistical solutions of second-order hyperbolic equations”, Russian Math. Surveys, 39:1 (1984), 179–180
36.	N. E. Ratanov, “Ob asimptoticheskoi normalnosti statisticheskikh reshenii volnovogo uravneniya”, Differentsialnye uravneniya i ikh primeneniya, Mosk. un–ta, 1984, 153–160
37.	N. E. Ratanov, “Stabilizatsiya statisticheskikh reshenii volnovogo uravneniya”, Differentsialnye uravneniya i ikh primeneniya, Mosk. un–ta, 1984, 95–101

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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