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Fingerprint Dive into the research topics where Nikita Ratanov is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

Jump Mathematics
Telegraph Engineering & Materials Science
Market Model Mathematics
Statistical Solutions Mathematics
Financial Markets Mathematics
Equivalent Martingale Measure Mathematics
Wave equation Mathematics
Random process Mathematics

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Projects 2011 2013

Models of financial markets with delayed jumps

Ratanov, N.


Project: Research project

Research Output 1991 2017

  • 160 Citations
  • 8 h-Index
  • 23 Article
2 Citations (Scopus)

Piecewise linear process with renewal starting points

Ratanov, N., Dec 2017, In : Statistics and Probability Letters. 131, p. 78-86

Research output: Contribution to journalArticle

Self-exciting piecewise linear processes

Ratanov, N., 2017, In : Alea: Estudios Neolatinos. 14, p. 455 - 471

Research output: Contribution to journalArticle

Linear Process
Piecewise Linear
First Passage Time
2 Citations (Scopus)

Option Pricing Under Jump-Diffusion Processes with Regime Switching

Ratanov, N., Sep 1 2016, In : Methodology and Computing in Applied Probability. p. 829-845 17 p.

Research output: Contribution to journalArticle

Equivalent Martingale Measure
Jump-diffusion Process
Regime Switching
Option Pricing
Incomplete Markets
2 Citations (Scopus)
Compound Poisson Process
Exponential distribution
Financial Modeling
Point Process

On jump-difusion processes with regime switching: Martingale approach

di Crescenzo, A. & Ratanov, N., Jan 1 2015, In : Alea. p. 573-596 24 p.

Research output: Contribution to journalArticle

Regime Switching
Jump Process
Relative Entropy
Equivalent Martingale Measure