Access Statistics for Agnieszka Janek

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
FX Smile in the Heston Model 0 1 1 58 0 4 11 215
FX Smile in the Heston Model 0 1 2 145 5 14 24 472
FX Smile in the Heston Model 0 0 0 34 2 8 18 207
FX smile in the Heston model 0 0 0 100 1 3 13 317
The vanna - volga method for derivatives pricing 2 3 3 321 6 19 48 1,058
Total Working Papers 2 5 6 658 14 48 114 2,269

Software Item File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model 0 0 0 236 1 3 9 908
HESTONFFTVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the FFT approach of Carr and Madan (1999) 0 0 0 318 0 2 9 706
HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model 0 0 0 145 2 5 8 415
HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile 0 0 1 185 1 3 11 563
HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) 0 0 0 104 0 4 12 396
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 0 0 0 380 0 3 6 1,128
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 1 1 1 214 1 5 10 554
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 0 0 0 510 1 5 13 1,213
STF2HES: MATLAB functions for "FX smile in the Heston model" 0 0 0 239 0 3 7 669
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 0 0 132 0 4 12 493
Total Software Items 1 1 2 2,463 6 37 97 7,045

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Statistics updated 2026-06-04