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 0 1 56 0 1 10 192
FX Smile in the Heston Model 0 0 2 140 0 2 9 416
FX Smile in the Heston Model 1 1 2 96 3 4 14 280
FX Smile in the Heston Model 0 0 1 30 3 3 21 163
The vanna - volga method for derivatives pricing 0 0 6 280 8 11 35 866
Total Working Papers 1 1 12 602 14 21 89 1,917

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 1 5 219 3 8 46 821
HESTONFFTVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the FFT approach of Carr and Madan (1999) 0 1 1 306 1 2 21 674
HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model 0 0 1 141 2 2 9 398
HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile 0 0 0 174 3 4 11 525
HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) 0 0 0 98 0 0 8 362
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 0 1 7 336 0 1 26 980
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 0 0 1 199 1 3 10 505
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 1 1 9 504 2 4 21 1,177
STF2HES: MATLAB functions for "FX smile in the Heston model" 0 0 2 225 2 6 21 630
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 0 1 121 2 7 19 441
Total Software Items 1 4 27 2,323 16 37 192 6,513

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2020-09-04