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 34 0 1 5 189
FX Smile in the Heston Model 0 0 0 143 0 0 15 448
FX Smile in the Heston Model 0 0 0 57 1 1 2 204
FX smile in the Heston model 0 1 1 100 2 3 3 304
The vanna - volga method for derivatives pricing 0 0 6 318 2 5 24 1,008
Total Working Papers 0 1 8 652 5 10 49 2,153

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 1 236 1 1 7 899
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 2 318 1 2 5 697
HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model 0 0 0 145 0 1 1 407
HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile 0 0 4 184 0 0 8 550
HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) 0 1 2 104 0 2 3 381
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 0 0 1 380 0 0 7 1,122
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 0 0 2 213 0 0 2 544
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 0 0 0 510 0 0 2 1,199
STF2HES: MATLAB functions for "FX smile in the Heston model" 0 0 1 239 0 0 4 662
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 0 2 132 0 0 13 481
Total Software Items 0 1 15 2,461 2 6 52 6,942

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Statistics updated 2025-03-03