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 0 143 1 2 3 450
FX Smile in the Heston Model 0 0 0 57 0 0 1 204
FX Smile in the Heston Model 0 0 0 34 0 2 5 191
FX smile in the Heston model 0 0 1 100 0 0 4 305
The vanna - volga method for derivatives pricing 0 0 1 318 2 4 15 1,015
Total Working Papers 0 0 2 652 3 8 28 2,165

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 1 2 900
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 2 2 4 699
HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model 0 0 0 145 0 0 1 407
HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile 1 1 2 185 1 2 5 554
HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) 0 0 2 104 0 0 6 384
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 0 0 0 380 0 1 2 1,123
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 0 0 0 213 0 1 1 545
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 0 0 0 510 0 2 5 1,202
STF2HES: MATLAB functions for "FX smile in the Heston model" 0 0 0 239 0 1 1 663
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 0 0 132 1 2 3 483
Total Software Items 1 1 4 2,462 5 12 30 6,960

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Statistics updated 2025-10-06