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 34 1 5 10 199
FX Smile in the Heston Model 0 1 1 144 1 6 10 458
FX Smile in the Heston Model 0 0 0 57 3 6 7 211
FX smile in the Heston model 0 0 0 100 2 6 10 314
The vanna - volga method for derivatives pricing 0 0 0 318 1 20 31 1,039
Total Working Papers 0 1 1 653 8 43 68 2,221

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 0 3 6 905
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 1 4 7 704
HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model 0 0 0 145 0 3 3 410
HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile 0 0 1 185 0 4 10 560
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 6 11 392
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 0 0 0 380 0 2 3 1,125
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 0 0 0 213 1 3 5 549
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 0 0 0 510 0 4 9 1,208
STF2HES: MATLAB functions for "FX smile in the Heston model" 0 0 0 239 1 3 4 666
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 0 0 132 2 4 8 489
Total Software Items 0 0 1 2,462 5 36 66 7,008

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Statistics updated 2026-03-04