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 0 0 3 189
FX Smile in the Heston Model 0 0 0 57 0 1 1 204
FX Smile in the Heston Model 0 0 0 143 0 0 13 448
FX smile in the Heston model 0 0 1 100 0 2 3 304
The vanna - volga method for derivatives pricing 0 0 5 318 2 4 24 1,010
Total Working Papers 0 0 6 652 2 7 44 2,155

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 0 1 5 899
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 0 318 0 1 3 697
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 0 0 2 184 0 1 6 551
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 2 5 383
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 0 0 0 380 0 0 3 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 3 662
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 0 2 132 0 0 12 481
Total Software Items 0 0 10 2,461 0 5 42 6,945

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Statistics updated 2025-05-12