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 58 0 0 11 215
FX Smile in the Heston Model 0 0 0 34 2 2 18 209
FX Smile in the Heston Model 0 0 2 145 1 4 27 476
FX smile in the Heston model 0 0 0 100 1 1 13 318
The vanna - volga method for derivatives pricing 0 0 3 321 1 3 48 1,061
Total Working Papers 0 0 6 658 5 10 117 2,279

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 0 9 908
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 0 9 706
HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model 0 0 0 145 0 0 8 415
HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile 0 0 1 185 0 0 10 563
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 1 13 397
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 0 0 0 380 0 0 5 1,128
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 0 0 1 214 0 0 9 554
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 0 0 0 510 0 0 11 1,213
STF2HES: MATLAB functions for "FX smile in the Heston model" 0 0 0 239 0 0 6 669
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 0 0 132 1 2 13 495
Total Software Items 0 0 2 2,463 1 3 93 7,048

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Statistics updated 2026-09-10