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 56 0 1 10 192
FX Smile in the Heston Model 0 0 2 140 0 2 9 416
FX Smile in the Heston Model 1 1 2 96 3 4 14 280
FX Smile in the Heston Model 0 0 1 30 3 3 21 163
The vanna - volga method for derivatives pricing 0 0 6 280 8 11 35 866
Total Working Papers 1 1 12 602 14 21 89 1,917


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 1 5 219 3 8 46 821
HESTONFFTVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the FFT approach of Carr and Madan (1999) 0 1 1 306 1 2 21 674
HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model 0 0 1 141 2 2 9 398
HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile 0 0 0 174 3 4 11 525
HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) 0 0 0 98 0 0 8 362
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 0 1 7 336 0 1 26 980
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 0 0 1 199 1 3 10 505
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 1 1 9 504 2 4 21 1,177
STF2HES: MATLAB functions for "FX smile in the Heston model" 0 0 2 225 2 6 21 630
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 0 1 121 2 7 19 441
Total Software Items 1 4 27 2,323 16 37 192 6,513


Statistics updated 2020-09-04