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 95 1 2 11 275
FX Smile in the Heston Model 0 1 1 56 1 2 9 190
FX Smile in the Heston Model 0 0 2 30 1 8 17 156
FX Smile in the Heston Model 0 1 2 140 0 1 8 413
The vanna - volga method for derivatives pricing 0 2 9 280 0 4 30 852
Total Working Papers 0 4 15 601 3 17 75 1,886


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 6 217 4 8 46 807
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 1 305 1 3 22 672
HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model 1 1 2 141 1 4 9 396
HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile 0 0 1 174 0 2 8 521
HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) 0 0 0 98 2 4 8 362
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 2 3 6 335 5 11 33 979
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 0 0 1 199 0 3 6 501
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 2 4 18 503 4 9 33 1,173
STF2HES: MATLAB functions for "FX smile in the Heston model" 0 1 11 225 1 7 28 621
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 1 2 121 1 7 15 433
Total Software Items 5 11 48 2,318 19 58 208 6,465


Statistics updated 2020-05-04