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 99 1 1 2 300
FX Smile in the Heston Model 1 2 2 143 3 5 8 430
FX Smile in the Heston Model 0 0 0 33 2 2 5 180
FX Smile in the Heston Model 0 0 0 57 2 3 4 201
The vanna - volga method for derivatives pricing 1 2 10 302 3 5 32 959
Total Working Papers 2 4 12 634 11 16 51 2,070

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 1 2 5 235 1 4 21 888
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 2 315 0 1 3 690
HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model 1 1 1 145 1 1 1 405
HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile 0 0 5 180 0 1 9 541
HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) 1 2 3 102 2 4 8 378
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 0 3 7 372 2 20 38 1,097
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 0 1 4 209 0 1 10 537
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 0 0 0 509 0 0 5 1,195
STF2HES: MATLAB functions for "FX smile in the Heston model" 0 0 4 237 0 0 6 653
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 0 3 129 0 0 5 464
Total Software Items 3 10 34 2,433 6 32 106 6,848

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Statistics updated 2023-06-05