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 1 1 12 216
FX Smile in the Heston Model 0 0 0 34 1 3 19 210
FX Smile in the Heston Model 0 0 2 145 0 1 26 476
FX smile in the Heston model 0 0 0 100 2 3 15 320
The vanna - volga method for derivatives pricing 1 1 4 322 3 5 49 1,064
Total Working Papers 1 1 7 659 7 13 121 2,286

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 8 908
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 7 706
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 0 185 0 0 9 563
HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) 1 1 1 105 1 1 14 398
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 1 1 12 1,214
STF2HES: MATLAB functions for "FX smile in the Heston model" 0 0 0 239 1 1 7 670
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 0 0 132 0 2 12 495
Total Software Items 1 1 2 2,464 3 5 91 7,051

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Statistics updated 2026-10-11