# Details about Agnieszka Janek

Access statistics for papers by Agnieszka Janek.

Last updated 2013-12-07. Update your information in the RePEc Author Service.

Short-id: pja286

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Software Items
## Working Papers

### 2011

- The vanna - volga method for derivatives pricing

MPRA Paper, University Library of Munich, Germany

### 2010

- FX Smile in the Heston Model

HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (11)

**Also in** SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2010) View citations (3)

Papers, arXiv.org (2010)

MPRA Paper, University Library of Munich, Germany (2010) View citations (13)

## Software Items

### 2010

- GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model

Statistical Software Components, Boston College Department of Economics
- HESTONFFTVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the FFT approach of Carr and Madan (1999)

Statistical Software Components, Boston College Department of Economics View citations (1)
- HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model

Statistical Software Components, Boston College Department of Economics
- HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile

Statistical Software Components, Boston College Department of Economics
- HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002)

Statistical Software Components, Boston College Department of Economics
- HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model

Statistical Software Components, Boston College Department of Economics
- PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model

Statistical Software Components, Boston College Department of Economics
- SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model

Statistical Software Components, Boston College Department of Economics
- STF2HES: MATLAB functions for "FX smile in the Heston model"

HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
- STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model"

HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology