EconPapers    
Economics at your fingertips  
 

Details about Agnieszka Janek

Workplace:Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska (Wroclaw University of Technology), (more information at EDIRC)

Access statistics for papers by Agnieszka Janek.

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

Short-id: pja286


Jump to Software Items

Working Papers

2011

  1. The vanna - volga method for derivatives pricing
    MPRA Paper, University Library of Munich, Germany Downloads

2010

  1. FX Smile in the Heston Model
    Papers, arXiv.org Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2010) Downloads View citations (12)
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology (2010) Downloads View citations (7)
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2010) Downloads View citations (3)

Software Items

2010

  1. GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model
    Statistical Software Components, Boston College Department of Economics Downloads
  2. 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 Downloads View citations (1)
  3. HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model
    Statistical Software Components, Boston College Department of Economics Downloads
  4. 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 Downloads
  5. 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 Downloads
  6. HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model
    Statistical Software Components, Boston College Department of Economics Downloads
  7. PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model
    Statistical Software Components, Boston College Department of Economics Downloads
  8. 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 Downloads
  9. STF2HES: MATLAB functions for "FX smile in the Heston model"
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
  10. STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model"
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
 
Page updated 2014-12-15