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

Working Papers

2011

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

2010

2. FX Smile in the Heston Model
   MPRA Paper, University Library of Munich, Germany View citations (20)
   Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2010) View citations (16)
   Papers, arXiv.org (2010) View citations (15)
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology (2010) View citations (17)

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
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 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
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
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
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
7. PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model
   Statistical Software Components, Boston College Department of Economics
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
9. STF2HES: MATLAB functions for "FX smile in the Heston model"
   HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
10. STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model"
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology