Agnieszka Janek
Names
| first: | Agnieszka |
| last: | Janek |
Identifer
| RePEc Short-ID: | pja286 |
Contact
Affiliations
-
Politechnika Wrocławska
/ Hugo Steinhaus Center for Stochastic Methods
- EDIRC entry
- location:
Research profile
author of:
- FX Smile in the Heston Model (RePEc:arx:papers:1010.1617)
by Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup - GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model (RePEc:boc:bocode:m430001)
by Agnieszka Janek & Rafal Weron - HESTONFFTVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the FFT approach of Carr and Madan (1999) (RePEc:boc:bocode:m430002)
by Agnieszka Janek & Rafal Weron - HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model (RePEc:boc:bocode:m430003)
by Agnieszka Janek & Rafal Weron - HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile (RePEc:boc:bocode:m430004)
by Agnieszka Janek & Rafal Weron - HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) (RePEc:boc:bocode:m430005)
by Agnieszka Janek & Rafal Weron - HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model (RePEc:boc:bocode:m430006)
by Agnieszka Janek & Rafal Weron - PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model (RePEc:boc:bocode:m430007)
by Agnieszka Janek & Rafal Weron - SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model (RePEc:boc:bocode:m430009)
by Agnieszka Janek & Rafal Weron - FX Smile in the Heston Model (RePEc:hum:wpaper:sfb649dp2010-047)
by Agnieszka Janek & Tino Kluge & Rafał Weron & Uwe Wystup - FX Smile in the Heston Model (RePEc:pra:mprapa:25491)
by Janek, Agnieszka & Kluge, Tino & Weron, Rafal & Wystup, Uwe - The vanna - volga method for derivatives pricing (RePEc:pra:mprapa:36127)
by Janek, Agnieszka - STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" (RePEc:wuu:hscode:zip10001)
by Agnieszka Janek & Rafal Weron - STF2HES: MATLAB functions for "FX smile in the Heston model" (RePEc:wuu:hscode:zip10002)
by Agnieszka Janek & Rafal Weron - FX Smile in the Heston Model (RePEc:wuu:wpaper:hsc1002)
by Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup - FX smile in the Heston model (RePEc:zbw:sfb649:sfb649dp2010-047)
by Janek, Agnieszka & Kluge, Tino & Weron, Rafał & Wystup, Uwe