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STF2HES: MATLAB functions for "FX smile in the Heston model"

Author

Listed:
  • Agnieszka Janek
  • Rafal Weron

Programming Language

MATLAB

Abstract

These functions are Matlab implementations of the concepts brought forward in Chapter 4 "FX smile in the Heston model" of "Statistical Tools for Finance and Insurance (2nd ed.)" edited by P.Cizek, W.Haerdle and R.Weron, published by Springer, 2011. The zip file includes 9 functions: GarmanKohlhagen.m, HestonFFTVanilla.m, HestonVanilla.m, HestonVanillaFitSmile.m, HestonVanillaLipton.m, HestonVanillaSmile.m, pdfHeston.m, simGBM.m, simHeston.m. For sample applications see the STF2HES_EX.zip example scripts at http://ideas.repec.org/c/wuu/hscode/zip10001.html.

Suggested Citation

  • Agnieszka Janek & Rafal Weron, 2010. "STF2HES: MATLAB functions for "FX smile in the Heston model"," HSC Software ZIP10002, Hugo Steinhaus Center, Wroclaw University of Technology.
    • Handle: RePEc:wuu:hscode:zip10002
    as

    Download full text from publisher

    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/hscode/STF2hes.zip
    File Function: Zipped file with Matlab functions
    Download Restriction: no
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