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Agnieszka Janek

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This is information that was supplied by Agnieszka Janek in registering through RePEc. If you are Agnieszka Janek , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Agnieszka
Middle Name:
Last Name: Janek
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RePEc Short-ID: pja286

Email: [This author has chosen not to make the email address public]
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Affiliation

Hugo Steinhaus Center for Stochastic Methods
Politechnika Wrocławska
Location: Wrocław, Poland
Homepage: http://www.im.pwr.wroc.pl/~hugo/
Email:
Phone: +48-71-3203530
Fax: +48-71-3202654
Postal: Wybrzeze Wyspianskiego 27, 50-370 Wroclaw
Handle: RePEc:edi:hspwrpl (more details at EDIRC)

Works

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Working papers

  1. Janek, Agnieszka, 2011. "The vanna - volga method for derivatives pricing," MPRA Paper 36127, University Library of Munich, Germany.
  2. Agnieszka Janek & Tino Kluge & Rafał Weron & Uwe Wystup, 2010. "FX Smile in the Heston Model," SFB 649 Discussion Papers SFB649DP2010-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

Software components

  1. Agnieszka Janek & Rafal Weron, 2010. "HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model," Statistical Software Components M430003, Boston College Department of Economics.
  2. Agnieszka Janek & Rafal Weron, 2010. "GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model," Statistical Software Components M430001, Boston College Department of Economics.
  3. Agnieszka Janek & Rafal Weron, 2010. "HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile," Statistical Software Components M430004, Boston College Department of Economics.
  4. Agnieszka Janek & Rafal Weron, 2010. "HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model," Statistical Software Components M430006, Boston College Department of Economics.
  5. 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.
  6. Agnieszka Janek & Rafal Weron, 2010. "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 M430002, Boston College Department of Economics.
  7. Agnieszka Janek & Rafal Weron, 2010. "STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model"," HSC Software ZIP10001, Hugo Steinhaus Center, Wroclaw University of Technology.
  8. Agnieszka Janek & Rafal Weron, 2010. "PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model," Statistical Software Components M430007, Boston College Department of Economics.
  9. Agnieszka Janek & Rafal Weron, 2010. "HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002)," Statistical Software Components M430005, Boston College Department of Economics.
  10. Agnieszka Janek & Rafal Weron, 2010. "SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model," Statistical Software Components M430009, Boston College Department of Economics.

NEP Fields

4 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CMP: Computational Economics (3) 2010-10-09 2010-10-23 2010-10-23. Author is listed
  2. NEP-ORE: Operations Research (1) 2010-10-09. Author is listed

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