STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model"
These example scripts illustrate 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 7 scripts allowing to reproduce the chapter's figures in Matlab. The scripts require 9 Matlab functions for proper operation: GarmanKohlhagen.m, HestonFFTVanilla.m, HestonVanilla.m, HestonVanillaFitSmile.m, HestonVanillaLipton.m, HestonVanillaSmile.m, pdfHeston.m, simGBM.m, simHeston.m; see STF2HES.zip at http://ideas.repec.org/c/wuu/hscode/zip10002.html.
|Requires:||MATLAB (tested on MATLAB ver. 7.9).|
|Date of creation:||27 Dec 2010|
|Date of revision:|
|Contact details of provider:|| Postal: Wybrzeze Wyspianskiego 27, 50-370 Wroclaw|
Web page: http://prac.im.pwr.wroc.pl/~hugo
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