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Wolfgang Hörmann
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2010 – 2019
- 2018
- [j24]Ismail Basoglu
, Wolfgang Hörmann, Halis Sak
Efficient simulations for a Bernoulli mixture model of portfolio credit risk. Ann. Oper. Res. 260(1-2): 113-128 (2018) - 2014
- [j23]Wolfgang Hörmann, Josef Leydold
Generating generalized inverse Gaussian random variates. Stat. Comput. 24(4): 547-557 (2014) - [c7]Kemal Dinçer Dingeç, Wolfgang Hörmann:
Improved monte carlo and quasi-monte carlo methods for the price and the greeks of asian options. WSC 2014: 441-452 - [c6]Ismail Basoglu
Efficient stratified sampling implementations in multiresponse simulation. WSC 2014: 757-768 - 2013
- [j22]Carsten H. Botts, Wolfgang Hörmann, Josef Leydold
Transformed density rejection with inflection points. Stat. Comput. 23(2): 251-260 (2013) - 2012
- [j21]Kemal Dinçer Dingeç, Wolfgang Hörmann:
A general control variate method for option pricing under Lévy processes. Eur. J. Oper. Res. 221(2): 368-377 (2012) - [c5]Kemal Dinçer Dingeç, Wolfgang Hörmann:
New control variates for lévy process models. WSC 2012: 15:1-15:12 - [c4]Kemal Dinçer Dingeç, Wolfgang Hörmann:
New control variates for Lévy process models. WSC 2012: 308:1-308:2 - [c3]Kemal Dinçer Dingeç, Wolfgang Hörmann:
New control variates for Lévy process models. WSC 2012: 322:1-322:2 - 2011
- [j20]Josef Leydold
Generating generalized inverse Gaussian random variates by fast inversion. Comput. Stat. Data Anal. 55(1): 213-217 (2011) - [j19]Kemal Dinçer Dingeç, Wolfgang Hörmann:
Using the continuous price as control variate for discretely monitored options. Math. Comput. Simul. 82(4): 691-704 (2011) - 2010
- [j18]Halis Sak
Efficient risk simulations for linear asset portfolios in the t-copula model. Eur. J. Oper. Res. 202(3): 802-809 (2010) - [j17]Wolfgang Hörmann, Halis Sak:
t-Copula generation for control variates. Math. Comput. Simul. 81(4): 782-790 (2010) - [j16]Gerhard Derflinger, Wolfgang Hörmann, Josef Leydold
Random variate generation by numerical inversion when only the density is known. ACM Trans. Model. Comput. Simul. 20(4): 18:1-18:25 (2010)
2000 – 2009
- 2007
- [j15]Wolfgang Hörmann:
A simple generator for the t distribution. Computing 81(4): 317-322 (2007) - [j14]Wolfgang Hörmann, Josef Leydold
Inverse transformed density rejection for unbounded monotone densities. ACM Trans. Model. Comput. Simul. 17(4): 18 (2007) - 2006
- [c2]Josef Leydold, Wolfgang Hörmann:
Black-box algorithms for sampling from continuous distributions. WSC 2006: 129-136 - 2004
- [j13]Günter Tirler, Peter Dalgaard, Wolfgang Hörmann, Josef Leydold
An error in the Kinderman-Ramage method and how to fix it. Comput. Stat. Data Anal. 47(3): 433-440 (2004) - [j12]Josef Leydold, Wolfgang Hörmann:
Smoothed Transformed Density Rejection. Monte Carlo Methods Appl. 10(3-4): 393-401 (2004) - 2003
- [j11]Josef Leydold
An automatic code generator for nonuniform random variate generation. Math. Comput. Simul. 62(3-6): 405-412 (2003) - [j10]Wolfgang Hörmann, Josef Leydold:
Continuous random variate generation by fast numerical inversion. ACM Trans. Model. Comput. Simul. 13(4): 347-362 (2003) - 2002
- [j9]Wolfgang Hörmann:
A Note on the Performance of the "Ahrens Algorithm". Computing 69(1): 83-89 (2002) - [j8]Wolfgang Hörmann, Gerhard Derflinger:
Fast generation of order statistics. ACM Trans. Model. Comput. Simul. 12(2): 83-93 (2002) - 2000
- [j7]Wolfgang Hörmann:
Algorithm 802: an automatic generator for bivariate log-concave distributions. ACM Trans. Math. Softw. 26(1): 201-219 (2000) - [c1]Wolfgang Hörmann, Josef Leydold:
Random-number and random-variate generation: automatic random variate generation for simulation input. WSC 2000: 675-682
1990 – 1999
- 1998
- [j6]Josef Leydold, Wolfgang Hörmann:
A sweep-plane algorithm for generating random tuples in simple polytopes. Math. Comput. 67(224): 1617-1635 (1998) - 1996
- [j5]Wolfgang Hörmann, Gerhard Derflinger:
Rejection-Inversion to Generate Variates from Monotone Discrete Distributions. ACM Trans. Model. Comput. Simul. 6(3): 169-184 (1996) - 1995
- [j4]Wolfgang Hörmann:
A Rejection Technique for Sampling from T-Concave Distributions. ACM Trans. Math. Softw. 21(2): 182-193 (1995) - 1994
- [j3]Wolfgang Hörmann:
A universal generator for discrete log-concave distributions. Computing 52(1): 89-96 (1994) - [j2]Wolfgang Hörmann:
A Note on the Quality of Random Variates Generated by the Ratio of Uniforms Method. ACM Trans. Model. Comput. Simul. 4(1): 96-106 (1994) - 1993
- [j1]Wolfgang Hörmann, Gerhard Derflinger:
A portable random number generator well suited for the rejection method. ACM Trans. Math. Softw. 19(4): 489-495 (1993)
Coauthor Index
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